Fabulous Five is a multi-stat fund that combines five of Lucena’s top performing uncorrelated strategies. The fund enables each strategy to operate independently but it allocates its cash based on a systematic mean-variance optimization (MVO) technology.
The five strategies are broken as two long only and two short only and one high dividend large cap as follows:
Analyst Consensus: A long only stock selection based on optimistic street consensus combined with strong fundamental and technical attributes.
Dynamic Short: A short only stock selection based on negative outlook derived from an ensemble of 7 uncorrelated filters based on Lucena’s fundamental and technical features.
Utilities Live: A portfolio of 11 utilities and energy stocks geared to track the performance of XLU. The portfolio tilts its allocation in favor of either group based on risk on/off conditions.
Pre-Earnings Long: A long only portfolio based on pre-earnings corporate event combined with fundamental and technical factors.
Pre-Earnings Short: A short only portfolio based on pre-earnings corporate event combined with fundamental and technical factors.
Allocations are re-assessed every 3 weeks with a minimum risk target and min/max constraints of 5 and 25% respectively.
Transaction cost and slippage are assessed at 15bps round trip. Stop loss conditions are assessed as the lesser between the strategy’s stop loss and a global stop loss of 6%