Kaufman Analytics Ltd. has created numerous investor products and partners with financial institutions to bring these to the investment community.
Global Macro Portfolios
A diversified program, such as the AqK Catena Index, AqK Catena Index, that extracts profits from long-term trends resulting from macro fundamental factors in financial, equity index, foreign exchange, metals, energy, and agricultural futures markets.
Relative Value Arbitrage
A form of statistical arbitrage where relative differences caused by non-structural events, in two similar stocks or futures markets, are captured subject to volatility and liquidity constraints. This strategy is short-term because price anomalies correct quickly.
Inflation Models
Long-only positions are taken in commodities markets based on an assessment of fair value and applied to a modified inventory management plan. The object of the program is to anticipate and protect against secular shifts in commodity pricing, including agriculture, energy, precious and non-ferrous metals.
FX Carry
Large-scale foreign exchange program that takes advantage of the movement of money to those countries with higher interest rates relative to inflation. Using FX for the implied forward rates, this program sells the currencies with the lowest rates (the funding currency) and purchases those with higher rates. Risk management focuses on the net exposure to each country and the incremental appreciation or devaluation of the currency.
Short-Term Intraday Trading
Programs that exploit the noise dominating certain market sectors, based on statistical profiling and pattern recognition. Risk management focuses on shifts in volatility. Holding periods are less than three days.
Commodity Hedging
Two programs that determine the best points to manage exposure to world cash market fluctuations. The producer program finds opportune price points to sell into the forward market, while the processor program accumulates inventory and manages its value. Both coordinate with the customer’s actual cash activity.
Portfolio and Risk Management
All programs require risk management and volatility stabilization in order to achieve expectations. Kaufman Analytics has developed a comprehensive method for controlling risk using a top-down approach, rather than optimization. It makes the fewest assumptions about future returns and stresses continuous risk equalization while minimizing transaction costs.
Partnerships:
Aquantum SARL
Kaufman Analytics partners with Aquantum SARL to produce fully algorithmic, alpha-generating index and structured products. Both companies share the same objectives: attractive, stable returns based on sound development practices, mathematical competence, and innovative thinking.
The AqK Catena Index® Family
Our Catena indices track the performance of a sophisticated macrotrend algorithmic strategy with multi-level risk controls and stabilization. Each Catena index is linked to a large portfolio of highly diversified exchange-traded futures markets. The strategy takes full advantage of technology and advancements in risk management. The object of each Catena Index is to capture the long-term trends that result from Central Bank interest rate policy, geopolitical events, and shifts in foreign exchange cross rates caused by sovereign debt and endemic inflation. This index has been developed in cooperation with Aquantum SARL and available through the Royal Bank of Scotland.
Ariad Multi-Strategy Fund
Our company partners with ARIAD Asset Management to produce a multi-strategy managed futures program that combines macrotrend, Asia arbitrage, and short-term mean reversion techniques into an integrated portfolio. As with the other programs, it includes full risk management at all levels of analysis.