The portfolio is constructed using proprietary mathematical models implemented on computer systems. A particular focus is extracting the benefits of diversification through market selection from over 300 financial securities across all major asset classes including currencies, stocks, fixed income, credit, commodities, power and volatility. The model signals are also diverse, encompassing technical signals with a range of holding periods, yield and value signals, cross market signals and many others.

Trade execution is automated whenever appropriate and transaction costs are carefully measured. Rigorous real-time risk controls are built into the systematic process. The investment strategy is designed to have no long-term correlations with major asset classes and most hedge fund styles.

Florin Court Capital is a systematic asset manager trading a diverse range of financial instruments, focused on operationally challenging and “alternative” markets not commonly traded by systematic managers. The manager’s investment methodology is evidence-based and process-driven. Investment portfolios are constructed using proprietary mathematical models. A particular focus is extracting the benefits of diversification through market selection, from a diverse range of securities and derivatives across equities, fixed-income, credit, commodities, power, and synthetic/spread markets.

Investment objective 

Florin Court's investment objective is to generate absolute returns having low long-term correlations with long-only and other hedge fund strategies. The investment strategy will use proprietary systematic models to identify fundamental, cross-sectional and other mispricings in a large set of financial markets, across all major asset classes, and to construct a highly diversified portfolio with desirable risk and expected return characteristics.

Investment philosophy and investment process

The investment manager follows an investment methodology that is evidence-based and process-driven. The manager is systematic in that the portfolio is constructed using mathematical models which are developed and tested using statistical evidence, economic theory and other considerations. A particular focus is extracting benefits from diversification through market selection and signal design. Trade execution is automated whenever appropriate, and transactions costs are carefully measured. Rigorous real-time risk controls are built into the systematic process, and portfolio risks are assessed on a daily basis.