KLS BH-DG Systematic Trading UCITS

Investment Objective

The investment objective of the Fund is to seek absolute returns in the medium to long term. The fund is a systematic strategy with a pure focus on medium term trend following, trading over 100 liquid futures and forwards globally across equities, fixed income, FX, and commodities. The strategy is designed to deliver persistent, non-correlated and positively skewed alpha in a range of economic environments.

Latest Meeting Note

Meeting 17 Jan 2024

BH-DG’s investment strategy is rooted in the belief that predictable patterns exist in financial markets, and may be reliably explained by economic theory, both in terms of their occurrence as well as their persistence and duration. The ... Read more

BH-DG’s investment strategy is rooted in the belief that predictable patterns exist in financial markets, and may be reliably explained by economic theory, both in terms of their occurrence as well as their persistence and duration. The fund aims to generate returns by capturing medium term movements in futures prices and exchange rates. To achieve this, the strategy uses a suite of four systematic trend following models that incorporate data-fitted and conceptual market timing engines to extract directional alpha from a wide variety of market regimes. Core Trend (currently c. 49% of risk allocation) attempts to trade the market’s direction with an average holding period of 2 months. Core Trend is always in the market, except in rare circumstances where a risk modulator has reduced a position to zero. This can be considered as a classical medium-term trend model and is also the longest running model within the strategy (since inception in 2006). Conviction Trend (44% of risk allocation) attempts to avoid ‘sideways’ markets and trade only the most efficient phase of the trend (the ‘herding’ phase), with an average holding period of 2 months. Resolution Trend (5% of risk) seeks to trade directionally considering the confidence level of market consensus estimates. Finally, Topology Trend (2% risk allocation) generates entry and exit signals by considering the shape of the price action and makes use of a nonlinear noise filter to target the least noisy market pockets (not always in the market). DG Partners was founded by David Gordon in 2002, initially to pursue a discretionary global macro approach to investing, before expanding into systematic trading in 2006. In June 2010, David Gorton established BH-DG Systematic Trading LLP (BH-DG) as a joint venture with Brevan Howard, to further develop and grow the systematic trading business. Systematic strategy AUM is c. $2bn.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.9 0.4 0.3 0.1 0.0 0.3 0.6 0.4 0.0 0.2 0.7 0.5 1.0
2022 0.8 0.9 0.1 0.4 0.0 0.4 0.0 0.6 0.5 0.1 0.1 0.8 0.6

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Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.