FRATILA & COMPANY

Investment Group

Manged Futures

Systematic Managed Futures

An alternative investment approach with no directional bias. A strategic allocation may complement a traditional portfolio of stocks and bonds while aiming to decrease portfolio volatility and increase risk-adjusted returns

No Directional Bias

Long and short positions across Equities, Fixed Income, Currencies, and Commodities

Correlations & Liquidity

Strategy seeks to minimize correlation to traditional stock and bond portfolios, utilizing liquid futures markets

Diversification

Multi-model approach, varying lookback periods utilizing time series and cross-sectional momentum signals

Regime Agnostic

We aim to construct portfolios that are not dependent on equity, rate, inflation, and economic environments

Our Edge

Investmnt Philosoph

Approach

Investment Philosophy

Portfolios seek to harvest momentum premia utilizing a systematic, rules-based approach

Investmet Philosophy

Process

We aim to design a repeatable investment approach, researched and developed using a dynamic set of rules

Multi-Model

A multi-strategy program based on rigorous academic research, implemented using evidence-based practices

Systematic

Humans are subject to behavioral biases such as anchoring, herding, and risk aversion – systematic investing may not be

Components of Return

Time series and cross-sectional momentum, carry, systematic macro, and mean reversion

Portfolio Construction

Our goal is to minimize current and conditional correlation, reduce drawdowns, and generate consistent absolute risk-adjusted returns within our risk management framework

RISK

Risk Management

Stress tests, tail risk evaluation, and scenario analysis create strict volatility parameters and risk management frameworks

Bottom-up portfolio construction, daily risk evaluation, and gradual rebalances

Portfolio construction process seeks to minimize left-tail risk and generate positive skew

Contact Us

Miami

info@fratilaco.com