Quantitative Investment Strategies

A small set of great quantitative investment strategiesto produce superior long-term risk-adjusted returns

for our clients and partners

Season+

A quantitative investment strategy built on regular calendar patterns in financial markets or â€˜seasonalitiesâ€™, it
exploits the positive market bias around specific market events
+13% annual return since 2005 for a volatility of less than 8% per annum

Macro++

A global macro internationally diversified investment strategy, with a smart leverage procedure
targeting a high return for a volatility below 13% per annum, and where assets
are allocated according to a risk parity protocol so that each asset contributes the same amount
of risk to the overall portfolio
+16% annual return since 2005 for a volatility of 12% per annum

Macro+

A global macro internationally diversified investment strategy that is
purely quantitative and where low volatility and low drawdowns have been emphasized
+7% annual return since 2005 for a volatility of 5% per annum

VIX+ & VIX++

Two investment strategies geared towards high return seeking clients with annual returns of up to 50% p.a.
+49% annual return since 2009 for a volatility of 39% per annum for VIX++

+24% annual return since 2009 for a volatility of 19% per annum for VIX+

+24% annual return since 2009 for a volatility of 19% per annum for VIX+

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