At John Locke Investments we offer a number of distinct investment strategies to our client base, including the Cyril Systematic Program, the JL Equity Market Neutral Program, the JL Smart Equity Program and the JL Commodity Long Flat Program. All strategies are active across global financial and commodity markets and adopt a systematic trading approach. All strategies are accessible via managed account or Fund vehicles.
Fund is a European/US equity market neutral fund that seeks to generate uncorrelated returns and maintain a low beta ratio to European and US equity indices. The Fund is fully systematic in its approach and deploys multiple quantitative models that seek to identify mispricing between a pre-defined universe of equity markets. An adaptive risk management technique is also employed that hedges against broad directional market risk and other risk factors that may be present within the investment portfolio.
The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures markets. Risk is equalised across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyses risk factors such as rising correlations, reversal risk and sideway risk at the portfolio level. The average holding period of the Fund is approximately three weeks. The Fund provides for daily liquidity.
The Fund’s objective is to outperform the STOXX ® Europe 600 Net Return (DR) by employing a systematic strategy which invests in the best-trending factors identified by our proven multi-factor trading methodology. The systematic quantitative trading approach employed removes human emotion from the investment process and allows for the simultaneous exploitation of numerous inefficiencies across many markets.