BLUECREST BLUETREND GBP

Investment Process

BlueTrend view its competitive edge as the depth of its research department and their risk management process. The team of 25 PhD level developers continually refine the programs to identity trends better and improve dealing efficiency. Unlike other trend follower programs the only inputs to their process are price series across the 150 different markets they currently track. The program aims to identify the strength of short, medium and long term trends across each market. A ‘Trend Conviction Curve’ for each time horizon dictates the size of the position that the trend follower takes – aiming to be at maximum weighting throughout the strongest part of the trend, and reducing position size as indicators are pointing towards the trend nearing an end. Position size is determined by strength of the trend and volatility of its market (a highly volatile market gets a lower allocation). The portfolio is built in 3 stages. Firstly the optimal composition between the various time horizons (ie short term vs medium and long term trends) is determined by the relative strength and correlation between each trend. Secondly the portfolio is optimized across markets (eg the S&P trend is optimized versus the CAC trend), once again correlations are considered. If correlations are high, the weighting is typically split between the various indices rather than placing a large bet into each index. The final stage of portfolio composition involves sector to sector optimization (eg analyzing the aggregated signal for equities versus bonds) to build the final BlueTrend portfolio. There is a monthly overlay systematic decision as to how much allocation is to be placed into each time frame (i.e. the 3-day trend versus the 3-month trend). This is an entirely systematic decision and is the primary driver of return (similar to market timing when purchasing equities).