The strategy identifies large cap Technology winners and hedges them with equal long/short allocation by identifying a set of uncorrelated liquid ETFS. 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 long/short hedge positions to the core holdings we in turn get a nice smooth low vol return that accrues over time.
Hedge positions are selected from a wide array of highly liquid ETFs that span sectors, markets, exchanges and asset types.
The portfolio re-assess its positions every week. It also holds between 20 and 100 positions with max allocation of 15 per ETF position and 5 per single equity.
Strategy Overall | Bench Overall | Strategy YTD | Bench YTD | |
Abs. Return | 38.2% | 36.7% | 9.2% | 18.5% |
Rel. Return | 1.5% | N/A | -9.3% | N/A |
Beta | 0.38 | N/A | 0.96 | N/A |
Ann. Volatility | 17.4% | 23.5% | 14.9% | 13.4% |
Sharpe | 0.60 | 0.46 | 0.86 | 1.47 |
Drawdown | -26.4% | -33.9% | -13.6% | -10.3% |
IR | -0.01 | N/A | -0.93 | N/A |
Tracking Error | 20.9% | N/A | 7.5% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 6.4% | -8.1% | -1.0% | 8.9% | N/A |
Ann. Volatility | 15.3% | 17.1% | 15.4% | 17.4% | N/A |
Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | -5.2% | 4.1% | -2.1% | -1.8% | -2.1% | 2.9% | 6.3% | 3.6% | -2.1% | -7.3% | -3.2% | 12.0% | 3.5% |
Benchmark | -5.9% | 6.2% | -2.6% | 3.5% | 1.5% | 0.2% | 6.5% | 3.1% | -1.8% | -4.9% | -2.2% | 8.5% | 11.5% |
Rel. Return | 0.7% | -2.1% | 0.5% | -5.3% | -3.6% | 2.6% | -0.2% | 0.5% | -0.3% | -2.4% | -1.0% | 3.5% | -8.0% |