Technical Trading

• Trading restricted to the 30 most liquid US futures markets
• Computer-generated signals are produced once a day
• Execution the following morning has proven to incur negligible slippage
• Margin-to-equity averages 10%. Approx. 900 round turns per million, per year

No Discretionary Activity

• By design, we allocate 95% of our time to research & development
• The KV1 model is responsible for all investment activities; assigns capital, selects & trades markets, and controls risk
• The model even makes “CEO level” decisions, acting to defend extraordinary gains and to weather periods of extreme volatility

Diversification Across Systems & Markets

• Trading signals are generated by a joint pool of static & optimized system elements
• Market positions are netted result of numerous “micro-signals” from system elements
• Positions are incrementally adjusted as active trading elements respond to market behavior
• Typically holds positions in 8-16 markets at any one time

Sophistication via Simplicity

• We strive to avoid over-optimization and curve-fitting
• All model elements are designed to be as general and robust as possible. We prefer broad and stable response characteristics to white-hot – yet transient – returns
• Trading systems use only one or two parameters and are designed to be applied broadly. We don’t assign a specific system to a target market

Risk & Portfolio Management

• Prudent risk controls governed by volatility, VAR, and de-leveraging indicators
• Capital allocation limits capped at 10% to any one market, 35% to any one sector

Transparency & Liquidity

• One-day exit liquidity proven to work
• Investors receive nightly updates on their holdings and performance to date