Amati Global Investors has launched a new managed futures product, the Amati Systematic Trend Fund, which is a SICAV vehicle administered and regulated in Malta. It was seeded in June with $2 million.  


 
The fund was established by two former veteran traders from BP's International Trading Division, Chris Allen and Gordon Izatt, along with Eurex options trader Jason Rolf. It invests solely in exchange traded futures covering oil, gas, stock indices, currencies, bonds, interest rates, metals and soft commodities, using the Kyte Group as clearing broker. 


 
"I had watched the development of Gordon's trading model at BP over many years and had always thought that this could form the basis of a highly desirable fund, which would be a great asset to any fund management business,” said Paul Jourdan, CEO of Amati.  “Gradually it became clear that, if we were patient, we could put together one of the most experienced and best quality teams capable of establishing an institutional grade systematic trend fund.”  


 
Trends are analysed over five different time frames for each of the futures contracts, and the position adopted by the model is an aggregate of these. This is then subjected to both volatility adjusting, where position sizes are varied to keep the risks in line with current market conditions, and also to seasonality factors, which take account of any underlying seasonal bias in each market. The target return for the Fund is 15% a year (at current interest rates), which reflects analysis of the fund team's performance over 12 years in their previous incarnation.


 
Allen and Izatt set up a systematic trading business at BP in 1998, based on a computer trading model that invested in futures in a wide range of markets using a trend following system. This proved extremely successful and the pair went on to manage a substantial trading book using this model for BP from 1998 to 2009. 


 
“Whilst the returns for this strategy have been consistently good over the long haul there are still many months when patience is required,” said Allen, noting that the fund’s target return is 15% a year at current interest rates. “In these periods the model is seeking to align itself by analysing the price movements of large liquid markets, and is able to respond rapidly to significant changes. Although the fund is not suitable for a short-term investment, it has great potential for investors in the longer term as it is uncorrelated to returns from stock markets, and is therefore an important addition to many portfolios as an alternative investment.”


 
A software platform for the fund incorporates proprietary, genetic algorithms and fuzzy logic functionality to smooth risk management and trade execution. The fund structure in Malta sits with a managed account service for larger investors.


 
Amati has also appointed JConsult (Europe) to market the fund to investors across Europe.  It is headed by Phil Jefferson who has led fund marketing teams at Fidelity, J.P. Morgan Fleming and First State Investments.


 
Amati was formed by Paul Jourdan and Douglas Lawson in January 2010 following the management buyout of Noble Fund Managers from Noble Group. In addition to the new systematic fund, Amati manages three venture capital trusts – Amati VCT plc, ViCTory VCT plc and Amati VCT 2 plc - and one open ended investment company - the CF Amati UK Smaller Companies Fund.