Who We Are ?
We're a team of data scientists, investors, economists, and financial market analysts who share a passion for pursuing alpha.
Our Flagship Fund - Picasso M1
Objective: Generate consistent and superior risk-adjusted returns by exploiting opportunities arising from changes in global macroeconomic regimes and by meticulously selecting momentum stocks to capitalize on market dynamics.
Investment Thesis: Macroeconomic dynamics exert a profound influence on financial market trends. Accurately identifying shifts in macroeconomic trends and categorizing time periods into distinct market regimes with momentum stocks creates a competitive edge in generating consistent, risk adjusted returns and managing overall risk.
Strategy: Systematic quantitative portfolio. Using the power of advanced machine learning algorithms, we analyze weekly and monthly macroeconomic indicators from over 20 countries. We continually assess the prevailing market regime to assign the current month as a risk on or a risk off period. Based on the current prevailing market regime, we construct and optimize a risk balanced portfolio that aligns with the prevailing regime. Portfolios consist of high performing momentum stocks, highly liquid US indexes and ETFs spanning various asset classes, equity sectors with daily risk management.
By using a simple strategy that only invests long in S&P 500 during risk on regimes and holds cash during risk off regimes we show below that GGM1 (blue line) predicts downturns in the S&P 500 resulting in lower drawdown, lower volatility, higher sharpe ratio with similar CAGR. The success of this simple GGM1 strategy demonstrates the ability of the GGM1 model to accurately identify market regimes. By using GGM1 coupled with our momentum based strategy we show strong outperformance compared to the S&P 500
Historical simulated results: All historical results presented are simulated outcomes derived from rigorous systematic walk-forward testing from February 15, 2012, to July 21, 2023. Our Picasso M1 strategy demonstrates exceptional risk-adjusted performance metrics compared to the S&P, with an average 31.95% annual return between 2012 and 2023, versus 11.4% for the S&P, and nearly twice the Sortino ratio and a sharpe of 1.23. On a calendar-year basis, we outperform the S&P 9 years out of the last 12 years, with the strategy only experiencing one negative calendar return compared to the S&P's three negative years during this period. Our monthly win ratio is 70.29% (97 out of 138 months). Additionally, our strategy exhibits a remarkably low beta of 0.03 and a daily correlation with the S&P 500 (SPY) of just 1.88%.
Contact us
Contact us to learn more about our fund and how you can invest. Certain restrictions apply based on state and federal laws.