The fund is managed by Matrix Money Management, which has appointed Cambridge-based hedge fund manager Cantab Capital Partners is sub investment manager. Cantab, which was founded in 2006, is a specialist in systematic global macro strategies. These aim to find mis-priced assets using macro-economic analysis. Investment decisions are based on statistical and historical analysis using computer software.
The Matrix fund is based on the systematic investment strategy followed by the Aristachus share class of Cantab’s CCP quantitative fund, but within the Ucits III rules. The new fund will have no discretionary manager intervention, so trading decisions will be determined entirely by the computer model. In practice, the fund provides returns linked to the performance of the Cantab Systematic Futures index, comprising futures on equity indices, bonds, interest rates and commodities, and foreign exchange positions using a derivatives contract. It will span trend-following, counter-trend and value approaches.
Systematic global macro strategies are uncorrelated to traditional equity and bond investments. They also have low correlation to managed futures strategies, despite the similarities in that both strategies take a systematic approach.
The new fund could provide diversification to the investment portfolios of high-net-worth clients who can meet this fund’s £100,000 minimum investment. The way that trading decisions are not based on a fund manager’s subjective views will appeal to some investors along with its liquidity, but it may seem too complicated to others.
The fund’s non-correlation with traditional assets such as equities means there will be periods where it underperforms those markets, as well as periods of outperformance.