AMC on Gold Star
Executive Summary
ALLX Ltd is a UK based fund manager. The investment objective of the AMC on Gold Star is to use a non-discretionary AI based systematic quantitative system to generate returns uncorrelated to the market and price trends. The system invests in short-term portfolios of diversified yet targeted exchange traded assets, including precious metals, industrial commodities, equity indices, currencies, and government and corporate bonds.
ALLX relies on Algorithmica S.A.'s technology to dynamically manage the strategy. Algorithmica is a Swiss quantitative technology firm that has developed a proprietary non-discretionary Machine Learning system, which is founded on the principles of Artificial Intelligence. The AI system creates prediction engines on a pre-determined selection of liquid exchange-traded assets and builds portfolios around these predictions. These predictions can result in positions being either long or short. Portfolio construction is subsequently the summation of these predictions. Each position's gross exposure is inversely correlated to the assets underlying volatility profile to hedge downside risk.
Predictions are non-discretionary and determined by our model through multi-factor screens utilizing securities price, macroeconomic data, market consensus variables. To effectively hedge risk the system can either take profits on a portfolio wide basis when pre-determined positive thresholds are reached or close all positions in a situation when negative thresholds are met.
Portfolio performance is primarily attributable to model-based asset selection, with a smaller contribution coming from the risk-weighting mechanism. Traditional performance drivers such as discretionary asset allocation, sector rotation, or alignment with benchmark trends do not play a role in the generation of returns. This AMC is optimized using the maximum Sharpe Ratio approach.
Algorithmica is a Lugano, Switzerland based quantitative technology firm. Algorithmica develops and deploys prediction engines on financial securities. The prediction engines provide weekly and monthly projections for the expected movement of asset prices. Some of the members of the quant team have their PhD's in Quantitative Finance and and or Signal Processing Communications from Imperial College, (formerly part of London University). For more information please visit Algorithmica.ch
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The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
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