Accompanied by a warm "Hello", Jason Russell (hereinafter referred to as Jason) smiled and walked into the conference room of "20 14 Sino-foreign Derivatives Market Investment Exchange and Cooperation Conference" co-organized by Futures Daily. He is the founder and chief investment officer of Acorn International Investment Company in Canada, a chartered financial analyst and a member of the Alternative Investment Management Association. Jason has formulated the core system and strategy of Acorn International Investment Company, which has been continuously streamlined and improved.

Jason has more than 20 years of experience in programmatic trading. He has worked in American Trust Bank, Merrill Lynch and Canadian Imperial Commercial Bank (CIBC). In 2005, Jason founded Acorn International Investment Company. "I prefer to be my own boss rather than a big company with thousands of people." Jason said bluntly that his working experience in trust bank, Merrill Lynch and Imperial Commercial Bank of Canada made him very familiar with the operating procedures of large institutions and had the necessary knowledge of policies and regulations needed to run a company.

"Programmatic trading is actually like cooking," Jason said. In programmatic trading, data is raw material, the system is like a recipe, and the portfolio manager is a chef. To make a good dish and get a good profit, these three things are indispensable.

First of all, as the raw material of programmed trading "big plate", Acorn International Investment Company regards data research as the foundation of the enterprise. Jason said: "Our team has spent a lot of energy on data research. By analyzing some agricultural products reports or employment rate data, clearer indicators can be obtained to avoid ups and downs, fast-forward and fast-out. "

Secondly, a perfect recipe is the key to good food. When it comes to his R&D strategy, Jason is like a treasure. "Our strategy is relatively short-term and we hope to go faster than some long-term trend traders." Acorn International Investment Company is involved in a wide range of trading products, whether it is commodity futures or financial futures, from short-term and medium-term US Treasury bonds, German bonds and Italian bonds to Malaysian palm oil, European carbon emissions, crude oil and Japanese yen. "As long as it is a market with good liquidity, we will trade." Jason said.

Finally, as a developer, a boss and a "chef", Jason doesn't pursue the rate of return excessively. "We put risk control in the first place. Only when the risk management is done well, the benefits will naturally come, so we don't ask for excessive returns."

Acorn International Investment Company has achieved a rate of return of 30% or even 40% in 5-6 months, and the compound annual rate of return is stable at around 10%, which will exceed 20% in some good years. However, excellent CTA will not be complacent because of high yield, nor will it advance by leaps and bounds because of low yield. Acorn International Investment Co., Ltd. has its own coup in the balance of income and risk. According to Jason, "We set the annualized volatility at 65,438+06%, which means that the daily volatility keeps at 65,438+0% on average. When the volatility exceeds 16%, we will lighten our positions. On the other hand, when the volatility is less than 16% and the daily average volatility is less than 1%, we will not risk adding positions to 16%, but follow the market. Once the yield rises above 16% again, we will lighten our positions. "

When to put "raw materials" is also the key to a good dish. In terms of investment portfolio, Acorn International Investment Company will adjust its asset allocation in time according to market conditions. "If the commodity market yields better, we will allocate more assets in the commodity market. Last year, the stock market was very good, and we allocated more funds in the stock market. This year, we have been paying attention to coffee and grain varieties. " Jason said.

Jason is longing for the China market. "We are very interested in the derivatives market in China. China's derivatives market is huge and is developing in a good direction. We have noticed that China's crude oil futures platform will be opened this year and hope that China will launch more platforms later. " .

Jason is fully prepared for the possible regulatory difficulties in the China market. Jason said, "For us, on-demand response, diversified investment and vigorous development are the key to achieving excellent CTA, and they are also part of our business."