The IMFC Global Investment Program invests in a globally diversified portfolio of futures, options and forward contracts, swaps and other financial derivative instruments giving investors exposure to a broadly based portfolio of both long and short investments in agricultural and soft commodities, metals, energies, currencies, interest rates and equity indices.
The central investment tenet of the IMFC Global Investment Program is that markets exhibit serial correlation or price trends and other persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors including deeply rooted supply and demand trends for physical commodities, equity risk premiums, persistent interest rate differentials between currencies, the basis embedded in the term structure of futures prices and the crowd behavior of market participants.
The IMFC Global Investment Program IMFC utilizes proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. The average duration of profitable trades is approximately one year, though they often last anywhere from two to five years with losses cut quickly when they occur.
IMFC's strategies utilize multiple non-correlated signal generators applied across several long-term timeframes of market data. The effect of this diversification is a reduction of position sizes in markets at equilibrium often to the point of having no exposure to those markets, and increased position sizes in markets that are exhibiting extreme price swings. Proprietary smoothing techniques are also used to separate underlying trend-persistence from random market noise, resulting in continuous exposure to long-term market trends of one year or longer.
In addition, IMFC's strategies incorporate portfolio management algorithms that adjust individual, sector and overall market exposure based on observed and simulated patterns of market returns.
IMFC generally invests 50% of its portfolio in globally-traded industrial and agricultural commodity futures markets, and 50% in global currency, treasury debt and equity index futures markets. These targets can be changed from time to time depending on market conditions.
IMFC believes that the success of a trading program is primarily contingent upon the implementation of a robust and well defined risk management model. IMFC utilizes a multi-faceted risk management program based on low levels of risk exposure and broad diversification that includes, but is not limited to, the following measures: Margin-to-Equity Targets, Risk Exposure Limits, Diversification, and Risk Balancing.