In your brochure to underline the low correlation with traditional investment, but also to other Hedgefondsstrategien. Are the differences to other hedge funds so large? And how does the correlation to the stock market? Martin Rothe: you should check what it is itself not really believed with hard facts. The bottom graph shows common hedge fund strategies with regard to their correlation to the stock market (MSCI World index). Since correlations can fluctuate very greatly, a continuous 4-year correlation is considered: the differences of the correlations of individual strategies are actually not so great and just with one Exception all positive concurrent with the stock market. This is not very useful in times of crisis, a diversification of hedge fund strategies not necessarily useful.
However, there is a glaring exception and this is also clearly in the upper chart: only systematic managed futures strategies, including AlphAlgo, are actually disconnected from the stock market in bad phases, correlations significantly negative. Historically succeeded so far very good you are to make the bear market phases of financial markets. And during the financial crisis, as well as in the current market environment. How does risk management and the adjustment of the position sizes? Can this in combination with the investment strategy basically all conceivable contingencies master? Martin Rothe: Risk management is essential at all in the long term to successfully implement a systematic trading strategy, no matter how the markets behave. However, the market movements are much stronger in times of crisis and therefore must the measurement accurately carried out by risk factors.
This can of course easily implemented via computer. In principle, there is always the volatility and the liquidity rule size for the position control. This means that strong movements reduces the number of futures contracts, to limit the losses on movements. Ordinary profits in times of crisis, therefore, are not on risky position sizes”due, but that equity, interest rate and currency markets and some commodity markets at the same time of the capital flows, say trends, are affected and the program in all segments is engaged.