FRATILA & COMPANY
Investment Group
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
01
No Directional Bias
Long and short positions across Equities, Fixed Income, Currencies, and Commodities
02
Correlations & Liquidity
Strategy seeks to minimize correlation to traditional stock and bond portfolios, utilizing liquid futures markets
03
Diversification
Multi-model approach, varying lookback periods utilizing time series and cross-sectional momentum signals
04
Regime Agnostic
We aim to construct portfolios that are not dependent on equity, rate, inflation, and economic environments
Approach
Investment Philosophy
Portfolios seek to harvest momentum premia utilizing a systematic, rules-based approach
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 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