DIVERSIFIED OPTION Investment Strategy: In trading customer assets, Liberty Fund Group will employ an actively managed strategy that captures returns for a diversified portfolio of commodity and financial futures and options on those futures based on a quantitative investment approach.
The program takes advantage of two market truths. Trend following strategies generate more losing than winning signals and time value as a component of option pricing declines sharply in the weeks ahead of a particular option's expiration. Opportunities may necessitate long or short positions to be taken in an individual commodity or financial markets or options on those markets. The resulting trades have an expected duration of 15 to 50 days. The strategy exhibits low correlation trend following strategies and all other hedge fund strategies.
The trading program to be utilized by LFG is based on research conducted on several commodity and financial markets. The program focuses investment activity on 10 or so markets that pass a liquidity screen. The key sectors that the program currently may trade include energy, base metals, precious metals, raw materials, grains, softs, livestock, currencies, interest rates, and stock indices.