AI Hedge Awards 2017

16 Acquisition International - Hedge Fund Awards 2017 Best New Multi-Strategy Fund: Tom Capital Growth Fund TomCapital AG Established in 2011, Tom Capital grew from a family office taking care of the needs of founder Thomas Stämpfli into a research driven fund manager. The firm’s flagship fund, the Tom Capital Growth Fund, was launched in December 2015, and the company is FINMA regulated. Thomas outlines the firm’s investment strategy and how this helps it to achieve its aims. “Tom Capital offers a fully systematic, mean- reversion oriented trading strategy in seven different futures markets which operates on strictly rule-based long and short investment decisions. The strategy does not allow for many discretionary overruling, i.e. it eliminates decision-making based on emotions or subjective biases. Numerous studies show that systematic strategies render continuously higher returns with less risk than discretionary and intuitive approaches. Our approach revolves around three key steps: forecasting, trading and risk management.” “Every investment decision is based on a forecast, the first step in our approach. We gather information for all our seven key markets: the SMI, S&P500, DAX, AUD/USD, GBP/USD, EUR/USD, and the 10y Treasury Notes. This information is then interpreted according to their different priorities be it value (Warren), macro (Soros), sentiment (Behavioral Finance) or technical (Renaissance). The big difference to any investment committee is that we codify this knowledge and apply it every day in a systematic way. The method used is called “scoring”. It has proven itself in many different areas as a robust and elegant way of combining different information sources to one decision. In many ways it is a similar approach as applied by the IBM chess computer “Deep Blue” against Kasparow; Deep Blue learned from the best chess games in the past and could apply that knowledge faster and better than its human counterpart. We make our forecasts available to our investors through our daily research reports.” “The forecast is then the key input for the next step, the trading, as it determines on which side and with which risk trading will scale into a position. The scaling is always reversion oriented, meaning the next position build-up will be at a more favourable price. In the rebound in the direction of the forecast trading then tries to eliminate the position at a volatility adjusted target price. This systematic methodology increases the accuracy of the forecast from about 60% to 75% to 80% for the individual trades. So in addition to benefiting from the accuracy of the forecast, it extracts value from the natural volatility of the market.” “The final step is risk management. It aims to reducing the draw-downs to less than 10% for the fund while maintaining the target return at 10% to 20%. Risk management is the core of all our activities. In portfolio construction we diversify across asset classes, markets and trading strategy separating our capital into 14 different and independent sources of income. In trading we back- test our models over 25 years and calibrate them, so the exposure and the draw down never exceeds defined risk limits.” “In forecasting we interpret parameters generically, limit us to maximum of 30 parameters and do not overweigh any of them in order to reduce the single parameter risk. We also exhaustively perform robustness test removing as much as 50% of the parameters.” The fund is registered in Switzerland and regulated by the Swiss supervisory authority. It provides tax reporting to other European countries. The share classes in USD, EUR, CHF are open to investors of all sizes starting with a minimal investment of 150 USD to 3 million USD: The fund’s investors are the managers of the fund themselves providing a nice alignment of interest, High Net Worth Individuals, family offices, institutional investors and fund of funds. Tom Capital AG is a privately owned, well-financed and fully independent Swiss financial advisor and authorized asset manager of collective investment schemes. We invited Thomas Stämpfli, founder and CEO of the company, to discuss the fund and its strategy in more detail. Company: Tom Capital AG Address: Othmarstrasse 8, CH-8008 Zurich, Switzerland Phone: +41 44 515 62 88 Email: [email protected] Website: www.tomcapital.ch “Our approach revolves around three key steps: forecasting, trading and risk management .” HF170024