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Abstract
Describing the Brevan Howard Systematic Trading Fund as merely trend following belies the complexity and intellectual considerations that have gone into creating the model. BH-DG Systematic Trading chief investment officer David Gorton explains that their underlying ethos is that a systematic approach to trading offers discipline, reliability and diversification. But they think it is important for model designers and investors to not overlook the fact that systematic strategies are designed, operated and overseen by humans. At the portfolio level, Gorton says there has only ever been one significant temporary change to the overall risk limits of the strategy since the fund's inception in October 2010. This happened soon after the fund started trading and, admits Gorton, was a difficult decision to make. BH-DG also sets other parameters that control overall risk and leverage. At the portfolio level there is a cap on margin-to-equity and VaR.