Systematic
Rules-based decision making.
Breadth Capital
Short-horizon managed futures driven by market participation.
A systematic long/short strategy designed to provide a differentiated return stream alongside traditional portfolios.
SystematicLong / ShortSelective exposure
Participation fieldCross-sectional
Strategy
Participation beneath price.
Breadth Capital uses cross-sectional market participation to identify selective directional opportunities in U.S. equity index futures.
Long / Short
Flexible across rising and falling markets.
Short Horizon
Positions typically held from intraday to several days.
Selective
Capital is deployed only when qualifying conditions are present.
Portfolio role
Built to complement existing exposure.
Most portfolios already contain substantial long-equity risk. Breadth Capital seeks to add a return stream driven by a different signal, holding period and exposure profile.
Different signal sourceDifferent holding periodDifferent exposure profile
Historical research
A differentiated historical return profile.
Internal research has focused on portfolio usefulness: equity dependence, managed-futures overlap, stress behavior and exposure efficiency.
Low persistent equity dependence
The strategy is not structurally long the market.
Limited overlap with trend CTAs
Preliminary research suggests a differentiated return pattern.
Sustained-stress responsiveness
Historical behavior was strongest in persistent, broadly coordinated declines.
Sparse exposure
Selectivity keeps the strategy out of the market when conditions are absent.
Preliminary internal research based on historical simulation. Results are hypothetical and are not representative of live fund performance.
Managed futures
A different source of managed-futures exposure.
Designed to complement conventional managed futures, not replicate them.
| Traditional trend CTA | Short-term CTA | Breadth Capital | |
|---|---|---|---|
| Primary signal | Price trend | Multiple short-term signals | Market participation |
| Typical horizon | Days to months | Intraday to days | Intraday to several days |
| Asset universe | Multi-asset | Multi-asset | Equity-index futures |
| Exposure | Broad / recurring | Broad / recurring | Selective |
| Long / short | Yes | Yes | Yes |
Downside behavior
Responsive to persistent market stress.
Historical analysis shows the strategy performed most consistently during sustained, broadly coordinated equity declines. Shorter or reversal-heavy selloffs produced more mixed outcomes.
5 sessions
10 sessions
20 sessions
40 sessions
Illustrative summary of internal historical research; not a forecast or guarantee of future behavior.
Implementation
Liquid. Systematic. Controlled.
- Instrument
- U.S. equity index futures
- Direction
- Long and short
- Horizon
- Intraday to several days
- Weekend risk
- No weekend positions
- Risk objective
- ~10% target volatility
- Risk architecture
- Signal and sizing separated
Philosophy
Useful over brilliant.
We believe an investment strategy should solve a portfolio problem, not merely demonstrate statistical sophistication.
RobustnessLiquidityDiversificationScalabilityDisciplined implementation
Breadth Capital