Conquest Capital

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Conquest Capital Company Profile

Conquest Capital provides alternative asset management services. It uses its two core strategies: Conquest Macro and Conquest Managed Futures Select. The former is a systematic short term trading and the latter is a CTA strategy that offers variations through accounts that are managed.

Conquest Managed Futures Select (MFS) provides institutions with non-optimized exposure to the managed futures sector. It is transparent and uses strategies that are medium and long term trend following. This is 90% of the portfolio and generates correlated and commoditized return streams. The streams are slightly different than simple breakout models.

Conquest MFS aims to have exposure on trend following starting from 5 to 200 day time frames. Conquest believes that trend following index fund has the potential to outperform managed trend following programs. Conquest MFS is designed as the index fund of trend following. Any hedge fund portfolio will find Conquest’s provision of pure trend-following beta very important.

On the hand, Conquest Macro collects short term price changes in futures and currency markets. Macro has four distinct strategies: short term and long volatility, short term and trend following, short term and counter trend and risk capture strategy.

These strategies are used to invest in around30 liquid currencies around the world, physical commodities, fixed income and equity markets. Each market has a portfolio that has a balance in geography and asset mix. Assets are diversified and non-optimized with risks allocated. These factors provide stable positive returns.

Company Background

Conquest Capital provides alternative asset management services. It uses its two core strategies: Conquest Macro and Conquest Managed Futures Select. As of December 31, 2014, the firm’s AUM is $280 million

Goals in Investment

The goal of Conquest MFS is to provide institutional investors with exposure that is non-optimized to the managed futures sector. The goal of Conquest Macro is to capture price movements in the futures and currency markets.

Markets Traded

Markets include currencies, fixed income, physical commodities, equity for Macro and currencies, energy, metal, soft commodity futures, fixed income for MFS.

Strategy

The Conquest MFS uses a strategy that relies on a series of Nth-day break out systems. A market is entered if its price surpasses its Nth day high and shorts if the price falls below its Nth day low. The system uses the following duration for its time frames, short term is 0 to 20 days, medium at 21 to 60 days and longer terms at 61 to 200 days that are trend following.

Trades are done on currency forwards, fixed income, energy, metal, equity index and soft commodity futures. The objective is geared to outperform managed trend following. Each system is identical except for one component. Parameters and weights are relatively the same and equal, except for markets that are liquid. Each system is independent and exploits any advantage that can occur across different times.

Conquest Capital MFS has risk management procedures that make use of stop loss and position size calculations. The overall goal of risk management is to maximize return divided by the largest cumulative drawdown. Using a maximum hypothetical drawdown level below the real time drawdown level, exposure is selected.

Conquest Capital MFS uses market information not portfolio as the basis for risk management, since the firm believes that these do not positively contribute to LCD or annual returns. To manage risk during the initiation of the trade, position sizes are based on volatility of the price for all markets in a sector.

On the other hand, Conquest Macro ensures sound investment decisions using quantitative models. Through this strategy, it is able to maximize the benefits on the markets. Macro uses trading systems that have the same parameters, works independently from other systems and makes use of different time frames.

For example, one system can use a trend following strategy in one time frame but a counter trend in another. This strategy is able to maximize the changes in the price during short term and volatile periods, which commonly appears in stock index markets, metal, energy, currencies and fixed income.

The system works by taking advantage of the entry of low market volatility points that has the potential to produce a high reward. Stops, based on time volatility, price and time, are applied at all times. Average time occurs during a 3.3 day period and can go on for as long as a week.

Another strategy is identifying market movements during a short term trend period for about 7.7 days. This uses time and price for exit positions. Another strategy involves counter trend opportunities for long term trends.

For example, a system can enter a market during retracement in a trend that is long term and counter to the last price action. Other system may follow the last price action but if it is counter to a longer term trend. Entry points used are those with trends that are reversing that can cause losses to followers who are long term and trend based. This strategy can reduce risk and has low correlation to other strategies. Trades for this kind of strategy are at 3.1 days.

Last 2010, a fourth strategy was implemented. It makes uses of sensitivity of assets and hedge fund strategies to leverage the appetite for risk of markets. Performance is expected to improve during periods where risk is sought. This strategy is implemented based on the Conquest Risk Aversion Index. During periods of aversion, trade is not done.

Trade time on this strategy is one month. Weights are adjusted on Conquest Capital’s own index of market risk appetite. During aversion periods and low risk appetites, strategies are implemented at full leverage when there is an expected positive performance on the portfolio. During high risk appetites, portfolio leverage is reduced to one third. This is meant to reduce depth of drawdowns.

Offerings

Conquest Capital requires a minimum invest of $250,000 and a management fee of 1% with no performance fee.

2014 Performance Statistics

Conquest Capital has an annualized vol of 15.22%. Its Shapre (RFR=1%) is at 0.29. CAROR is at 4.31%. Assets are at $159 million. Worst DD to date is -31.68 and S&P Correlation is at -0.34. Year to date is at 8.87% with NOV at 7.58%.

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