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00:52
Systematic short-term trading program, “PlusPlus Global Alpha”, is designed to exploit the behavioral inefficiencies of market participants.   Portfolio consists of over 30 strategies, and trades over 60 liquid futures markets.   Current capacity is $800mm.   Average holding length is 4.5 days.
02:17
How to design futures strategies that exploit behavioral biases “Markets change, but typically, people don’t.”
03:50
Small things count big time in quantitative trading: Why Kapil and his team spent years to develop their own proprietary technological infrastructure instead of buying off the shelf solutions. How a proprietary backtesting platform allows for better strategy development. Only “clean” data is good data: How the investment of spending six months to build an implied volatility database had paid off.
07:24
Portfolio construction: How to achieve the highest risk adjusted return in LIVE trading. The Dominance of the S&P 500 and how to deal with it.
09:19
Does the “Rise of the Machines” create more or less behaviour biases in the markets?
10:16
Strategy aims to have strong performance in equity market corrections and capital preservation during equity bull markets - a rarity in the hedge fund industry. Better risk management: Avoiding the multi year drawdowns. - Minimizing duration and magnitude of drawdowns. - Positive skew of return stream. - Best month exceeds worst month returns.
14:00
Inclusion of the PlusPlus Global Alpha strategy in a: 1. Long S&P 500 portfolio reduces the volatility, reduces the drawdown, while increasing the Annualized Return. 2. Hedge fund portfolio (HFRX Global Index) also reduces the volatility, reduces the drawdown, while increasing the Annualized Return. 3. Similar pattern for portfolio of CTA's and Global Macro funds.
16:12
“Doing a couple of things differently from the hedge fund community.”   - Dynamic risk management tilts allocations amongst strategies based on four distinct market regimes.   - Development of many proprietary indicators aside from price.   - Converts futures trades into option spreads during high risk moments.
19:26
Why risk management comes first
21:11
How to build a lasting, great business.   Leadership: The Servant Leader Model.   The long-term out-performance of the commitment culture.   Culture Trumps Strategy – Many funds fail not because of investment process but poor culture.   These principles tend to be under-emphasized, - but when clearly understood, can give an allocator a significant edge.
25:23
Why the Star Culture, prevalent on Wall Street and Silicon Valley, isn’t producing the best results

PlusPlus Capital Management: Designing futures strategies that exploit behavioral biases, reduce volatility & drawdown, while increasing annualized return of a portfolio

Nov 18 2019 1 Comment

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

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Matthias Knab Posted On Nov 18 2019

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