Model: Tech Hedge Market Neutral
The strategy identifies large cap Technology winners and hedges them with equal short allocation by identifying a set of uncorrelated constituents. The hedger uses Neuravest's proprietary pattern matching technology geared to identify which constituents exhibit inverse price behavior (relative to the market). When adding the short positions to the core holdings we in turn get a nice smooth low vol return that accrues over time.
Hedge positions are selected from the Russell 1000.
The portfolio re-assess its positions every week. It also holds between 10 and 20 positions with max allocation of 15% per position.
Over its five years backtest, the portfolio exhibits returns every year.
Max drawdown of -13.2% and a Sharpe Ratio of 1.20.
Over 5 years its average annual return stands at over 20%
The portfolio is uncorrelated to the S&P with an R^2 of 0.01 and IR of 0.22.