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The Apache Managed Futures Strategy is a systematic trading programme that arbitrages the daily variation
in the valuation of highly liquid exchange traded index futures over a number of time zones.
More specifically, the strategy aims to exploit the opportunities created by the extended trading session for futures contracts.
When both the futures and the underlying market trade, the futures price is guided by the behaviour of the underlying market. But after the close of the underlying market, the futures is “orphaned”, i.e. trades without the informational support of the underlying market.
The futures may then get carried away by external factors such as markets of other regions, i.e. the futures may experience a price deviation that may not be in line with the valuation of the underlying market in absence of significant news.
Apache exploits the fact that in absence of significant news the futures will mean-revert back to the valuation level of the underlying market when the latter re-opens the following day.
Strategy Asset Classes
|Investment vehicle||Managed account|
|Managed account held at||Saxo Bank
|Managed account mandate to||Old Park Capital|
|Subscription documents||Account opening form
Investment management agreement