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 | 33.7% | 25.6% | 6.2% | 8.9% |
Rel. Return | 8.1% | N/A | -2.6% | N/A |
Beta | 0.32 | N/A | 0.22 | N/A |
Ann. Volatility | 17.7% | 25.6% | 7.6% | 16.4% |
Sharpe | 0.48 | 0.47 | -1.72 | 5.29 |
Drawdown | -26.4% | -33.9% | -2.4% | -2.5% |
IR | -0.14 | N/A | -6.91 | N/A |
Tracking Error | 23.5% | N/A | 15.4% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | -9.4% | -5.5% | 10.3% | N/A | N/A |
Ann. Volatility | 18.0% | 15.0% | 17.7% | N/A | N/A |
Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 1.1% | -7.2% | 1.2% | -6.6% | 8.2% | -3.8% | -6.5% | 3.1% | 4.2% | -5.7% | 4.1% | 2.1% | -7.1% |
Benchmark | 3.6% | -8.8% | 0.0% | -8.4% | 9.1% | -4.2% | -9.3% | 8.0% | 5.4% | -5.9% | 6.2% | 2.5% | -4.4% |
Rel. Return | -2.5% | 1.6% | 1.2% | 1.8% | -0.9% | 0.4% | 2.9% | -4.9% | -1.1% | 0.2% | -2.1% | -0.4% | -2.6% |