Sequoia, a Korean-based multi strategy CTA fund, is preparing to launch a global fund. Sequoia CEO Park Chang-Ki has spent more than 10 years developing a computerized futures trading model, which targets a 15% to 25% return per annum with 5% volatility, no matter how markets fluctuate.
The firm is not related to Sequoia Capital Management, a hedge fund based in Australia.
Park is currently based in his native country, Seoul, where he has been test running the model on the Kospi200 and KTB futures market.
"Our model has shown good performance in the Korean markets over the last seven months since we began trading," he says. "We're up around 15% so far, and volatility has been about 5%. We've also back-tested the model over the last seven years and performance has been in line."
Park says he plans to formally launch a global fund early next year, and is targeting an initial launch size of $10 million to $15 million. "We're seriously considering moving to Hong Kong to launch our global product as it is easier for investors and for regulatory purposes," he says.
Park notes that the nature of his strategy is fairly scalable. "Our trend-following system seeks to recognise patterns and generate investment signals similar to the [Man Group's managed futures investment manager] AHL model," he comments. "We're not driven by arbitrage opportunities so as long as trading volume is reasonable, competition and scalability are not major issues."
Park says that his strategy has capacity for up to $200 million if it was invested in Korea Korea, but could be at least 10 times bigger if it was scaled up on a global basis.
Park started his career as a sugar trader with Samsung where he worked for 14 years in Korea, London and New York. "Man was one of our biggest trading partners, and it was during this time that I developed my understanding of the futures trading business and began working on my own trading system," he notes.
After Samsung, Park got involved in developing an internet portal site, PAXNet, which received a $5 million private equity investment form Goldman Sachs and which he sold to SK Telecom in 2002.
Park is joined by partners James Yim and MK Kim. Yim, an aerospace engineer by training, has 15 years of experience in various roles in the futures and securities industry in the US, spending over 10 years specifically in systems trading. Kim, a mechanical engineer, is the software system engineer for Sequoia and was CIO with PAXNet together with Park.
Park says he is currently running $1 million of his own and friends money and has spent four years developing the trading model behind Sequoia. He is also currently writing a Korean language book on the history of hedge funds to better educate Korean institutions, investors and students.