The Amplitude Klassik Fund (''Fund'') trades liquid exchange-traded futures across all asset classes: equities, FX, fixed income and commodities. The strategy is based on a systematic and fully automated directional program which uses extensive quantitative analysis of real-time price data and sophisticated portfolio methodology to detect short term market trends on multiple time frames. The strategy incorporates a small mean reversion component and some pattern recognition. Execution is entirely electronic and utilizes in-house proprietary software to facilitate most efficient execution. Execution costs and slippage are constantly monitored to minimize any adverse market impact. The risk management function is monitored real-time and is fully automated. Currently 73 markets are traded and each instrument is independently analyzed. The average holding period is 8 days** . The programs seek to provide a good level of downside protection for beta or beta-correlated strategies and a high degree of diversification within the CTA space.
The Amplitude Capital Group is a regulated CTA with operations in Switzerland, UK and the Cayman Islands. It was established in 2004 and currently manages about 1.7BN USD in three global, diversified and fully systematic short-term CTA programs for institutional investors, including pensions, insurance companies, endowments and sovereign wealth funds.