11 Mar 2013 Thomas Goldvinger, CEO & Fund Manager, Altruid Systems – Amandea HYBRID
Mr Goldvinger is the founder and CEO of Altruid Systems Limited, a systematic quantitative trading software developer founded in 2003 and with its headquarter in Bratislava (Slovak Republic) and branch in Zug (Switzerland).
LUXHEDGE : You are the founder and CEO of Altruid Systems Limited, a systematic quantitative trading software developer founded in 2003 and with its headquarter in Bratislava (Slovak Republic) and branch in Zug (Switzerland). Since December 2009 your company is running a fully automated trading system for the amandea HYBRID UCITS Fund. How do you separate these admittedly different activities of software development and asset management?
THOMAS GOLDVINGER: My professional career in the financial sector originally began over 17 years ago. I quickly became aware of the fact that besides in-depth market knowledge, mastering the relevant IT-systems was the key pre-requisite to successful asset management.
Systematic approaches to trading and risk handling were then developed and they should generally be understood as a holistic process, which includes the major components of software development and asset management as well.
For me, in times like these, rather the question of “how could we have responded to the market movements without correspondingly powerful IT-systems?” is the critical one, especially if your aim is to manage assets while being exposed to the least possible risk.
LH: How would you characterize amandea HYBRID’s investment process which aims at generating uncorrelated absolute returns?
TG: The fund seeks to produce absolute returns as evidenced by our 40-month track record of 18.98% since its inception (annualized return of 5.50%) achieved with an annual volatility of 8.46%.
The actual results are also largely uncorrelated with the traditionally known asset classes such as equities and bonds. This performance is even more remarkable, if you take into consideration the fact that the “Managed Futures” had a particularly difficult time over that period as evidenced by the performance reported by several well-known peers as well as by the major indices over the same period.
Our main system is composed of several sub-systems. These differ on one hand by the average holding period of the positions and on the other by the frequency of generated trading signals. We apply our HYBRID approach to 70 different futures so as to ensure an optimal diversification. The system generates buy and sell signals due to proprietary indicators, and monitors the risk parameters continuously. It can thereby exploit market price changes in both directions. An essential component is money management, which ensures compliance with the specified target volatility of the portfolio.
LH: What are your primary risks and how do you actually control them while generating automatic orders?
TG: The primary risk is the market risk which is actually inherent to every individual segment we are exposed to. Our risk management is carried out mainly one by one at the single asset level. We assign to each asset the same risk limits and in doing so we use a special type of “risk-adjusted position sizing”. In addition, the risk is continuously monitored at the portfolio level where we try to keep the target volatility within a predefined corridor. To fulfill these two requirements, we undertake an ongoing adjustment of the positions in every broad market.
LH: Who are your key service providers? Alceda Fund Management S.A. acting as investment manager?
TG: In 2009, our client amandea Vermögensverwaltung AG informed us about possibility of a takeover of the management and the set-up of the investment product. Before actually accepting this offer, we contacted a few other firms as well. After a long selection process, we finally decided to team up with the Alceda platform. They provide central administration while HSBC acts as custodian and PWC as auditor. We are very happy about the performance of these partners. We also appreciate the allocation of responsibilities. From the very beginning, our client amandea cares about all matters relating to the UCITS product and allows us to focus our time and energy on the real job assigned to Altruid Systems, namely the investment advisory function.
LH: Could you describe the way your investment management team is organised and functioning on a daily basis?
TG: Legally speaking, there are two entities involved in the management of the UCITS fund: amandea as our client, and Altruid Systems, as a CTA manager. Our core team has remained unchanged for almost over 15 years. We attach great importance to the relevant key ingredients of the whole process: research & development, trading & execution, risk control, compliance and administration.
LH: The size of your fund is not yet reaching our threshold of EUR 20M to be included in our LuxHedge CTA/Managed Futures Sub-Index? How do you intend to expand in terms of fund raising from now on? Are you personally invested in the Fund? And could you describe the current shareholding structure?
TG: We prefer to spend our energy for the time being on achieving a rather homogeneous track record over at least the first three years. As you have mentioned before, our prime mission is to run the powerful trading models and not be concerned with marketing/sales issues. We also own more than 13% of the institutional share class of the HYBRID UCITS fund. Currently 52% of the investments are held by private investors and 48% belong to institutional investors.
LH: Could you comment on the fund’s exceptional performance of +3.78% for the first two months of 2013 following +2.72% for the entire year 2012? How would you compare it against the benchmark (50% CTAI + 50% STTI)? Also, could you comment on the fund´s relative performance vis-à-vis its peers?
TG: This excellent performance was essentially recorded in January with +5.87%, and that may seem isolated for a single month, but in purely statistical terms it is just at the high end of the range expected for any one monthly return. For instance, we have already seen an increase of +5.07% in June 2012.
As implied by the HYBRID name, we operate a dynamic mix of short, medium and long-term systems. The chosen benchmark is a mixture of long-term and short-term CTAs and is calculated on a daily basis by one of the most respected brokerage firms in the world. It represents in our opinion the best peer group available.
We pride ourselves that we were able to maintain on of the best UCITS CTAs in the last 36 months as witnessed by the fact that we were awarded the title of Best CTA UCITS over the last 36-month period.
LH: Could you comment on your current asset allocation? At the end of February 2013, your exposure in equity index futures totalled 59% with 24% allocated to bonds and 11% to interest rate futures and 6% to currency?
TG: The asset allocation is automatically determined by the system and continuously monitored. Adjustments are generated by the system in a timely manner based on current market conditions and a series of specific risk parameters.