Estlander & Partners - Alpha Trend

Estlander & Partners – Alpha Trend is a CTA program that capitalizes on price trends spanning multiple markets. The company has a track record dating back 1991, with an 11% annualized return as of December 2013. The program involves 100% systematic investment decisions, with a focus on generating high returns with low correlation to other CTAs and a higher correlation to traditional investments.

The program utilizes an innovative combination of trend filtering and level identification to effectively identify solid trends. The company has more than 70 exchange traded futures within its portfolio which are traded on the short and long side.

The Alpha Trend program follows a prudent risk management principle that runs along several investment process layers. The company employs ongoing research to maintain the highest level of profitability, and develop the program so that it is adaptable to changing circumstances.

Investment Strategy

Alpha Trend is an investment company that has a solid philosophy when it comes to investing. The company believes that the most effective way to access information regarding price movements of the futures market is via quantitative analysis. With this method, historic price movements are determined and tagged, then used for future investment opportunities, which are then diversified across a broad market range to maximize investment opportunities further.

The way the systems works is that it tries to exploit profit opportunities based on the behaviors of market participants, closely considering the psychological reasons of existing trends, as well as the economical reasons for some market participants in order to reduce volatility.

The Alpha Trend system follows the philosophy wherein trading runs along trends in order to take on volatility, which is achieved by specific short-term and long-term trading. Risk management is then focused at drawdowns rather than decreasing volatility. The program then takes selective breakouts following trends using a unique combination of market structure identification and level identification.

This method leads to trades in different holding periods, with trading often lasting 28 days; however, there are positions that can be held for more than 6 months. The strategy is applied on 74 markets within a diversified futures portfolio, with a selective position only encompassing an average of 29 markets.

The Alpha Trend program and its parameters are uniform across all markets in the portfolio, accumulating all position risks in order to obtain a better worst case scenario estimate and altogether avoid relying on negative or low correlations too much.

Risk Management

Our risk management is focused on drawdown control and worst case scenarios. The risk management is an integral part of the model, and takes a bottom-up approach when evaluating portfolio risk. The sizing of new positions is dynamic and based on the volatility of the markets, and the total risk in the portfolio at the time of entry.

All position risks are accumulated to achieve a better estimate of a worst case scenario, and to avoid an over-reliance on low or negative correlations. The information is provided on a strategic level for the investment program in question.

The 73 exchange traded futures markets within the portfolio are traded both on the long and short side and the program also applies a prudent risk management that ensures optimal portfolio balance at all times.