Kernow Asset Management: Capturing Contrarian UK Alpha
Kernow Asset Management is an investment manager focused on All-Cap UK equities. The team around Alyx Wood seeks opportunities with highly asymmetric return characteristics where the investment thesis is differentiated relative to consensus.
Kernow operates in the widening market gap between short-term quant-orientated traders and closet indexers.
The strategy uses analysis of fundamentals and catalyst-driven mean reversion to capture contrarian alpha from UK equities. The result is a concentrated and directional portfolio of hidden-quality longs and forensic accounting shorts.
Kernow's team believes that emotions and investor sentiment can swing dramatically more than cashflows and business model changes. Their investment process follows three distinct phases: "We value a company, pay less for it and then trade the catalyst."
The proprietary Kernow Index values every company in the UK Equity Market above GBP100m market cap. Catalysts are pivotal to the strategy: Kernow only trades material over- or under-valuations when they are triggered to move towards the mean. This bottom-up process helps unlock idiosyncratic value while avoiding value traps.
In this video, you will learn:
- Team, culture & contrarian mindset - the most important asset
- How to exploit behavioral biases and harvest "contrarian premium"
- The proprietary Kernow Index & Catalyst Tracker: Powerful, data-driven tools
- Why Kernow just trades UK listed stocks
- How Kernow benefits from the widening market gap between short-term quant-orientated traders and closet indexers
- Why Kernow spends almost as much time on analyzing other investors in their space as on companies: "When I get in, I know who I want to sell to."
- Why Kernow's investment process is hard to replicate
- Kernow's benefits to investors & investment outlook
Previous Manager Visits
K2Q Capital's Shin Samurai strategy: Identifying patterns not visible to others
K2Q Capital's Shin Samurai strategy is a statistical systematic Japan macro strategy using trend following and mean reversion models. K2Q's investment approach is unique as it combines Aman's decades of successful trading and investment acumen with cutting-edge academic rigour and innovation. The research is led by Katsuhiko Okada, a tenured professor of finance and Founder and CEO Magne-Max Capital Management.
Magne-Max is K2Q's exclusive research and development partner; Aman and Professor Okada have known each other since 1993 and worked together since about 2011.
Aman explains his strategy "processes publicly available data using our proprietary techniques to identify patterns not visible to others". Big Data is used to develop and refine the basic models to capture mis-pricing in the market. Elaborate statistical and mathematical techniques aim to generate alpha through market timing in both trend following and mean reversion models.
The strategy has some more unique characteristics:
- Trades only around twice per week
- Signal generation based on single stocks but trades only equity index futures
- Highly capital efficient and easy to leverage (up to 3 or 4 times)
- Uncorrelated, with high return attribution from shorts
- Attractive outlook given the current environment of stagflation where psychological oscillation tends to be large
Based on Professor Katsuhiko Okada's work (Okada was also the co-founder of Halberdier Fund, one of the first multi-billion dollar hedge funds in Asia), K2Q's strategy also capitalizes on behavioral finance, exploiting psychological and behavioral biases that are inherent in market participants and by "identifying the path of oscillating market psychology".
In this video, you will learn:
- Directional Market Timing: Possible or futile?
- Investment objectives and competitive edge of K2Q Capital's Shin Samurai Strategy
- Why the strategy is analogous to weather prediction
- Risk management
- Strategy outlook
Join Aman Oberoi in a LIVE interactive presentation "Small Managers - BIG ALPHA" Oct. 4th 11 am ET
With larger quantities of capital chasing the same Alpha strategies and continuing to erode Alpha, savvy investors are turning to smaller and/or emerging managers as they look for alternative sources of return.
Episode 10 of this ground breaking webinar series presents you another carefully screened panel of investment managers worth taking a look.
Register here: https://www.opalesque.com/webinar/#uw3
The session will be INTERACTIVE, all participants are invited to ask questions and contribute comments and feedback. Don't worry if the time does not work out for you' all registered participants will be provided a user friendly video replay link 24 hours after the live session.
Hilbert Group: Maybe a 4000% realised return in 8 months is a good reason to start a fund
Equipped with a Ph.D. in String Theory and exceptional practical experience in Game Theory as a poker pro and Swedish Poker Champion, Magnus Holm set out in 2017 to apply Game Theory to stocks and digital assets through volatility harvesting. Trading real money, his strategy was up 4000% in 2017 - a strong confirmation that the high volatility and low correlation of digital assets
makes them ideal for volatility harvesting.
He reached out to his friend Niclas Sandstrom - also with a Ph.D. in Theoretical Physics and with a distinguished career in finance and hedge funds. Backed by the eminent Norwegian investor Frode Foss-Skiftesvik, the two set up Hilbert Group in 2018 which since 2021 is listed on the Nasdaq First North Growth Market (ticker symbol HILB B).
The third key man is Hans-Peter Bermin - Ph.D. in Math Finance - who joined Hilbert in 2019. He is the former head of rates modelling at JP Morgan and Morgan Stanley and has 20 years of Investment Banking experience in Rates, FX and Equities. Hans-Peter is an active publisher and referee of scientific papers in Mathematical Finance. He authored his last four papers with Magnus Holm on Kelly Trading and Option Pricing Leverage, and Risk. Due to their deep theoretical research, the Hilbert team believe they have perhaps a more solid foundation to run sophisticated digital asset strategies than say the average hedge fund.
Hilbert's flagship strategy has a five-year real money track record with a total annualised return of 110%. Since inception, it has outperformed the S&P 500 around 43 times, and also Bitcoin. The algorithmic strategy trades a diversified (30+) set of Altcoins with the aim to maximize absolute returns across the cycle - bull market plus bear market. The strategy is long-biased and does not utilise leverage.
In December 2021, Hilbert also launched an AI-driven systematic traded trend following strategy that predominantly trades the most liquid and deepest markets (both spot and futures), specifically Bitcoin and Ethereum, with the objective to outperform Bitcoin on a risk-adjusted basis. It is primarily long-only and adjusts the risk-exposure according to the strength of the trend following signal. Risk-off is achieved by rotating part or all of the exposure into Stablecoins.
In this video, Hilbert also shares essential learnings & take aways from five years trading crypto. In addition, you will learn:
- Hilbert's 5 year track of exploiting volatility in digital assets
- What is "Volatility Harvesting"?
- How Hilbert's academical research helps develop unique Alpha strategies
- What is a Game Theory Optimal Solution and how to make extra gains from it
- Hilbert's competitive edges in a sea of 1000 crypto hedge funds. How do Hilbert's strategies perform in different market environments? How Hilbert's strategies fit into larger portfolios
- The "institutionalization" of crypto is real, and what that means for investors
- How to check the structural and operational quality of a crypto hedge fund
- The role of Hilbert's academical research
- Which changes are happening in the crypto markets right now and how do they affect traders and investors?
Hilbert Group started out as an asset manager back in late 2018 under the name Hilbert Capital and was co-founded by the current CEO Niclas Sandström and CIO Magnus Holm. The name change reflects the firm's expansion from being an asset manager to a full-fledged investment firm in the digital asset space, whereof asset management is one component. With Hilbert in the company name the team pays homage to one of the greatest mathematicians of all time, David Hilbert, who discovered/invented the Hilbert Space - a mathematical construct in functional analysis which is of central importance to Quantum Mechanics.
Hilbert Group is listed on the Nasdaq First North Growth Market (ticker symbol HILB B) and operates different verticals: Asset Management, VC-style Equity Investments, and Data & Analytics.
Interactive Fireside Chat: Advanced Crypto Trading Strategies
Secure your seat at a LIVE session on July 21 11 am ET with Hilbert Co-Founder Magnus Holm (Ph.D. in String Theory and former Swedish Poker Champion), hedge fund veteran Niclas Sandstrom (Ph.D. in Theoretical Physics) and Hans-Peter Bermin (Ph.D. in Math Finance and former head of rates modelling at JP Morgan and Morgan Stanley) on advanced crypto trading strategies.
The session will be INTERACTIVE, all participants are invited to ask questions and contribute comments and feedback. Don't worry if the time does not work out for you' all registered participants will be provided a user friendly video replay link 24 hours after the live session.
Some of the thing's we'll cover:
- Investing and trading cryptocurrencies: Which coins offer the best risk/reward?
- Advanced Crypto Trading Strategies based on Game Theory Optimal Solution
- Do trend following strategies work for cryptocurrencies?
- How can artificial intelligence be used to trade crypto?
- ... and anything else you wanted to know about cryptocurrencies but were too afraid / did not have a chance to ask ;-)
Dr. Niclas Sandstrom
Dr. Magnus Holm
Dr. Hans-Peter Bermin
A mindful approach to mathematics has helped Quest Partners LLC achieve over two decades of double-digit returns while maintaining a long-volatility profile.
Nigol Koulajian founded Quest in 2001 to pursue the development of specialized quantitative investment strategies with a focus on convexity. Quest's strategies seek to generate attractive absolute returns with significant positive skew while maintaining strong hedging characteristics particularly during tail events that may cause surprise losses in hedge fund and equity portfolios.
At its core, Quest believes that most market participants use basic statistics like standard deviation of returns as their primary measure for volatility and market risk. Furthermore, they tend to overutilize this measure as a proxy for risk budgeting and position sizing, which may create substantial distortions in markets. By measuring other components of risk which are not accounted for in volatility, Quest has been able to take advantage of these volatility mispricings, while generating positive returns and maintaining a long-volatility profile.
Quest's flagship strategy trades over 90 of the most liquid futures and FX markets. Timeframes for investments range from a few hours up to a few months. The average holding period is about 8 days, therefore it tends to react more swiftly than other longer-term investment strategies, especially as market conditions are changing.
Today, Nigol continues to lead the firm with the mentality of mindfulness meets mathematics, an approach which balances mathematical modeling with a deep awareness of market realities and behavioral biases. This philosophy permeates all aspects of Quest's business.
In this video, Nigol and Brian Brugman, Director of Research, speak to:
- Why most investors are blind to the market risk they are taking
- The effect of behavioral biases and how Quest uses crowding in markets to its advantage
- Quest's ~30 different measures of volatility and how they help identify the true risks in markets
- How two decades of meditation have provided Nigol with a clear edge in navigating markets
- Why some of the world's leading institutional investors allocate to Quest
Disclaimer: Past results are not necessarily indicative of future results. Commodity trading involves substantial risk of loss and may not be suitable for everyone. This is not a solicitation.
Inspired by Ackman and Canyon, Honest Capital unites best of two worlds and outperforms
San Francisco based Honest Capital was set up by Shawn Badlani, a veteran portfolio manager who cut his teeth as Partner and PM at Marcato Capital Management and before that at Canyon Capital Advisors and The Blackstone Group. At Blackstone, Badlani and his team worked closely with Bill Ackman on some of Pershing Square's earliest activist investments (2004-2006).
Later at Canyon Capital, Badlani honed his credit skills and got trained to focus on downside protection.
Shawn founded Honest Capital in 2020 as a concentrated, long-term, long-biased investor in high quality North American small and mid-cap equities. His early returns have been impressive with an 88.4% return net of fees in 2020, and additional strong returns in 2021 to date. Shawn takes concentrated positions in less-followed small and mid-cap companies and runs a liquid, transparent, tax-efficient public equity strategy, in an effort to compound capital at high rates of return over a long-term horizon.
Based on his unique skillset (equity selection and credit analysis), Shawn at times also engages constructively with company boards and managements team to unlock shareholder value from behind the scenes "in a friendly manner through logic and analysis, and then let them take the credit for it. That just works better for everybody."
Watch the video and learn more about:
- Badlani's three pillars for outperformance
- Screening Process & Timing: How to define and find "high quality companies"? Which patterns can cause high quality companies to sell in the market at a discount?
- Why Badlani is "always" looking at corporate events and special situations
- Badlani's "Hidden Asset Value" and "Sum-of-the-Parts" strategies
- Time Horizon Arbitrage: The Rewards of Being Long-Term
- Lesser cases, but high value creation: Friendly Activism. Case Study: Chatham Lodging Trust (CLDT)
- Why Badlani chose Honest Capital as firm name
Before starting the Honest Capital in 2020, Shawn Badlani spent almost a decade as a Partner and Portfolio Manager at Marcato Capital Management in San Francisco, a mid-cap, concentrated, value-focused activist hedge fund with $3 billion of assets under management at its peak. Before that, he was an investment analyst at Canyon Capital Advisors, a multi-strategy, credit-focused, value hedge fund based in Los Angeles, with ~$10 billion of assets under management at the time.
Badlani started his career as an investment banking analyst in the mergers & acquisitions advisory practice of The Blackstone Group. He received an MBA from Harvard Business School (2010) and an AB in economics, cum laude, from Harvard College (2004).
ESG pioneer Impact Cubed's new fund to capitalize on shift of capital to sustainable economy
which was the first absolute return investment manager signing up for the UN Principles of Responsible Investments (PRI) in 2009 - Impact Cubed has launched its Impact Alpha strategy with the mission to profitably accelerate the shift of capital towards a more sustainable economy.
Because markets are shortsightedly focused on the next eight quarters' earnings, they considerably underestimate the long-term impact of megatrends, particularly those related to the ESG considerations. And while for most investors, ESG is a compliance exercise which is solved with simple screening on overt solutions (e.g., screen out coal and go long renewables), Impact Cubed believes that a creative ESG thematic research agenda combined with disciplined portfolio risk management can deliver a repeatable and attractive return and "future-proof" portfolios.
Larry Abele, Partner & CIO, Impact Cubed has been researching ESG since 2008 and recognized early the fundamental necessity to generate robust ESG data and analytics. Today, Impact Cubed is using its unique 15-dimensional model of sustainability that enables them to run ESG as an attractive alpha strategy.
Hear from Larry Abele and Antti Savilaakso, Head of Research:
- Why proper ESG investing is data science
- How Impact Cubed exploits longer term shifts on the long and short side
- Why Impact Cubed's fund has a negative carbon footprint
- Portfolio Construction & Risk Management
- Why sustainable development offers much more investment opportunities than just climate
- Three thematic trade examples
Life Settlement: How Laureola Advisors got 98 out of 100 months positive
It's how you manage Longevity Risk, stupid! How boutique advisor Laureola got 98 out of 100 months positive:
The US life industry has paid out 100% of all unterminated policies in the last 150 years. A portfolio of life settlement investments can potentially provide meaningful returns in excess of current inflation while not being correlated to traditional markets and economic conditions.
There are two common applications of life settlements:
- as a fixed income alternative; and
- as an uncorrelated safe asset in a portfolio.
Such uncorrelated stable returns have attracted notable investors in life settlements such as leading US Endowment and Pension Funds (State of Michigan, Alaska Permanent Fund) and Warren Buffett's Berkshire Hathaway. Life settlements is also one of the few asset classes that can protect portfolios against the deflationary scenario, deliver stable performance in a "muddle through" scenario, and even do well in a moderate inflation scenario.
But ideally, life settlement funds are run by boutique asset managers who employ internal experts and cap the size of their fund, says Tony Bremness, CFA, of Laureola Advisors. Laureola has done well with 98 out of 100 months being positive and a double digit annual growth rate. This success comes down to proprietary sourcing, and foremost, how to manage longevity risk - a very complex risk and one that takes a variety of inputs and a variety of professionals to manage properly, according to Bremness.
Laureola employs 15 professionals and is solely focused on life settlements. The company has offices and representation in Toronto, Salt Lake City, Melbourne, and the BVI and is regulated and registered in several jurisdictions around the world, including UK, Singapore, Bermuda, BVI.
Hear Tony explain:
- What are Life Settlements? What is the use of the Life Settlement market?
- How do investment managers running Life Settlement strategies actually make money and/or extract Alpha? Which type of expertise is needed to successfully run such an investment strategy?
- How Laureola manages Longevity Risk
- The benefits of being a boutique advisor
- Benefits of the Life Settlement strategy for investors
- Outlook and Barriers to Entry
Tony Bremness is the Founding Partner, Managing Director, and Chief Investment Officer at Laureola Advisors Inc. Mr. Bremness is a frequent speaker at Alternative Investment Conferences, with a focus on Life Settlements. He graduated with an MBA (1985 McGill University, Canada) and has been awarded the CFA accreditation (1991).
Mr. Bremness has over 35 years of asset management experience, with portfolios ranging in size from $100,000 to over $10 billion. He helped design, structure, and launch several investment Funds, and has consulted to some of the world's largest institutional investors on Asset Allocation and manager selection.
Mr. Bremness founded Laureola Advisors in December 2012.
Jasper Capital: How quants outperform and generate Alpha in China's retail driven equity market
The founders of Jasper Capital recognized that China offered superior opportunities for growth and alpha generation. Bringing together a team with experiences from recognized U.S. financial institutions, the company was founded 2013 in Shenzen and established operations in Hong Kong in 2017 in order to leverage the Stock Connect. The Hong Kong office serves as a hub for international business operations, providing global investors a gateway to China's domestic equities exposure.
As one of the earlier quant managers to enter China, Jasper Capital has accumulated a wealth of investment and operating experience in the region and offers three core strategies to access the China A-share opportunity set - quantitative long only, quantitative market neutral, and quantitative directional. The company employs over 20 very experienced quantitative researchers and PMs who develop a comprehensive suite of technical, fundamental, alternative data and event driven signals to identify and exploit high quality uncorrelated alpha factors.
Currently Jasper has over 500+ signals in-production, and many more in their library, using a machine learning based non-linear approach to integrate signals. Jasper believes that precise risk management is the foundation of generating consistent excess return.
Join Matthias Knab in a trip to Jasper's Shenzen and Hong Kong offices to discuss:
- The opportunity set in China's A-share market where about 180 million retail investors account for about 80% of the trading volume
- Why should investors allocate to China?
- What are the primary sources for alpha generation in China's domestic equities markets?
- Jasper Capital's investment process to extract alpha: Signal generation, portfolio construction, risk management
- Is Jasper a high frequency quantitative hedge fund? How does Jasper control for exposures to systematic risk factors?
- How can investors access best the full opportunity set in mainland China?
Dr. Bo Huang
Prime Capital: A hidden champion with a top-tier track record for generating alpha consistently
Absolute Return is Prime Capital's origin and DNA: their "Blue Chip" multi-manager strategy has one of the best long-term track records in terms of resilience and alpha generation. Prime Capital also offers a "Select" strategy which focuses on alpha pockets generated by smaller specialized managers, while their "Liquid Alternative Credit" strategy focuses on short-term private credit niches.
Prime Capital's convictions revolve around the core belief that active asset management creates value. Specifically, the combination of expertise, experience and a disciplined repeatable investment process creates value or alpha consistently over time.
Learn from Dr. Werner Goricki, CIO: Why high valuations in most asset classes leads to high uncertainty with volatility and dispersion and why this environment should play out for Prime Capital's strategies.
Tilo Wendorff, Head of Absolute Return: How to invest successfully through cycles, build resilient long-term portfolios and avoid mental flaws and biases.
Daniel Huss, Director, Manager Selection on Prime Capital's best-in-class operational due diligence framework and scoring approach.
And why Prime Capital's lead analysts - Wanying Zhang, Victor Heinrich, Philipp Zehrer, and Philip Rotering - believe the company's culture and team-work approach contribute to excellent results and high client satisfaction.
Dr. Werner Goricki
Steyn Capital: Exploiting market inefficiencies in undervalued and overlooked African and Frontier Markets
Steyn Capital has been investing in African markets since 2009, and manages over USD $700m in South African long/short, and pan-African and global frontier long only funds. All of these mandates are managed with the same value orientated intensive research focus, and all have outperformed their respective markets since inception, with little to no overlap between each other.
Being a good short seller is also an advantage on the long side
Steyn Capital's CEO André Steyn started his investment career as a dedicated short selling analyst at Ziff Brothers Investments, where he applied forensic accounting analysis to ferret out short selling opportunities. This is almost certainly different to any other African or Frontier markets investor and has contributed to his excellent fundamental short selling record, adding over 400% of cumulative alpha on the short side over 13 years at his South Africa long/short fund.
Steyn points out that being a good short seller is also an advantage on the long side, since you can avoid buying potential "short sales". Steyn Capital is all about applying developed market research techniques learned during his time at Ziff Brothers Investments and Temujin to identify and take advantage of market inefficiencies. This is also why he gravitates towards African and other frontier markets, where is it still possible for intensive research to generate a fundamental edge in a variety of unknown and unloved equities.
Steyn's portfolio at the highest quality ever and lowest valuation since 2011
Africa has excellent demographics, with the number of working age adults expected to increase from 700 million today to well over a billion by 2035. This is in sharp contrast with the majority of the rest of the world, which is seeing declines in working age populations going forward. The implications for future demand for infrastructure and consumer goods is clear. Africa is also seeing rapid urbanization with 25 million people a year moving to cities, which is a further driver of built-in demand. Africa is also home to 30% of the world's natural resources and 60% of the world's uncultivated arable land. Much of this unexploited and only now coming into focus for international investors.
Given this highly positive demographic backdrop, Steyn believes investors would be surprised to learn that African investment markets are extraordinarily undervalued, as a result of investor apathy. His Africa fund, up 31% net end of May 2021, is trading at approximately 6x Enterprise Value / EBIT, which is close to the lowest valuation over the decade that the fund has been investing. The key difference this time around is that Steyn's concentrated portfolio of 17 high conviction names is the highest quality that it's ever been. The portfolio generated a ROIC of 55%, and has a weighted average market share of almost 70%, illustrating the market dominance of these businesses.
Learn more about:
- Steyn Capital's proprietary 15 step research process ensures exceptional research and efficiency
- The attraction of African markets and why it's a multi-decade growth opportunity
- Steyn Capital's four competitive advantages
- Trade examples and current opportunities in Africa
André Steyn is the CEO and Portfolio Manager of South-Africa based Steyn Capital Management, which he founded in 2008. From 2004 to 2008, André was the CEO of Temujin Fund Management UK, the UK arm of a billion dollar New York based hedge fund. At Temujin, André was responsible for all non-US investments comprising a long/short portfolio of approximately USD2 billion.
From 2002 to 2004, André was an investment associate at Ziff Brothers Investments, a multi-billion dollar hedge fund. At Ziff Brothers, he performed fundamental research for the purpose of recommending new investments for the firm's capital, and generated significant alpha by shorting companies with poor earnings quality.
André began his career at Andersen in 1998, completing his Chartered Accountant articles in Cape Town before transferring to the New York Mergers & Acquisitions practice where he advised companies and private equity funds on acquisitions. André is a Chartered Accountant and a Chartered Financial Analyst.
Market Timing: How Doshi Capital achieves the impossible
Heeten H. Doshi, CFA is the founder of Doshi Capital Management, a private investment management firm where he manages the Doshi Systematic Strategy Fund.
Heeten and his team run a market timing strategy which with a live track record of almost nine years, which defies conventional wisdom that you cannot time the market.
Heeten actually agrees with that when you're trying to market time on a daily basis, but with the right data and algorithms you might as well succeed in identifying risk on and risk off market periods on a weekly and monthly basis. Based on 7.5 years of fine-tuning and trading prop capital, the strategy opened up to outside investors in 2020, ending up 147.5% that year and continuing its positive run in 2021.
Heeten's investment approach has been formulated on the back of the 2000 dot-com and 2008 housing crisis with the aim to allow investors to stay invested through market cycles through a diversifying, absolute return strategy. The algorithmic model - both contrarian and momentum - brings together several investing disciplines into a multi-factor composite that forecasts short to intermediate-term risk on and risk off periods of the market with the aim to grow and preserve capital in any market environment: True diversification, but without giving up performance.
In this video, Heeten also explains:
- The simple secret to a high Sharpe Ratio: Produce Alpha, when markets are down, which the S&P is 45% on a weekly basis
- How systematic models allow you to successfully trade the markets that "have a mind of their own"
- Risk Management: Adaptive algorithmic stop-losses
- Doshi Capital's growing investor base
- How is the strategy expected do in rising interest rate environments?
Heeten H. Doshi, CFA is the founder of Doshi Capital Management, a private investment management firm where he manages the Doshi Systematic Strategy Fund. He also worked as a senior equity strategist in Brown Brothers Harriman's Portfolio Strategy team, where he focused on the economic market cycles and sector/industry investment recommendations. Before that he worked at Morgan Stanley as a research analyst where he conducted bottom-up fundamental analysis covering the transportation industry and at Lehman Brothers where he was a fixed income trader.
Heeten received an MS in Accounting from the University of Illinois and an MS in Management from Babson F.W. Olin Graduate School of Business, an undergraduate degree in Finance and has obtained the CFA designation.
How Quantumrock has "industrialized" the development of trading models through AI and achieved material outperformance
Founded in 2012, Quantumrock's aim was to develop a systematic scientific investment process to generate sustainable risk-adjusted returns for their proprietary trading activities. Their flagship strategy VSOP (Volatility Special Opportunities Program) has now a four-year track record with an 18% annualized return and achieved a significant outperformance: the COVID crisis of 2020 has been playing to Quantumrock's strengths with VSOP performing in both crash and recovery environments.
Since the beginning, Quantumrock has focused on machine learning and artificial intelligence methodologies to make an asset manager's core function truly scalable: the discovery process of new trading models. However, Quantumrock's experts are quick to point out that simple "out of the box" Machine Learning applications will fail when it comes to trading signal generation. Therefore, development, implementation and trading are closely monitored and supervised by the firm's in-house capital markets and risk management experts, which you will get to know in this video as well.
VSOP is a systematic multi-strategy approach that combines the advantages of balanced portfolio long-term risk-returns with the short-term hedging and alpha capabilities of a volatility overlay portfolio. It is designed to optimize the Sharpe ratio but also for asymmetric returns. The balanced/beta portfolio component (US equities via S&P 500 futures with US bond futures) is intended to generate risk-adjusted returns in bullish market phases by capturing positive market trends while the Volatility Alpha Overlay takes long and short positions in the VIX future. The overlay activates situationally in phases of increased volatility, aiming to capture volatility spikes and to generate alpha. Further, it provides downside protection by minimizing or even overcompensating potential losses from the balanced portfolio, without the disadvantages typically associated with volatility trades. In addition, trading models are dynamic (parameterized) and adaptive to changing environments, explains Dr. Dr. Roman Gorbunov, Head of AI-Systems at Quantumrock.
In this video, we'll discuss:
- How is VSOP different from competitors and traditional volatility products?
- How are the two strategies - Beta and Crisis Alpha - weighed?
- Why process automation is the key to the industrialization of trade signal generation
- How does Quantumrock apply machine learning and artificial intelligence?
- Three ways Quantumrock is modifying ML for signal generation & trading going beyond "Vanilla Machine Learning"
- How to add meaningful risk management to AI-driven investing
- Data governance, reporting governance and strategy control governance
Quantumrock's VSOP targets a volatility of 10% and is available via their new UCITS fund (in EUR, USD & GBP) as well as managed accounts and on Deutsche Bank's dbSelect platform where it is the only AI player and one of the top performers.
Dr. Dr. Roman Gorbunov
Aquantum: Systematic seasonality trading - a unique source of alpha
Former Winton Capital Senior Scientist Thomas Morrow has been creating trading systems for more than 25 years for major banks, hedge funds and Aquantum, the firm he founded in 2008. Aquantum specializes in systematic seasonality trading, an area that provides statistically valid results, with absolute returns that have largely no correlation with other markets and strategies.
While trading seasonal anomalies is a well-known trading approach, the way Aquantum performs it - via calendar spreads in a purely
time based and systematic way, aiming to exploit seasonality in the commodity forward curves, not in (outright) commodity prices - is pretty unique in the asset management space.
Thomas noted many years ago that commodity curves tend to move in a certain direction at certain times of the year. Further analyses showed that these moves are not only statistically verifiable, they can be backed fundamentally. Therefore, Aquantum does not simply trade statistical anomalies that appear in the data but patterns that reoccur due to fundamental reasons. These fundamental reasons can be summarized as changing expectations of market participants regarding supply and demand of a certain commodity.
In this video, you will learn:
- Why Aquantum's systematic trading edge #seasonality provides access to a unique risk premium and is a consistent source of return.
- Why Aquantum's trading strategies are largely #uncorrelated to all other asset classes.
- That seasonal patterns are #systematically analyzed and traded at Aquantum and why model-inherent risk management is a major performance factor.
- Details about Aquantum's #team of experienced professionals, history and organizational set-up.
How a veteran quant investor with 40+ years of experience still dominates the stock market
Robert Zuccaro, founder of Target QR Strategies, manages a portfolio of the ‘world's fastest growing companies' using a systematic process for stock selection. He's an early pioneer of quantitative stock research with 40+ years of experience in equity analysis who utilizes proprietary data and a unique body of knowledge in New High Stock research to invest based on facts - not opinions.
His impressive accomplishments include recognition as the only pension fund manager to rank #1 in INDATA twice among some 6,000 accounts - first for Monsanto returning 40.1% in 1979 versus 18.4% for the S&P500 and then again in 1992 returning 79.2% for the LA Fire & Police versus 7.6% for the S&P500.
As a fund manager, he produced a 20.4% annualized return over 28 years. During this same period, the best performing fund returned 18.7%. Thus, $1 invested in his portfolio would have grown to $178 before taxes compared to $31 in the S&P 500 Index.
Zuccaro seeks high returns by trading a concentrated portfolio of 25 "aggressive growth" stocks using quantitative strategies. In Q2 of 2020, average profits growth was 81% for companies in his portfolio versus an estimated decline of 44% for S&P 500 companies. Year-to-date through the end of August, the strategy has returned 74% compared to 17% for the S&P 500.
Learn in this Opalesque.TV video:
- The evolution of Zuccaro's quant models, how his award-winning investment process leads to high returns for his investors, and why his stock analysis differs from Wall Street
- The benefits of post-mortem analysis on his portfolios since 1978, why growth investing beats value investing, and why Zuccaro "never" looks at P/E
- Why Zuccaro only trades stocks and does not diversify with fixed income securities
- How Zuccaro deals with stock market volatility and how his strategy performs during market declines
- Why Zuccaro doesn't invest with other managers
Robert Zuccaro was an early pioneer in quantitative investing who created systematic methods for selecting stocks beginning in the 1970s. Throughout his career, he has dedicated over 50,000 hours to identifying the common threads of top performing stocks, and his findings are the basis for decision-making at the top performing equities fund that he now manages. He has authored numerous published studies and market commentaries and his book "How Wall Street Reshaped America's Destiny" will be published in Fall 2020.
Zuccaro's impressive 28-year track record of 20.4% annualized returns managing pension accounts and three mutual funds leads the market, and he is the only diversified fund manager to achieve three different years of triple-digit returns.
MoSAIQ aims to generate double-digit average yearly returns with no negative years.
It achieved all these objectives since launching its first strategy live in 2014: its flagship strategy Icon-MoSAIQ-Carmika Market Neutral is up more than +27% YTD net as of July 27th 2020 and has a live Sharpe Ratio above 3 since inception.
On this Opalesque Virtual Manager Visit, we'll travel to Zurich to visit Icon Asset Management and take a look at their ICON MoSAIQ Carmika all weather strategies.
Elias Nechachby, CFA, developed the first MoSAIQ models in 2006 by creating a long only strategy that demonstrated the ability to beat the S&P500 total return 70% of the time by 5% to 10% annually. He subsequently added a hedge engine in the 2011-2015 period, and the long/short volatility engine in 2015 to turn the strategy into an all weather absolute return strategy. MoSAIQ is based on behavioural finance paradigm and uses AI tools such as, but not limited to, genetic algorithms, neural networks and support vector machines coupled with proprietary techniques and a process-driven approach to build robust models that trade systematically in liquid S&P 500 and Nasdaq 100 cash equities, index and volatility futures as well as index options (Carmika permanent hedge).
Elias Nechachby's strategies have shown extreme resilience during periods of market turbulence, outperforming the S&P500 in both up and down years.
In this video, you'll also meet ICON Asset Management founder Richard Toolen before we'll take you to London to meet Manjeet Mudan, Ph.D., Martin Vestergaard and Michael Cameron from Carmika Partners.
This Opalesque Virtual Investor Visit covers:
- Icon Asset Management's Zurich office & the rationale for the ICON MoSAIQ Carmika partnership
- What ingredients MoSAIQ uses to create and all weather strategy
- Why the theories and academic framework that most multi-billion asset managers and hedge funds rely on to manage their portfolio cannot generate above average returns nor consistently beat their passive benchmark
- The deeply rooted misconceptions and erroneous practices around hedging in the asset management industry
- A new approach and a new way to look at risk management.
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To speak with our editor Matthias Knab, dial +49-89-2351-3055