Australian Adam Tomas started to design systematic trading strategies in 2004. In July 2011 he launched his Global Capital Allocation Fund (GCAF). While many CTAs did well in 2014, Tomas’ strategy did exceptionally well: the fund was up 89.85% net in 2014. He thinks there are three reasons for that:
1. The Global Capital Allocation Fund trades on time horizons generally much longer than its peers and therefore almost engages in a sort of “time horizon arbitrage”.
Tomas adds that with longer time horizons chosen to exploit trends, the more likely will the return distribution include extended periods of underperformance punctuated by shorter periods of high performance.
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Trading “axiomatic regularities”: While shorter term patterns tend to be transient, are easily arbitraged away and fragile to the need for continued evolution, improvement in speed and execution, longer term patterns tend to be axiomatic regularities. They emerge from the interplay of fundamental drivers and crowd behaviour. And while they are generally well known market phenomena, as a source of profits they are less susceptible to degradation, competition and market frictions.
2. Tomas is using a single, simple system. He does not “adapt” his model to markets. In his view, markets are complex, adaptive systems, and combining two complex systems results in unpredictable outcomes – investors in his fund benefit from consistency of application and robustness to changing market regimes.
3. Tomas manages risk on individual trade basis, not as portfolio. That means he is also willing to trade as many simultaneous positions as possible. If opportunities emerge, he wants to exploit those to the greatest extent possible, no matter if additional positions are correlated or uncorrelated.
Up 90% In 2014: Adam Tomas, A Different Systematic Long Term Trend Follower Trading “Axiomatic Regularities”
In this Opalesque.TV BACKSTAGE video, Tomas also talks about:
- How he defines his stop-loss parameters
- When and how the system loses money
- Investor benefits
Adam Tomas is based in Melbourne, Australia. He has a Bachelor of Commerce, First Class Honours in Finance from the University of Western Australia. He also studied Intelligent Systems and Artificial Intelligence at the Royal Melbourne Institute of Technology. Soon after he started his financial career as a proprietary trader trading bond futures on the Sydney Futures Exchange and Eurex in 2002, he developed a fascination with systematic trading. Tomas also traded energy with AGL and International Power GDF Suez, worked as a trader or analyst at Tibra Capital and Hobereau Investments, and as Market Risk Analyst at Macquarie Group.