The SEQUENT CTA - FUNDAMENTAL DIVERSIFIED (V12) program's objective is to isolate multiple macroeconomic factors and relationships that drive sustained moves in the global markets, and formulate a systematic FUNDAMENTAL BIAS based on each of them. These FUNDAMENTAL BIASES, combined with price and volatility data are used to align Sequent's positions with the most probable moves. The program targets an annualised volatility of 12% with a max daily 95% VAR of 5%.
While some futures traders rely on price data alone to determine the existence of sustained price moves (or trends), Sequent believes that more efficient trend-extraction is possible by using a combination of price data and fundamental data. The models Sequent uses have been developed with sustainability and robustness in mind.
There is an actual track record from April 2005 through April 2008 which is available from Sequent Capital. During the period May 2008 to Feb 2012 the Sequent program returned all cash to the investors while the firm relocated from New York to London.