TMQR

The Hedge Fund, Global Macro Fund and Trend Following Fund landscape. AUM

The Hedge Fund, Global Macro Fund and Trend Following Fund landscape.

Strategy Categories and Investibility

The Eurekahedge Trend Following Index is an equally weighted index of 38 constituent funds. The index is designed to provide a broad measure of the performance of underlying hedge fund managers who invest with a trend following strategy.

Strategy Categories and Investibility

To achieve the returns of this type of index an investor would need to invest and equal amount in each of a long list of funds each with minimum investment requirements from $100,000 to $1,000,000.

Strategy Categories and Investibility

Each category represents a unique style which can diversify a passive or long only portfolio but the process of accessing these return streams can be expensive and cumbersome.

TMQR Strategy Indexes and a New approach to accessing Hedge Fund, Global Macro and Trend following returns 

The strategies,  techniques and the sources of returns from these categories of manager are well understood. 

At TMQR we have pioneered the process of simulating manager styles using lessons learned from Big Data and Machine Learning to creating best of breed Strategy indexes that select top performing simulated managers.

The value proposition : Hedge Fund,  Global Macro and Trend following exposure to a choice of world markets without the cost of manager due diligence, the layering of management fees and a lower overall cost of operation leading to better long term return potential.

TMQR Strategy Indexes : access Hedge Fund, Global Macro and Trend following returns 

Hedged, High Conviction, Bullish and Bearish Strategy Indexes Covering the major asset classes:

Energy, Metals, Interest Rates, Agricultural and Equity Indexes.

These indexes simulate active management by combining passive exposure with a best in breed swarm sourced set of alpha signals.

TMQR Strategy Indexes : Vs other un-investable alternatives

TMQR Strategy Indexes simulate active management by combining passive exposure with a best in breed swarm sourced set of alpha signals.

The Eurekahedge Billion Dollar Hedge Fund Index is an equally weighted index of 183 constituent funds. The index is designed to provide a broad measure of the performance of underlying hedge fund managers who invest exclusively in and whose assets under management are greater than US'1000m'.

TMQR Strategy Indexes : Vs other un-investable alternatives

TMQR Strategy Indexes simulate active management by combining passive exposure with a best in breed swarm sourced set of alpha signals.

The Eurekahedge Long Short Equities Hedge Fund Index is an equally weighted index of 988 constituent funds. The index is designed to provide a broad measure of the performance of underlying hedge fund managers who invest with a long short equities strategy.

TMQR Strategy Indexes : Vs other un-investable alternatives

TMQR Strategy Indexes simulate active management by combining passive exposure with a best in breed swarm sourced set of alpha signals.

The Eurekahedge Trend Following Index is an equally weighted index of 38 constituent funds. The index is designed to provide a broad measure of the performance of underlying hedge fund managers who invest with a trend following strategy.

This phase of the product development offers professional investors or partners the opportunity to access proven proven trading strategies with the broadest mandate.  The prop trading operation uses sophisticated risk management styles and techniques unavailable in other investment vehicles based on TMQRs active strategy indexes.  The enterprise would be empowered to seek alpha opportunistically across all liquid electronically accessible markets. The prop trading opportunity set would deploy risk limited or hedged exposures with 3-5 times leverage to target returns in the 20-30 % annual range with a draw down around 15%.

The private nature of the enterprise would facilitate the development of specialized products  based on the partners requirements.

Phase 1 : Proprietary Trading Operational Costs

• The personnel requirements come to $790,000 USD per year.
• Office space $50,000 USD per year
• Server farm, platform cost  and Exchange data $15,000 USD per year.

Phase 1 : Proprietary Trading Capital Requirements

• $30 million USD
• a 15% return is $4.5 mil less ~$ 900 k in expenses leaves $3.6 mil in revenue.

Phase 1 : Proprietary Trading Operational Costs

• 2 Data Science/Quant professionals : manage technology and automated trading operations and reporting. $220,000 USD/year.
• 1 Portfolio Manager : to construct portfolios, define investment objectives, direct research and guide risk allocation. $350,000 USD/year plus 15% of profits.
• 1 Trader : To monitor automation, execution, manage broker relationships. $90,000 USD/year.
• 1 Internal Council : entity creation, jurisdiction selection, enterprise compliance $130,000 USD/year.

The prop trading enterprise would look to raise $30 million USD and

rapidly deploy capital across a variety of assets classes based on the research product of TMQR.  TMQR is the research and development arm of TML a pioneer in the Systematic and Quantitative investment space.  Key partners here would include Family offices, Venture Capital funds and Angel Investors who are underexposed to financial markets or in need of a liquid alternative to real estate.

A well established category of the alternative investment space the CTA / ADV categories would offer an outlet to monetize versions of strategies developed within the prop trading operation that have been domesticated and suitable to public consumption. Typically run through separately managed accounts this type of business has collected around $370 billion in assets and commands 1-2% in management fee plus a 10-20% performance fee.  The automated nature of the TMQR research and execution model would offer the possibility to disrupt this corner of the money management business in both the exchange traded derivative and conventional equity space.

The CTA/ ADV businesses  would require another separate legal entity with plans to offer programs to individual and institutional investors domestically and internationally.  Prop trading partners networks and word of mouth would help to swell the client base of this business segment.  To cover the start up, registration and offering documents plus legal and accounting a capital raise of

$10 million would be required.

Phase 2 : CTA Operational Costs

• 1 Data Science / Quant professional : $110,000 USD/year
• 1 Marketing Manager / Investor Relations : $130,000 USD/year
• 1 execution trader to monitor algorithms and technology operations : $90,000 USD/year
• 1 Internal Council for compliance, investor relations, licensing and reporting. $130,000 USD/year
• CTA / ADV unit personnel totals $460,000 USD/year.

Phase 2 : CTA/ADV Capital Requirements

• $10 mil USD seed for the establishment of a separate track record for the CTA/ADV unit.
• This capital based would be used to trade 3-5 " programs" that would be marketed to independent RIA in the US and UK.
• Marketing agents of the division would be responsible to gather assets for the " programs".

 A growing and often overlooked business segment is the Alpha capture or Alpha as a service segment. This has emerged from two coincident forces the MIFID II regulation in Europe which required the  unbundling of research which led to the establishment of firms like TIMS https://www.timgroup.com.  At the same time firms like Quantopian and Numeri have attempted to build platforms to crowd source alpha to be used a research input to hedge funds.

​The essence of the business here is to sell alpha signals to qualified end user across a range of asset classes. The alpha as a service arm would be another  way to monetize single product signal research developed for the prop trading and CTA / ADV businesses.  Specific teams would be tasked with developing and maintaining  products for distribution on existing alpha capture and crowd sourced alpha platforms. 

Phase 3 : AaaS Operational Costs

• 1 Data Science / Quant professional responsibilities would include porting algorithms to other crowd source alpha platforms in addition to developing internal TMQR portal : $110,000 USD/ year
• 1 Marketing Manager / Investor Relations : $130,000 USD /year
• Platform memberships or distribution costs : $20,000/year

Phase 3 : AaaS Capital Requirements

• this division does not have a capital requirement as the primary role is to  curate and distribute alpha signals. This division does not derive revenue from trading.

After the other lines of business have been established the launch of a Hedge Fund vehicle for third party investors would offer the greatest upside for firm revenue in the form of a management and incentive fee. This vehicle would be required to clear  a number of  regulatory hurtles in addition to the formation of a number of new legal entities.  Start up costs could be $2-4 million as there could be possible synergies with the CTA/ ADV startup.

Phase 5: Hedge Fund Operational Costs

• 2 Data Science/Quant professionals : manage technology and automated trading operations and reporting. $220,000 USD/year.
• 1 Portfolio Manager : to construct portfolios, define investment objectives, direct research and guide risk allocation. $350,000 USD/year plus 15% of profits.
• 1 Trader : To monitor automation, execution, manage broker relationships. $90,000 USD/year.
• 1 Internal Council : entity creation, jurisdiction selection, enterprise compliance $130,000 USD/year.

Phase 5: Hedge Fund Capital Requirements

• $110 Mil USD required seed capital.
• $800,000 Annual Operation expenses.
• $200,000 for legal entity and administration of the vehicle at launch.

Annual Proforma Revenue by Division

Proforma Cash Flow by Division

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