The global macro strategy trades the most liquid futures markets in fixed income, foreign exchange, stock indices and commodities. The positions are based on signals generated by a discretionary systematic hybrid approach; a library of roughly 50 systematic patterns are combined across several time frames to form an opinion on each underlying market.
The patterns are partly enhanced using machine learning tools to increase accuracy. In addition, the strategy benefits from a fundamental macro overlay. The strategy seeks to achieve equal weight for each position, with a risk of ca 0.05-0.15 stdev per trade giving an overall portfolio risk of roughly 0.5% VaR95%.
Long/Short Equity Technical
The long/short equity technical strategy is focused on the most liquid listed US equities. Three long/short portfolios are implemented; the first uses several technical screens with specific setups which are further analysed for short term patterns to identify share price direction over the next one to five days.
The second portfolio trades a fixed universe of 60 stocks within six sectors (technology, finance, basic materials, services, consumer goods and utilities) using pattern recognition enhanced by machine learning, usually trading pairs within each sector with an average holding period of 5-20 days.
The third portfolio screens for fundamental factors and then applies pattern recognition, machine learning and macro on weekly charts to take positions ranging from two to eight weeks. All three portfolios are designed to be market neutral resulting in a total portfolio made up of roughly 15-20 long and the same amount of short positions, with an individual risk of ca 0.05-0.15 stdev giving an overall portfolio risk of 0.5% VaR95%.
Long/Short Equity Fundamental
The long/short equity fundamental strategy is focused on the most liquid and attractively valued listed US and European equities, based on traditional fundamental value-based methods. The portfolio aims to be market neutral, implying a hypothetical zero percentage risk exposure to the stock market at all times. The portfolio is based on sector spreads, with two to four long sectors and the same amount of short sectors. Each sector consists of two to four stocks, each individual stock with an equal weighting (long or short). The portfolio typically includes (3+3)*3 = 18 positions (ranging from 16-24 positions).
All market sectors and geographies are screened for absolute valuation as well as valuation levels relative to their historical range, and relative to the valuation of other sectors/geographies and the average market valuation. The target is further assessed for its position in the business and credit cycle, its correlation with positions in other strategies and furthermore includes geographical and single stock screening, in order to find the most attractively valued sectors and stocks with the least correlation to other Antiloop strategies.
The resulting portfolio is typically made up of 18 positions of which nine are long and nine are short positions. The most important part is to correctly identify the sector spreads. The choice of the best single stocks within each sector in order to achieve the desired sector exposure is secondary.
The resulting portfolio has an overall risk of 0.5% VaR95%
Tactical Asset Allocation Cygnus
Cygnus is an asset allocation strategy that trades US equities, soft commodities and gold using ETFs, futures and cash equities. The objective is to produce a high risk-adjusted return over time and economic cycles.
Similar to that of a multi strategy fund, a fundamental pillar of the Cygnus strategy is that a combined allocation of diverse asset classes tend to counteract certain risks exhibited by isolated asset classes during various market regimes.
Building on this idea, a portfolio containing equities, commodities and precious metals is constructed. To derive a suitable allocation level for each asset class, a combination of fundamental and technical analysis is performed.
The resulting portfolio has an overall risk of 0.5% VaR95%.
Tactical Asset Allocation Emerging Markets
The tactical asset allocation emerging markets strategy is a long only strategy, allocating between stocks, bonds, commodities and gold using ETFs. The goal is to achieve good risk adjusted absolute returns while at the same time outperforming a benchmark and limiting drawdowns.
The benchmark used is a modified version of Bridgewater’s All-Weather portfolio, designed to perform well in all market conditions. Asset class weightings are roughly 30% stocks, 55% bonds, 7.5% commodities, 7.5% gold. To achieve better risk-adjusted returns some modifications are made in the TAA EM strategy.
First, risk is moved from bonds to commodities and gold due to a perceived stagflationary environment following massive amounts of money printing and high levels of debt around the world. Also, with many interest rates near or below the zero bound, we believe there is better upside potential in other asset classes.
Second, we focus on emerging markets where valuations are lower and there is more potential for future growth.
Lastly, the benchmark portfolio allocates risk instead of capital, resulting in a risk allocation of 30% EM stocks, 30% EM bonds, 30% commodities and 10% gold.
The TAA EM portfolio uses pattern recognition, machine learning and fundamental macro on a large universe of ETFs to achieve its objectives with an overall risk of 0.5% VaR95%.
Short Term Futures
The short term futures strategy uses a technical and event driven approach to find short term opportunities in futures. Both long and short positions are taken and the objective is to minimize correlation with the overall market.
No positions are held overnight and the frequency varies between 200 to 500 trades per month. Since the strategy rarely holds positions overnight, a maximum daily position and loss limit is imposed to control risk instead of using daily VaR measures.
Short Term Equity
The short term equity strategy uses an event-driven approach to find alpha opportunities in global cash equities. Both long and short positions are taken, typically by employing a mix of technical and fundamental analysis.
The strategy aims to minimize correlation with the overall market. As traditional risk measures during these types of events lose some significance, a conservative discretionary approach is used to set risk limits in absolute terms for each position.