The Royal Bank of Scotland plc (RBS) has partnered with Victor Sperandeo, known as Trader Vic, CEO of Alpha Financial Technologies LLC, to develop an innovative managed futures index designed to enable investors to benefit from volatile market conditions.
The Trader Vic Index (TVI) was developed by Alpha Financial Technologies and designed and calculated by RBS through an exclusive partnership. The TVI is a rules-based, long/short index comprised of a diversified basket of 24 futures contracts spread across three asset classes: physical commodities, global currencies and US interest rates.
“Working with such a seasoned money manager like Trader Vic reaffirms RBS’ ability to tap innovative investment ideas for our clients. As with any investment objective, the strategy is to deliver consistent, robust returns and the TVI is clearly an option for investors in Asia,” says Matthew Wong, head of equity derivatives & PIP Sales, Asia.
The TVI has the ability to go long and short which means investors can take advantage of both rising and falling market trends. Back-testing has highlighted the index’s ability to perform in all market conditions and has produced positive returns in greater than 98% of the time over a 12 month rolling period. This product is similar to managed futures products run by Commodity Trading Advisors however the TVI offers daily liquidity, transparency and vastly reduced fees. Based on the back-testing results since July 1990, TVI delivered a 13.1% annualised return, and outperformed MSCI World Index’s 5.0% with a significantly lower volatility of 7.5%.
“For decades, professional investors have recognized the value of managed futures as a portfolio diversification tool, especially during periods of high market volatility,” says Victor Sperandeo, chief executive officer, Alpha Financial Technologies. “The Trader Vic Index provides both retail and institutional investor’s access to a liquid, transparent managed futures strategy that incorporates my views on portfolio management. In RBS, we’ve found a strategic partner to deliver our latest investment strategy to clients across the globe and I couldn’t be more pleased with the support their product teams have given to our partnership.”
D.C.