Kapil Rastogi, a veteran in the CTA and managed futures space, has designed a systematic short-term trading strategy aimed at exploiting the behavioral inefficiencies of market participants.
The strategy aims to have strong performance in equity market corrections and capital preservation during equity bull markets - a rarity in the hedge fund industry. No matter if added to a long S&P 500 portfolio, a hedge fund portfolio or to a portfolio of CTAs or Global Macro funds, the PlusPlus Global Alpha strategy can significantly reduce the volatility and drawdown, while increasing the annualized return of the portfolio thanks to its attractive return characteristics: A positively skewed daily return stream with a best month return exceeding its worst month return.
With an average holding period of 4.5 days, the program trades over 60 liquid futures markets and consists of over 30 strategies and has a current capacity of $800m. The firm's trading decisions are driven exclusively by data, and trading is completely automated.
Kapil believes that “small things count big time in quantitative trading”. His decision to invest years to develop their own proprietary technological infrastructure – including the design and implementation of a proprietary backtesting platform coupled with the development of an implied volatility database and a database of liquidity hours throughout history across 60+ markets – instead of buying off the shelf solutions would allow for a significant competitive advantage and higher risk-adjusted returns.
Business culture trumps strategy
Rastogi and co-founder Murat Unluer also believe that Star Culture, prevalent on Wall Street and Silicon Valley, isn’t producing the best results. Many funds fail not because of investment process but poor culture. Therefore, the two are devoted to building a lasting, great business based on a Commitment Culture and the Servant Leader Model. These principles tend to be under-emphasized, but when clearly understood, can give an allocator a significant edge.
In this Opalesque.TV BACKSTAGE video, Kapil also talks about:
- How to design futures strategies that exploit behavioral biases
- Does the “Rise of the Machines” create more or less behavioural biases in the markets?
- The Dominance of the S&P 500 and how to deal with it
- Portfolio construction: How to achieve the highest risk adjusted return in LIVE trading
- Better risk management: Avoiding the multi year drawdowns by minimizing duration and magnitude of drawdowns
- A “couple of things” Kapil is doing differently from the hedge fund community
- Why risk management comes first
- The long-term out-performance of the committment culture
Kapil Rastogi is the Managing Partner and Co-Founder of PlusPlus Capital Management Inc., and has over 15 years of experience designing trading strategies in the CTA industry. The co-founders have worked together for over ten years at leading CTAs, including R.G. Niederhoffer Capital Management and ISAM. Their PlusPlus Global Alpha strategy seeks to deliver strong risk-adjusted returns that are uncorrelated to both the CTA universe and traditional asset classes.
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Kapil Rastogi, a veteran in the CTA and managed futures space, has designed a systematic short-term trading strategy aimed at exploiting the behavioral inefficiencies of market participants.
The strategy aims to have strong performance in equity market corrections and capital preservation during equity bull markets - a rarity in the hedge fund industry. No matter if added to a long S&P 500 portfolio, a hedge fund portfolio or to a portfolio of CTAs or Global Macro funds, the PlusPlus Global Alpha strategy can significantly reduce the volatilit ...more
