Winner: Best managed futures hedge fund; Shortlist: Hedge fund of year

The Ikos Futures Fund is a multi-strategy systematic global macro fund carrying out global asset allocation between indexes, currencies, commodities, interest rates and bonds.

A currency-only option is also available.

Ikos creates and trades strategies based on robust mathematical modelling including statistical analysis, factor analysis and exploitation of multiple time horizon effects. Econometric models are combined with time-series analysis and market micro-structure models within an integrated risk management and Ikos' systematic high-frequency execution platform.

The fund seeks returns over timescales ranging from tick by tick, through medium-term technical up to longer-term fundamental periods in an attempt to capture diversified opportunity types that make the fund more robust to changing market conditions.

The fund is a completely systematic, quantitative strategy. It has demonstrated consistent risk-adjusted returns since the class launched in February 2010. While most managed futures funds were under water in 2010, the Ikos Futures Fund made a positive return of 22.8% with a Sharpe ratio of 2.27, well above 7% from managed futures funds overall.

The Ikos Futures Fund returned 3.37% in January 2011 and 1.51% in February.

Cyprus-based Ikos Asset Management has predicted 30% asset growth this year while revealing healthy performance across its main hedge funds in 2010.

The company was founded in 1993 by Ambrosiadou and ex-Goldman Sachs quantitative analyst Martin Coward who was previously married to Ambrosiadou. He left the company in December 2009.

The forecast for healthy growth in 2011 from Ambrosiadou comes on the back of a 56% increase in assets under management (AUM) to $2.3 billion over 13 months to January 2011.

Ambrosiadou said she expects AUM to hit $3 billion by the end of the year and to have increased staff numbers by 15% by then.

Hitting $3 billion would take Ikos closer to its pre-financial crisis size.

Along with many of its peers, the company's asset base shrank to around $1.4 billion in September 2009.

Ikos has been managing client assets from 1993 and was one of the first independent hedge funds in Europe.

Originally headquartered in London, the company moved to Cyprus in November 2009. It operates a global infrastructure with execution sites and research facilities in New York, Tokyo, Vienna, London, Cyprus and Monaco and has over 70 professionals dedicated to investor service.

Ikos as a company has built a reputation for taking advantage of volatile markets and delivering returns in every environment. It does this by using its proprietary technology to capture alpha from trading in global financial markets with fund classes listed in the Irish Stock Exchange.

The company's hedge fund approach to currency trading, coupled with an innovative, globally distributed execution platform and enhanced risk control systems, produce a persistent risk/return profile.

As well as using a completely automated and integrated approach to price forecasting, portfolio construction, risk management and execution, Ikos uses multiple models to exploit market inefficiencies across a range of timescales. The company takes advantage of the low cost and transparent nature of electronic markets. This delivers the benefit of allowing very short-term cost and information-sensitive trades to be executed efficiently in real time.

The company is registered as an investment adviser with the US Securities and Exchange Commission (SEC), is a National Futures Association member registered with the US Commodity Futures Trading Commission (CFTC) as a commodity pool operator and commodity trading advisor (CTA), is authorised and regulated by the Cyprus Securities and Exchange Commission, operates within the European Union's Mifid framework, is a member of the Hedge Fund Standards Board, completed SAS 70 Type 1 certification and is in the process of completing SAS 70 Type 2 certification.

Ikos investment products include fund classes listed on the Irish Stock Exchange and offering monthly liquidity with daily performance reporting. The company has also been advising managed accounts for many years and its strategies are available on third-party hedge fund platforms.

Fund facts
Full name of fund: Ikos Futures Fund
Name of portfolio manager: Alexander Masotti
Name of investment/management company: Ikos Asset Management
Contact information: Alexander Masotti, 1 Iacovou Tombazi Street, 201 Vashiotis Business Centre, 3107 Limassol, Cyprus (+357 2581 4714; marketingoperations@ikos.com.cy; www.ikos.com.cy)
Launch date: May 1997
Assets under management: $2.015 billion (including managed accounts) (at December 31, 2010)
Net cumulative performance since inception: 21.80% (since class inception in February 2010; fund inception May 1997)
Annualised return: 24%
Annualised volatility: 10.37%
Sharpe ratio: 2.28
Strategy: multi-strategy systematic global macro/CTA
Share classes: US dollar and euro
Administrator: Daiwa Fund Managers (Ireland)
Auditor: KPMG
Custodian: Brown Brothers Harriman
Prime brokers: Newedge and Merrill Lynch
Legal counsel: Maples and Calder
Domicile: Cayman Islands
Performance fee: 2%
Management fee: 20% with a high water mark
Early redemption fees: 2% if before one year
Minimum investment: €1 million (or equivalent)
Lock-in: none; redemption fee of 2% applies if an investor redeems within 12 months of the subscription date
Redemption/liquidity terms: monthly
Redemption notice period: 14 business days prior to end month