The programme is based on five style components, which are made up from a broad mix of strategies. Risk is spread equally across the following styles.
Technical models have shorter holding periods and are designed to capture effects such as seasonal patterns, price behaviour around major economic events, and mean reversion.
Systematic Equity models exploit different sources of information relating to equities – fundamental as well as technical – while trying to minimise exposure to the overall equity market.
Systematic Fundamental models are macro-fundamentally motivated. They systematically evaluate and transform fundamental data such as interest-rate and economic-growth differentials between different countries into investment allocations, and tend to be low in turnover due to longer holding periods.
Volatility models focus on the volatility of markets, which can be traded directly via derivatives such as options, independent of directional trading opportunities in the underlying markets.
Momentum models are trend-following in nature, which means they exploit price trend behaviour in many different asset classes. FATP has been a pioneer in this area for over 15 years and momentum itself has been shown to persist in most markets for well over a century.