Based in Paris, Metori Capital Management is a pure-play quantitative asset manager. The company was founded in 2016 by a group of seasoned professionals from Lyxor Asset Management (Société Générale). Metori is an independent business, 100% privately owned by its founding partners, whose interests are strongly aligned with those of our investors. The company brings together a team of experts in capital markets, portfolio management and IT infrastructure with a single objective: to generate investment performance with a scientific approach.
Metori represents the continuation of many years of research and development in quantitative investing. In 2017 the company took over the investment management of the Epsilon managed futures program, which 4 of the 5 founding partners ran previously at Lyxor. Epsilon was launched in 1994.
Metori has a strong footprint in Europe, mainly servicing financial institutions, asset managers, family offices and private banks. The company also manages a Chinese futures investment strategy, which was launched in 2014, for professional investors in Mainland China.
We believe that the scientific approach allows to uncover market complexities in order to generate performance. Guided by academic findings and empirical analysis, we design and implement quantitative investment strategies to help investors benefit from global market opportunities.
Our investment approach is global and scalable. We trade liquid instruments in all major asset classes and regions. We invest in regulated markets where we believe prices reflect the information available to millions of market participants.
Focus on market dynamics
We look at price dynamics to take positions rather than relying on any hypothetical “fundamental valuation” of markets. Using statistics and mathematics we identify the direction in which market forces drive asset prices and measure underlying uncertainties.
Metori combines the best ideas from academic research with empirical data analysis. We implement strategies that have sound statistical and economical foundations, which can be cross-validated over multiple time horizons and asset classes.
Metori’s investment process is systematic, meaning that positions and portfolio construction are generated by a model and implemented systematically. Our approach allows to remove arbitrary and emotional bias from investment decisions.
RANGE OF STRATEGIES
Our investment program, Epsilon, is the latest evolution of a strategy that started in 1994. The current version of the model was developed by G. Jamet and N. Gaussel from 2011 to 2012, and has been successfully implemented since late 2012. The program is available in a suite of Lyxor products. It can also be delivered by Metori through managed accounts, dedicated funds or club funds.
Epsilon Managed Futures Strategy
Systematic trend-following on financial and commodity futures: AIF launched in 1997
Epsilon Global Trend Strategy
Systematic trend-following on financial futures: UCITS launched in 2011 and US Fund launched in Sep. 2019
Metori China Trend Opportunities Index
Systematic trend-following on Chinese futures. First mandate launched in 2014
The objective of the Metori China Trend Opportunity Index is to achieve absolute returns over 3 to 5 years with little to no correlation to traditional investments. The program trades over 30 futures markets in China, long or short, by implementing systematic trend-following strategies based on mid to long-term quantitative signals. Such signals aim at identifying entry and exit points for each market, in order to capture trends both on the upside (long positions) and on the downside (short positions).
The Metori China Trend Opportunities Index (“the index”) is the property of Metori Capital Management.
The Index Methodology is not intended to be, or construed as, an offer or a solicitation by the Benchmark Administrator to sell, buy or invest in any ﬁnancial instrument or investment product, or to provide any kind of advice or service.
The Index seeks to replicate the performance of a hypothetical portfolio of Index Components. However, the Index does not actually invest in, hold or short the corresponding instruments. An investor in any product linked to, or benchmarked on, the performance of the Index will have no rights whatsoever to any Index Component or any other instruments underlying the Index. The Index is a statistical measure providing a representation of the value of a hypothetical portfolio, and shall not be construed or interpreted as constituting a fund, pool or any other investment vehicle.
Any investor, trader, asset manager or service provider making any use whatsoever of the Index, including (without limitation) managing or investing in any product linked to the performance of the Index, using the Index as a benchmark or providing services making references to the Index (each an “Index User”, collectively the “Index Users”), does it under its own responsibility and at its own risk. Prior to making any use of the Index, Index Users should seek independent financial, tax, accounting and legal advice. It is each Index User’s responsibility to ascertain that it is authorised to enter into any transaction or provide any service making references to the Index. Neither Metori nor any of its directors, officers or employees, will be liable or responsible for any loss or damage resulting, directly or indirectly, from using the Index in any way.
The performance of the Index over any time-period is not guaranteed to be positive. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RETURNS. The strategy underlying the Index allocation model bears a certain number of risks, including (but not limited to): poor performance, risk of losses, volatility, leverage and value-at-risk, market risks.
The Index aims to capture the trends of a selection of futures contracts. The Index may perform well in periods when futures prices are steadily trending up or down. On the opposite, the Index is expected to perform poorly, or even significantly decline, in periods when futures prices do not move in a consistent manner or experience trend reversals. Moreover, the Index performance is expected to be negatively affected in periods of correlated markets.
The Index embeds a significant leverage effect through its hypothetical exposure to derivative instruments. Leverage creates special risks and may significantly increase the risk of losses.