Quantitative Investment Strategies
A small set of great quantitative investment strategies
to 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 ‘seasonalities’, 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+