Hexis

Stability whatever the weather

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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

Quantitative stock investment strategy that uses Machine Learning and dynamic hedging seeking to generate stable returns regardless of market conditions.
Strategy’s purpose
02/04

Main features

Hexis provides exposure to equities without assuming all of the associated risks. Its robust risk-control measures limit drawdown and volatility, reducing capital losses. The strategy seeks to exploit investment opportunities in both bull and bear markets to generate steady returns, whatever the weather.

It’s an actively managed, long, pure bottom-up solution that brings in a smart and dynamic hedging. The portfolio will be hedged with short futures depending on volatility levels, gaining thus certain immunity to big market crashes.

Its adaptive management provides weekly recommendations and monthly hedge ratio adjustment and roll-over management. Cash and liquidity are managed with optimisation rules.

In sum: simplicity, liquidity, transparency and fair fees.

03/04

Investment process

A 100% algorithmic & 5-step iterative Machine learning investment process

01

UNIVERSE SELECTION

Hexis uses high-quality historical series containing share’s prices and fundamental information.

02

SCORING

Every share is assigned a score to build a ranking based on a dynamic calculation of risk measures.

03

CLUSTERING ANALYSIS

The strategy classifies the shares into groups with historical similarity, in order to discard the ones with anomalous behaviour and excessive debt.

04

HEDGE RATIO CALCULATION

Daily analysis of volatility levels of every share in the portfolio regarding its index.

05

EXECUTION & MONITORING

Continuous monitoring of corporate events and other.

04/04

Results

04/A

Cumulative performance

hexis graph 1

-2.5 times/year

HISTORICAL TURNOVER

-1.25

VAR 95% iw

A

SMOOTH INVESTMENT JOURNEY

Stable returns obtained throughout simulation, controlling falls even during the financial crash of 2008.

04/B

1 year rolling volatility

hexis graph 2

A

Stable level of volatility achieved.

4.63% - 13.13%

VOLATILITY RANGE

4.71%

CURRENT ROLLING VOLATILITY

04/C

1 year rolling drawdown

hexis graph 3

A

Drawdowns levels securely controlled.

Only overwhelmed by totally anomalous market movements.

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