Investments

Investment Philosophy

The company invests in the global financial markets using a quantitative and fully systematic approach. Our investment philosophy is based on four major components, with the objective of producing superior risk-adjusted returns for our clients.

Quantitative Research

We deploy the capital of our clients by adopting a sophisticated proprietary quantitative research process. We apply the scientific method to analyze and test our hypotheses on vast amounts of historical in order to find signals of alpha. All the company’s strategies undergo an extensive backtesting and validation process before going into production.
Disclaimer: these investment products involve substantial risks of loss.

Technology

We invest a substantial amount of monetary and human capital with the objective of developing a superior technological and operational infrastructure. All the code is thoroughly tested by our quantitative developers before going into production. This enables us to minimize technological issues in live production and to easily make modifications when necessary to accommodate the requirements of an investment strategy.

Risk Management

Managing all types of risks for our clients and invested capital is of primary importance to us. We developed a sophisticated risk management framework with the objective of monitoring and keeping under predefined limits various types of risks embedded in our investment portfolios.

Talent

We understand that a primary factor of success for a company resides in its team. For this reason, we always strive to attract and retain the best human talent from advanced degrees in the scientific and technological fields. When new members join our firm we always make sure that they fit into our culture and can provide a significant contribution to the improvement of our business.

Investment Process

Thanks to our experience in researching and building new trading strategies, we have refined our proprietary investment process to periodically offer new innovative products to our clients.

1. Data Collection

In the first phase of our investment process we collect data from a variety of traditional and alternative sources. In order to maximize our chances of finding new sources of alpha, we consider multiple datasets, including financial, fundamental, macroeconomic, government, and alternative sources. This allows us to develop a deeper understanding of how financial markets work by testing our hypotheses in a more comprehensive and extensive way in the following phases of our strategy development framework.

2. Data Cleaning

We use proprietary automated algorithms to clean the vast amounts of data at our disposal. Thereafter, our data scientists review and check the automated cleaning procedures to make sure that the data sets are clean and can be used thereafter by our quantitative researchers.

3. Data Analysis

Our quantitative researchers analyze the data sets processed in the previous step using sophisticated and advanced statistical methods in order to find alpha signals. This step is a key differentiator, since alpha it is diffult to find and as a consequence it is important to have an excellent team of quantitative researcher that can identify hidden investment opportunities through vast amounts of data.

4. Backtesting

After the data has been thoroughly analyzed, our quants apply the scientific method to the financial data by testing their hypotheses though backtesting experiments on long time series data spanning multiple decades. By adopting lengthy historical datasets we reduce backtesting bias and increase the likelihood of robustness of our investments strategies across multiple market conditions.

5. Pilot Test

Once our quantitative research team has found investment strategies that have performed well in backtesting, we test them in a pilot live production environment with proprietary capital for a suitable period of time before offering them to our clients. This step is very important since it increases the probability that the strategy will work as expected in real market conditions, and allows us to have the time to fix potential technological issues before live production.

6. Production

Having confirmed that pilot trading returns are consistent with the backtest and what we expected, our investment team allows our clients to invest in the new investment product.

Quantitative Global Macro Strategy

During the summer of 2020 when the company was finally incorporated, we had the goal of engineering an investment product that would deploy capital in a globally diversified investment portfolio which, differently from other investments like equity or fixed income, had the expectation of producing returns both in calm and turbulent market conditions. For this reason, we invested more three years in researching our quantitative global macro program which allocates capital dynamically across multiple geographic regions and asset classes, including Equity, Fixed Income, Commodity, Currency, and Volatility.
Disclaimer: these investment products involve substantial risks of loss.

The Quant Global Macro strategy employs a long-term fully systematic quantitative investment process, deploying capital on publicly traded products on multiple exchanges across the globe. The strategy seeks to generate alpha by using sophisticated statistical techniques and advanced quantitative research in order to allocate capital globally across all asset classes, including Equity, Fixed Income, Commodities, Currencies, and Volatility. The investment portfolio targets a constant volatility level independent of market conditions.

Major Beneficiaries

Potential clients for our Quant Global Macro program include high net worth individuals (HNWI’s), family offices, and institutional investors. In particular, HNWI’s usually do not have the time and resources to perform financial research and constantly monitor their investments, so it is preferable for them to delegate the management of their capital to investment professionals. Family offices can invest in the strategy in an optic of portfolio diversification to benefit from investing in an investment product with performance uncorrelated to their current holdings. Lastly, institutional investors can allocate to a quantitative global macro investment product in a core-satellite investment approach within predefined criteria set by their investment committee.

Unique Value Proposition

The quant global macro trading program is different from other investment products offered by Global Macro hedge funds and Commodity Trading Advisors (CTA’s) for two main reasons.
First, it distinguishes from CTA’s by the way our investment portfolio is built and the ways it aims to generate alpha. In fact Commodity Trading Advisors, while also investing in a systematic way in similar products, are usually only trend-followers that do not take into account an asset allocation point of view and do not consider the building a globally diversified investment portfolio. Our investment program instead deploys capital systematically in all asset classes in order to build a diversified investment portfolio and aims at capturing sources of alpha different from the ones used by trend followers.

Second, it differentiates from other Global Macro programs in the investment approach used to decide where and how to invest in the traded products. Global Macro strategies are usually developed and implemented by teams of economists who base their decision in a subjective and discretionary way, which is subject to human biases and does not follow a rigorous approach. On the contrary, our investment program generates investment signals in a fully systematic way by using algorithmic rules that base their decision on our proprietary quantitative research process grounded on the scientific method.

Disclaimer: these investment products involve substantial risks of loss.

Investment Objective

The goal of the investment strategy is to deliver both long-term capital appreciation and preservation. To achieve the goal of capital appreciation, the strategy captures different sources of alpha embedded in the long-term investment horizon. To reach the objective of capital preservation, it uses a robust and sophisticated risk management framework that targets a constant portfolio volatility level independent of market conditions.

Portfolio Diversification

The program deploys capital in a globally diversified investment portfolio covering all asset classes, including Equity, Fixed Income, Foreign Exchange, Agriculture, Energy, Metal Commodities, and Volatility.

Investment Horizon

The strategy aims at capturing alpha sources embedded in long-term investment signals spanning multiple months or years. This enables the strategy to reduce transaction costs at a minimum by rebalancing less frequently compared to short-term investment strategies.

Investment Risk

The strategy targets a constant portfolio volatility level by adjusting the level of leverage periodically. This component has the objective of keeping a constant level of risk in the investment portfolio independent of calm or highly volatile market conditions.

Leverage

Because the strategy targets a constant level of risk, the leverage varies depending on the market conditions in order to keep the target portfolio volatility constant. In particular, leverage is increased during quiet periods and decreased in volatile market conditions in order to reduce the market risk of the investment portfolio.

Asset Classes

Our global macro investment program builds a globally diversified investment portfolio covering all asset classes. This action has the objective of minimizing concentration risks by not deploying an excessive amount of capital in a single financial instrument, geographic region, or asset class.

Equities

The program trades equity instruments from multiple regions around the globe. Among the developed markets it invests in the North America, Europe, Japan, and Australia. It also covers developing and emerging countries in Africa and Asia, like China, Hong Kong, Singapore, Taiwan, Indonesia, and South Africa.

Fixed Income

The investment strategy deploys capital in the fixed income sector by investing in bonds of different maturities along the yield curve, and both short and long-term interest rates in multiple countries around the world. Geographic regions include North America, Europe, Japan, and other countries in Asia, Africa, and Latin America.

Currencies

The program trades multiple currencies from around the globe, including the US Dollar, Euro, British Pound, Japanese Yen, Canadian Dollar, Swiss Franc, Australian Dollar, and New Zealand Dollar. Forex pairs include both G10 and emerging countries in order to maximize the set to available opportunities.

Commodities

The investment strategy trades commodities available on multiple exchanges over the world and from different sectors, including Agriculture, Energy, Industrial Metals, and Precious Metals. Examples of products traded include Crude Oil, Natural Gas, Heating Oil, Corn, Soybean, Wheat, Sugar, Nickel, Iron Ore, Gold, Silver, Copper, Platinum, and Palladium.

Crypto

The strategy employs a short term fully systematic quantitative investment process, deploying capital on publicly traded cryptocurrencies. The strategy seeks to generate alpha by capturing the volatile behavior of cryptocurrencies by potentially going long in bull markets and short in bear ones. The investment portfolio targets a constant volatility level independent of market conditions.

Geographic Regions

The investment strategy invests in financial instruments traded on multiple exchanges and different asset classes around the world. In order to build a broadly diversified global investment portfolio, the program deploys capital in both developed and emerging markets. Examples of markets traded include North America, Europe, Japan, Asia ex-Japan, Latin America, and South Africa.

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