Cape Town, South Africa: Steyn Capital Management


Steyn Capital: Exploiting market inefficiencies in undervalued and overlooked African and Frontier Markets

This Virtual Manager Visit takes us to Steyn Capital Management, an established African and Frontier markets focussed equities investor located in the winelands surrounding Cape Town, South Africa.


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.

Previous Manager Visits


New Jersey: Doshi Capital Management


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.


Germany: Quantumrock


How Quantumrock has "industrialized" the development of trading models through AI and achieved material outperformance

According to Quantumrock's CEO Stefan Tittel, his firm is an AI-driven tech company in asset management rather than an asset management company applying "a bit" of technology. He quickly adds that this is "not a subtle but a major difference."


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.

Stefan Tittel
Michael Zeller
Dr. Dr. Roman Gorbunov
Fabio Balloni

Germany: Aquantum


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.

Thomas Morrow
Carina Polzer
Christian Schneider

Florida: Target QR Strategies


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.


Zurich & London: ICON MoSAIQ Carmika JV


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:

  1. Icon Asset Management's Zurich office & the rationale for the ICON MoSAIQ Carmika partnership

  2. What ingredients MoSAIQ uses to create and all weather strategy

  3. 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

  4. The deeply rooted misconceptions and erroneous practices around hedging in the asset management industry

  5. 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