The Cane-Kensington Opportunity Master Fund integrates various time-tested models that provide exposure across multiple non-correlated markets and asset types, providing a diversified portfolio of systematic trading strategies intended to generate consistent positive returns with low volatility and limited drawdowns.

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CANE-KENSINGTON ADVANTAGE

Our primary focus is managing underlying risk. We constantly monitor total portfolio risk, sector risk and individual position risk.

Cane Capital Management and Kensington Asset Management are research-driven investment management firms with a combined 40 years of investment performance.

The two firms share the belief that the best way to generate steady, above average returns is to limit drawdowns through a diversified portfolio of non-correlated strategies.

As Advisor, Cane's objective is to preserve and grow investor capital in both rising and falling markets. Cane utilizes a rules-based investment approach focused on active risk management.

Yield/Curve Treasuries

  • Quantitative models attempt to identify periods of active yield curve movement and invest in the short-term fixed income curve

Tactical Equity & Fixed Income

  • Systematic trading models to identify and participate in rising markets while avoiding period of market decline
  • Pivots between "Risk-on" and "Risk-off" portfolio postures

Currency Relative Value

  • Relative value between G-10 currencies

Volatility Arbitrage

  • Arbitrage opportunities in volatility
  • Time and volatility premium on S&P 500 Index puts and calls
  • Exploit inefficiencies in the VIX index futures curve

Non-Correlated Asset Classes Traded

Cane

 

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Active Risk Budgeting

Historically, asset allocations based on balancing risk across asset classes has reduced volatility through different economic cycles when compared to traditional fixed capital allocations. Our proprietary models look at different volatility measures to judge the risk of each futures market traded. The higher the volatility of each market, the smaller the position needed to achieve the desired level of risk and vice versa. This allows the fund to control risk at the security, sector and portfolio level.

Positionsize

Risk Mitigation through Portfolio Construction/Risk Budgeting

  • Portfolio is systematically rebalanced
  • Each asset class is analyzed for position and sector concentration
  • Positions are monitored for risk at each level - portfolio, sector, individual
  • Stop-losses engaged for each position
  • Profit and volatility targets examined daily
  • Position sized adjustments based on volatility and profit
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Kensington, an SEC-registered investment Adviser*, provides signals to Cane Capital for the Fund’s Tactical Equity and Fixed Income strategies.

Founded in 1984 by Bruce DeLaurentis, Kensington manages tactical strategies and mutual funds.  Its tactical funds include the Managed Income Fund (“KAMIX”), a tactical fixed income fund, Kensington Dynamic Growth Fund (“KAGIX”), offering a tactical approach to the equity markets, and Kensington Active Advantage Fund (“KADIX”), a balanced fund integrating the firm's equity and fixed income approaches into a tactical balanced fund.

Over the course of the last 37 years, Mr. DeLaurentis and Kensington have navigated numerous cycles in both the equity and fixed income markets.

* Registration with the SEC does not imply a particular level of skill or training.