LJM Investment Philosophy & Methodology

LJM‘s investment philosophy is to provide opportunities for individual clients and institutions to achieve aggressive returns which are uncorrelated with the general movement of the underlying S&P 500 Index. Accordingly, LJM is accepting to elevated levels of risk associated with more aggressive returns with the belief that the risk/reward scenario is favorable over a sustained investment period. Over the past twelve years the consistent application of LJM’s investment philosophy has demonstrated excellent performance for the patient investor with returns far exceeding the performance of the S&P 500 Index. However, no strategy can guarantee that future returns will follow past performance.

In addition to generating aggressive returns, the goal for all funds managed by LJM Partners is to perform in a manner that is statistically uncorrelated to the performance of the S&P 500 Index. Therefore, for investors who want to lower overall variability within a portfolio heavily weighted in U.S. equities, LJM Managed Futures Accounts can be utilized to attain the goal of decreased portfolio volatility.

LJM Managed Futures Accounts are suited to a client or institutional investor whose profile includes many of the following characteristics:

  1. Seeks aggressive returns relative to the S&P 500 Index.
  2. Has a longer term investment timeline of three-five years for an aggressively managed individual account and two-four years for a commodity pool participant.
  3. An individual with a substantial net worth where the minimum investment in an individually managed account of $500,000, or $100,000 for a commodity pool investment, would not comprise an unreasonably high percentage of total portfolio assets- typically less than 15% of the aggregate portfolio.
  4. An institution seeking to customize uncorrelated, aggressive returns within a diversified portfolio.
  5. A client who values asset liquidity relative to other non traditional investments such as real estate, art work, pink sheet stocks, private equity or venture capital funds.
  6. An investor who understands and wishes to manage overall portfolio variability.

LJM Investment Methodology

LJM has developed a rich expertise in trading equity index options. LJM trades options on S&P Futures as its primary investment vehicle and based on the specific LJM strategy may also trade S&P, VIX and Variance Futures contracts along with associated derivatives. Through extensive empirical trading experience, LJM has developed a market neutral trading strategy with a belief that the S&P 500 market is always efficiently priced. LJM does not attempt to forecast market direction, rather LJM derives profits as a function of the “time decay” characteristics of options or as a function of the changing rates of volatility surrounding equity markets.

LJM’s Aggressive and Moderately Aggressive strategies are based on a market neutral bias and volatility forecasting. LJM has developed expertise in adjusting for changes in market volatility and developed trading strategies for clients to profit in changes in volatility. LJM does not “day trade”, place “directional trades”, or attempt to “time the market”. LJM trading methodologies are proprietary and can be discussed with existing and prospective clients on a confidential basis.

If requested, LJM can tailor specific trading strategies with varied investment return targets based on the investment objectives including correlation factors and risk profile of an individual or institutional client.