PEMBROKE makes the fundamental assumption that past behaviour of assets is persistent and hence historical data can be used to forecast future performance. Based on this assumption, a suite of statistical models was developed with the aim of extracting alpha from the large liquid futures markets. In the development phase, attaining low correlation between models and between the models and hedge fund indices or other hedge funds was not targeted. Instead, our approach is to
develop models that compare well in terms of rate of return and drawdown profile. Pembroke believes that by dispersing the allocation of capital to a range of unrelated arbitrage situations based on: 1) different asset classes and time frames; 2) both directional and non-directional characteristics; 3) both individual and group characteristics; and 4) specific calendar patterns and market events, it is well placed to provide a smooth income profile without the sacrifice of absolute returns. Each strategy is a fully systematic process with investment decisions made using a
predetermined algorithm and operates independently of all other strategies.