Solaise Capital Management

LLP (Systematic Fund)

Fund Investment Objectives

The SOLAISE SYSTEMATIC PROGRAMME had been developed by Ali Nejjar (the former Director of Research at Winton Capital) plus other senior former members of his team at Winton. The programme seeks the benefits of diversification by combining 11 lowly correlated underlying trading systems within a unified risk management framework. The system includes trend following, but only has around 35% of the long term risk allocated to it. Aside from strategy diversification, there is genuine diversification across markets (with around a third of exposure on commodities)and time frames (with a good weighting towards the shorter term). The program deploys next generation methodologies that were developed during an 18 month research process pre-launch. It is fully systematic and is applied to a broad range of liquid futures markets. The programme began live trading in a managed account in October 2010 (performance shown here is solely since the Fund launch in June 2011) and has since delivered top quartile performance relative to most peer groups during a period of difficult absolute performance for the CTA sector. The programme has more than doubled AUM over the last 18 months to over $300m from a range of blue chip institutional investors. The 1% and 20% 'S' Class remains open to new investors (2% and 20% 'A' Class is shown here).