In 2004 a decision was made to shift the firm’s creative focus from evaluating and investing with outside money managers to the creation and implementation of its own investment products. This move was facilitated by the addition of Chris Strong, PhD Director of Research, and Bill Arenz, Director of Trading. Today, Liberty’s team of 4 key principals and 4 key support personnel continue to provide unique solutions to investors interested in managed futures.
The Liberty Wealth Protection strategy is designed to protect the purchasing power of the U.S. Dollar. The strategy, which began trading October 1, 2009, represents the best ideas and cumulative experience of the Liberty team. The strategy, like other managed futures vehicles, does not correlate to the performance of stock and bond markets. The strategy is geared to deliver outsized returns during periods of economic duress. At the heart of the strategy are proprietary computerized multi-time scale mathematical models which trade on timeframes from a few hours to a year. These models trade a basket of futures and options markets and generate alpha from multiple, non-correlated sources – trends, short-term mean reversion and expansion, and option time decay.
The trend following or directional component of the strategy is robust and adaptive. It allows for market behavior to establish time scales most suitable for capturing material price moves in a particular market. The directional component has a slight bias towards trades that would participate in rising commodity prices, rising interest rates, and a weakening U.S. Dollar.
The short term component considers tick data across multiple time frames from 4 days to 50 days to locate trading opportunities. The model looks for “set ups” that would tend to signal a break out from an area of price congestion. It also searches for an opportunity to profit from a trending market as it shows signs of reverting to a mean.
The option component is built around two concepts: 1) trend following signals are false more often than they are true. 2) the time value of an option declines rapidly as it approaches expiration. Marrying those two concepts together along with a futures based option defense strategy creates a unique stand alone trading strategy.
"There is only one positive way out of the “trap” the U.S. is in regarding debt, and that is through substantial economic growth over the long-term. BUT, almost every policy the US government has recently, and is currently putting in place, will limit growth. Therefore, if the government continues on their current trend, the only way out of the “trap” for the U.S. is inflation, the likes of inflation the U.S. saw in the mid-late 70’s / early 80’s" - Stuart Schweitzer - Managing Director and Global Markets Strategist for JPMorgan Private Bank
"This potential evolution from disinflation to inflation will likely proceed at different speeds in different parts of the globe. It is already well in train in emerging economies and will remain so, over the medium term, the United States will be next, with Europe and even more, Japan, lagging," - Mohamed El-Erian, chief executive and co-chief investment officer, PIMCO
