The Integra Master Fund is a Global Macro Fund launched in 1999 by Integra Capital, the President and Head Portfolio Manager is Richard Scalone. This fund manages $700 Million. Integra trades mainly the G7 currency pairs and some small percentage is fixed income
Integra utilizes a consistent three-step process:
1) Fundamental Analysis
2) Technical Analysis
3) Market Position Analysis.
This fund starts with a fundamental view that is derived from an in depth analysis. After the fundamental view is created, Richard and his group of annalist put the results through a detailed technical analysis, resulting in a confirmation or rejection of the initial investment idea.
Upon confirmation, they assess the market position as their final criteria to determine whether a trade should be consummated. The majority of Integra trade ideas involve trade options. They believe the way the trade is expressed is just as important as the analysis and decision itself. Why options? It helps both risk management and trade expression. Integra further uses an exhausting analysis of financial history and any projected influencing factors that might affect the market to plan option strikes, tenure and the amount of capital to fund each position.
The above three-step methodology generates a diversity of ideas for their funds. Using daily, weekly and monthly press releases, a variety of research reports and news items, Integra is able to generate sufficient ideas on a consistent basis. They then use traditional charting methods (Fibonacci, Elliot Wave, RSI, Stochastics, standard bar charting), in-house proprietary analysis and their fundamental assessment of market to further confirm their views. Finally, using IMM Commitment reports and other trusted Market sources, they combine this data to solidify their initial views.
Integra implements all views using vanilla "call or put spreads" via options (expending set premiums to mitigate their risk). Once they have a position established, Integra manages net exposure by trading the deltas of the positions with underlying instrument on an "intra-day" basis. Utilizing stringent stop loss and limit orders on the delta trading, Integra monitors and adjusts these orders using a fully-staffed, 24 hour desk. Integra also manages risk using a propriety model based on various standard deviation movements.
Their goal is to produce consistent, absolute returns in the 11% to 15% range. Maintaining a low correlation to any specific market sector with low volatility.
Integra's "edge" results from the trade expression itself, as 100% of their longer term positions are expressed through options. Using less capital than other funds allows Integra to take larger positions. Through these options, Integra enjoys the staying power to maintain a view that might not be achieved using a directional view due to 'normal' price fluctuations. Their variety of aspects of options gives rise to many trade management choices that, again, outweigh the benefits of directional positions.