Quant Chameleon

Created to preserve capital

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Strategy's purpose
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Main features
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Investment process
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Results
01/04

Strategy’s purpose

A Global Tactical Asset Allocation extremely adaptive with risk control. Created to preserve capital while participating in bullish markets.
Strategy’s purpose
02/04

Main features

Quant Chameleon is a bottom-up strategy 100% based on data. It’s able to adapt to markets by increasing its participation in bullish markets while turning to safe-haven assets on downtrends.

Besides its innate risk control mechanism (adaptation), Quant Chameleon deploys additional risk control measures through volatility limits and a loss-prevention mechanism. The latter will be activated when drawdown reaches a predetermined level.

This sophisticated quant methodology makes the most of fund’s universe richness. It selects best opportunities regarding momentum, controlling individual and combined risk at the same time by analysing their correlations. 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.

03/04

Investment (iterative) process

PROCESS 1

Own Yearly Universe Classification

ANALYSING THE UNIVERSE
Defining the investment opportunities based on our own quant funds analysis and risks & benefits.
CLUSTERING FUNDS INTO OPPORTUNITIES
Set of funds that look for the same purpose and show high similarity.
RANKING EACH OPPORTUNITY’S FUNDS
Selection of the funds that have proved stronger historical performance out of each opportunity.
PROCESS 2

Daily Market Adaptation

Based on 4 simultaneous parameters:

  • 01 MOMENTUM
  • 02 RISK CONTROL
  • 03 CAPACITY
  • 04 CORRELATION ANALYSIS
04/04

Results

04/A

Exposure evolution and accumulated performance

chameleon graph 1
Money market
Balanced
Fixed income
Equity
THE QUANT CHAMELEON
50MSCI AC World LOC + 50 db x-trackers Sov Euro 1-3
04/B

20 years Real Track Record

Consistent long-term returns.

ACCUMULATED PERFORMANCE

chameleon graph 2
THE QUANT CHAMELEON
50MSCI AC World LOC + 50 db x-trackers Sov Euro 1-3

KEY DATA

Focused on losing the least to win the most.

5.21%%

ANNUALIZED RETURN

162.29%

ACCUMULATED RETURN

5.01%

VOLATILITY

04/C

With a Positive Risk/Return Asymmetry

Higher odds of winning than of losing

EXPOSURE EVOLUTION ACCUMULATED PERFORMANCE

chameleon graph 3

With a 95% of confidence level.

18.38%

MAX. RUN UP

MAX. DRAWDOWN

-5.43%
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