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Legal Provisions and Terms of Use
Legal Provisions and Terms of Use The pages of the website DCM Systematic contain information on investment funds and other collective investment schemes authorized for public distribution in Switzerland.
The site offers various contents addressed to qualified investors, the concept of a qualified investor being understood within the meaning of Art. 10 para. 3 CISA.
It is the responsibility of each person consulting the site to identify themselves in the appropriate category.
Our strategies
While we base our process on robust and rigorous statistical techniques, we strive to be agile enough to adapt our models and methods quickly, ahead of our larger competitors.
Diversified Alpha
Diversified Alpha uses a multi-strategy, non-trend systematic approach to trade liquid futures markets. It aims to deliver uncorrelated, absolute returns through all market environments, applying scientific methods to identify a range of alpha, diversified by asset classes and time-frames. Diversified Alpha has demonstrated a low correlation with traditional markets and differentiates from traditional CTAs.
Diversified Alpha runs over 30 uncorrelated strategies with a commodity focus. These strategies operate independently of one another and are each designed to capture a specific opportunity. Each has its risk system with controls and constraints that are relevant to the markets being traded and often include forward-looking scenarios. In general, they complement one another and have time horizons ranging from short- (5-10 days) to medium-term (2-8 weeks).
Risk management and portfolio construction combine longer-term strategic targets for the portfolio volatility, asset class allocations, and strategy weights with a daily optimization process designed to enable strategies to deliver their target volatility within their risk constraints. This process aims to ensure a high level of diversification by trading approach, time frame, and markets.
Research is viewed as a continuous process focused on enhancing and improving Diversified Alpha, either through discovering new sources of alpha, creating differentiated trading strategies, or updating existing processes.
Key elements
Non-trend CTA
30
Uncorrelated underlying quantitative strategies
Low correlation to traditional markets and to traditional CTAs
9
years
track record
Strategy Details
| Classification | Multi-strategy non-trend CTA |
|---|---|
| Approach | Systematic |
| Geographical focus | Global developed markets |
| Asset Classes traded | Equity, Commodities, FX, and Fixed Income (exposure through derivative instruments) |
| Instruments traded | Exchange traded futures |
| Targeted volatility range | 12-15% annualized |
| Investment vehicles | The strategy is available through SMAs and different collective investment vehicles. |
Investment team
Dr Anthony Dearden
Chief Investment Officer
Principals, Executive Committee, Investment team, Research
is a Principal and acts as Chief Investment Officer. He is responsible for research and development of systematic strategies together with leading the creation of DCM Systematic’s own powerful trading and research infrastructure. From 2007 to 2013 he worked at BlueCrest Capital Management.
As Senior Researcher within the Systematic Modelling Team of the BlueTrend CTA strategy, his roles included running both the Scientific Computing and Algorithmic Trading Teams. Anthony has a PhD in Robotics from Imperial College London, which was conducted in collaboration with BBC Research and Development.
Dr Jerome Callut
Chief Research Officer
Directors, Principals, Investment team, Research
is a Principal and acts as Chief Research Officer. Together with Anthony, Jerome has designed Diversified Alpha and leads its development. From 2008 to 2013, Jerome was employed by BlueCrest Capital Management as a Senior Researcher within the Systematic Modeling Team working on the BlueTrend CTA strategy.
He led a team in charge of the research for the currency-based trading strategies. His role included various enhancements of existing strategies as well as the inception of new trading models. Jerome holds a PhD in Machine Learning from UCL-Belgium.
Dr Stephane Bonneau
Senior Quant Researcher
Investment team, Research
Dr. Stephane Bonneau is a Senior Quantitative Researcher. Stephane joined DCM Systematic in February 2019, he designs and manages systematic strategies with a focus on numerical analysis and forecasting projects. He worked with Anthony and Jerome at BlueCrest before leaving the world of finance to explore the application of big data in commercial industries.
Stephane has a PhD in Applied Mathematics from Université Paris Dauphine, M.Sc., Highest honours, in Machine Learning from Ecole normale supérieure de Cachan and M.Eng. in Computer Science from Université de Technologie de Compiègne.
Jeremie Canoni-Meynet
Senior Quant Researcher
Investment team, Research
is a Quant Researcher. Jeremie joined DCM Systematic in May 2023 and is a generalist within the investment team covering tasks including analysing of execution techniques and the research and development of systematic models.
Jeremie has previously worked as a quantitative researcher in JP Morgan in London. Jeremie has a M.Sc. in Financial Engineering and a B.S.c in Physic from EPFL.
Antoine Marchal
Quant Researcher
Investment team, Research
is a Quant Researcher. Antoine joined DCM Systematic in March 2022 and is a generalist within the investment team covering tasks including analysing of execution techniques and the research and development of systematic models.
Antoine has previously worked on systematic multi-asset strategies at Pictet Asset Management and Lombard Odier Asset Management. Antoine has a M.Sc. in Financial Engineering from EPFL and a M.Sc in Theoretical Physics from UNIGE.
Solken Convertible Arbitrage
Solken Convertible Arbitrage pursues an alternative, relative value strategy generically called convertible arbitrage. It consists of identifying convertible securities that trade at a discount to their fair value or whose valuation is expected to fluctuate and set up hedges in an effort to neutralise traditional market premia and isolate returns generated by the move in relative value of the components. The strategy follows an innovative strategy by building a systematic extension of the common discretionary approach. It was developed by two senior investment professionals with significant experience trading and managing convertible bond portfolios.
The convertible market is a niche market that hasn’t come to maturity yet. Information travels slowly, liquidity fluctuates rapidly, and data is difficult to gather and exploit. The strategy was born from the conviction that it is possible to identify and capture a wider set of relative value and arbitrage opportunities within this market by combining quantitative techniques with traditional discretionary views.
Solken Convertible Arbitrage aims to deliver absolute returns that are different from other alternative strategies, exhibit a low correlation to long-only convertible bond approaches and provide diversification to investor portfolios.
Key elements
Convertible Arbitrage with systematic framework
Equity Market Neutral
Diversifying Strategy with Low volatility
8
years
track record
Strategy Details
| Classification | Relative value |
|---|---|
| Approach | Convertible Bond Arbitrage |
| Geographical focus | Global developed markets |
| Asset Classes traded | Fixed Income |
| Instruments traded | Convertible bonds, Equities, Derivatives, CDS |
| Targeted volatility range | 3% - 5% annualized |
| Investment vehicles | The strategy is available through a collective investment vehicle and SMAs. |
Investment team
Dr Alexis Martin
Fund Manager Cb Arb
Investment team
Alexis Martin joined DCM Systematic in February 2022 as a quantitative researcher and portfolio manager. Prior to this, he co-founded Solken Quantitative Research to start building the systematic convertible arbitrage programme. From 2009 to 2018, he worked at MFM Mirante Fund Management reaching Managing Director and took at active role in the development of the company and led the management of the convertible bond strategies with over $1.2bn in AuM.
Alexis holds a PhD in Theoretical Physics from Sorbonne University (Pierre-et-Marie-Curie) and is an Engineer from the Swiss Institute of Technology (EPFL).
Romain Cosandey
Fund Manager Cb Arb
Investment team
Romain Cosandey joined DCM Systematic in June 2022 as a quantitative researcher and portfolio manager. He is a co-founder of Solken Quantitative Research. Prior to joining DCM, Romain was a Quantitative Portfolio Manager at SquarePoint Capital within the systematic credit team. Before that, Romain worked at Jabre Capital Partners from 2008 to 2018, initially joining as a Risk Manager and then moving to trading to focus on co-managing the convertible bonds arbitrage strategy. Romain holds a M.Sc. in Mathematics from the University of Geneva and a M.Sc. in Financial Engineering from HEC Lausanne.