Our due diligence process aims to find solid Commodity Trading Advisors whose investment programs would be a good addition to our client's equity and bond portfolios.
Investment Manager Profile
We do not believe in chasing performance. Our due diligence process works best with managers that demonstrate full transparency of operations, procedures and the control environment. We are just as interested in a thorough understanding of the risk management techniques employed as the alpha generation methods the manager will employ to extract performance from the markets.
Commodity Trading Advisors seeking to be considered for our investment platform must meet the following minimum requirements:
Minimum (real) Performance record: 3-Years
Regulatory Membership: NFA, FSA
Regulatory Registration: Commodity Trading Advisor
Regulatory Actions: None
Documentation: Active Disclosure Document & AIMA Due Diligence Questionnaire
Due Diligence Process
We employ a combination of quantitative and qualitative analysis to determine the suitability of an investment manager for our investment platform. Our process begins with a proprietary quantitative profile. The purpose of our quantitative analysis is to gain an understanding of the characteristics of each manager's returns. We focus on risk measures, paying special attention to the manager's ability to deliver alpha above and beyond their benchmark combined with an orientation to capital preservation.
The second part of our due diligence is qualitative in nature. Through the quantitative process, we have identified managers that have produced attractive returns over multiple market cycles. The qualitative component of our due diligence allows us to reach a subjective decision about the ability of the manager to repeat past successes.
We are aware that all investment decisions are made as part of a larger asset allocation process and the suitability of the investment manager(s) may be highly dependent on the existing mix of investments within the portfolio. To this extent, we seek investment programs that can complement a portfolio of equity and bonds.
Due Diligence work flow
We maintain data on more than 100 managers across the managed futures universe. RJO Futures constantly seeks out new investment talent. On average we are talking with 1-2 potential managers each week. Our clients benefit from our proprietary analytics and our on-going search and monitoring of Commodity Trading Advisors.