Global Tactical Asset Allocation

Bottom-up quant GTAA investment strategy designed to get a long-term consistent return by identifying the most consistent global market trends and smoothly adapting to them.

Why?

Why?

To be able to preserve capital in uncertain and volatile markets while accessing global opportunities both geographically and thematically.

How?

How?

Selecting the best asset-class opportunities regarding momentum, controlling individual and combined risk at the same time by analysing their correlations through adaptative clustering techniques.

What?

What?

Systematic methodology that classify global funds universe after a quantitative & qualitative analysis. Grouping similar funds into opportunities, providing a ranking from each opportunity's funds.

Real track-record

Portfolio Benchmark Cash EUR
Total Return 258.6 % 143.7 % 47.4 %
Annualized Return 5.1 % 3.6 % 1.5 %
Annualized Volatility 5.3 % 7.6 % 0.1 %
Annualized Sharpe 1.0 0.5 10.5
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The Quant Chamaleon

Our GTAA strategy and the chameleon share 4 essential features which have allowed them to be long-lasting survivors:

Adaptive

Adaptive

Adapts to markets to preserve investors capital.

Cool Headed

Cool Headed

Takes investment decisions 100% based on data.

Risk Control

Risk Control

Dynamic risk reduction through volatility limits and a loss-prevention mechanism.

360º Vision

360º Vision

Reaches and profits from a rich funds universe.

Risk Control Mechanisms

Predefined Volatility Limits

Loss Prevention Mechanism

Daily Adaptation

Market Scenarios Analysis

The Opportunities Universe

Through an optimised process, historical stronger survivors are selected out of more than 28.000 funds to form the universe. Thus, the strategy profits from each fund's manager expertise and way of seeking alpha.

Analysing the universe

Analysing the universe

Defining the investment opportunities based on our own quant funds analysis and risks & benefits.

Clustering funds into opportunities

Clustering funds into opportunities

Set of funds that look for the same purpose and show high similarity.

Ranking each opportunity's funds

Ranking each opportunity's funds

Selection of the funds that have proved stronger historical performance out of each opportunity.

Related ETS papers

Yield curve modeling
Causality: interest rates and fixed income assets
Black-Litterman Sector Allocation
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