APPROACH

At John Locke Investments we offer a number of distinct investment strategies to our client base, including the Cyril Systematic Program, the JL Equity Market Neutral Program, the JL Smart Equity Program and the JL Commodity Long Flat Program. All strategies are active across global financial and commodity markets and adopt a systematic trading approach. All strategies are accessible via managed account or Fund vehicles.

At John Locke Investments we believe in a quantitative approach to investment management that removes human emotion from the investment process. We also believe that historical prices are the best indicator of future prices and that trends, in certain markets, persist over time and can be detected through the use of quantitative investment models. We seek to avoid short-term phenomena and look to identify deeply engrained patterns in markets and develop models that have the ability to identify these patterns.

All investment methodologies employed must prove their ability to generate returns across time frames and markets. When considering new trading methodologies or markets they must have a robust data set through which we can analyse their suitability for inclusion in the live trading opportunity set.

Research

At John Locke Investments we believe that our commitment to research over the last 15 years has been the bedrock of our success. We believe that sustainable performance can only be achieved by remaining firmly committed to research and ensuring it is carried out in a disciplined and structured manner. We also believe that research should be conducted in a structured environment, with a clear link being made between our research efforts and the performance of our investment strategies.

All research activity takes place within the ‘ElisaRt’ research platform which is a proprietary platform that has been developed in-house. The benefits of this platform to the firm include:

  • Objectivity of research and decision making
  • Speed of research
  • Scalability of research

A significant data set is contained within the platform for use by the research teams and all data is cleaned’ internally to ensure the integrity of the data.


Risk Management

Risk management is at the core of our investment approach. Diversification is achieved across trend detection models, time horizons and markets. Position sizing reflects underlying market volatility and a dynamic risk management system is used, on a daily basis, to monitor and identify risk factors that may adversely affect the profitability of the portfolio.

Hard Risk Limits

  • Defined level of risk targeted.
  • Drawdown limit defined with Automatic De-Leveraging.
  • Automatic Stop Losses applied.
  • Sector & Market diversification.
  • Trading Horizon diversification.
  • Trading Model diversification.
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Portfolio Level Risk Management

  • Monitor aggregation of risk.
  • Shifting Correlations.
  • Reversal Risk.
  • Real time process.

Position Level Risk Management

  • Counterparty & Trade execution analysis.
  • Margin to Equity level analysis.
  • VaR analysis.
  • Position & Trading volume assessment.
  • Real time Volatility monitoring.