The Fund is a systematic portfolio utilizing a number of quantitative strategies across oil-based markets to profit from uncorrelated trades within the oil spectrum.
Real time trading algorithms and data science are managed and updated using Python, MySQL and VBA. These were developed in house and are Sentinel’s IP.
The portfolio sub-strategies consist of the following styles that are prevalent in the equity, fixed income and FX markets, but are uniquely applied by SEAF to the oil futures, swaps and options markets:
Exploit the cointegration between related outright contracts versus time spreads, regional differences versus deferred regional differences, crack spreads versus deferred cracks
Profit from taking positions further out in the forward curve when their value diverges from the current spot price
Oil product cracks, grade differences and regional differences show a clear trend following behavior. This sub-strategy is more prevalent in the swaps market, as commercial hedging activity pushes values for sustained periods of time
Profit from long-term mispricing of oil futures volatility as well as profiting from short-term opportunities such as supply disruption and the impact of large hedging programs distorting the forward curve