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Auryn Absolute Return
A fund that will change your wiew

ON WHAT IS POSSIBLE
Beyond
Established frontiers
This is
Our
Performance
A metastrategy
controlling
6 strategies
Absolute return
Why not make it the core of your portfolio?
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What makes us different
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Beyond
Established frontiers
Auryn Absolute Return uses a fresh approach when using the principles of portfolio building.

Our goal: A two digit return with a one digit volatility.

Fort the last 200 years a single strategy has prevailed: Buy and Hold. It’s been more than 50 years since the last paradigm shift: The Efficient Frontier, based on combining assets.

Harry Markowitz proved how combining assets to create a portfolio improved expected returns at every level of risk.

Our thesis states that an efficient frontier based on the combination of assets has clear room for improvement, not through active management but through the combination of strategies.

The result is a unique fund, built to achieve a two digit annualized return with a one digit volatility through the combination of six groups of absolute return strategies.

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AAR AURYN ABSOLUTE RETURN
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Absolute return
Absolute Return, Independence, a fund to hold forever.
Why not make it the core of your portfolio?

Buy and Hold makes us depend on the conditions of the market. With this approach, if the market goes up we make money, if the market goes down we lose it, generally speaking.

The absolute return approach comes as an answer to this situation: A variety of techniques to achieve regular returns while keeping volatility under control. A portfolio that becomes independent of the direction of the market.

 Why not make it the core
of our portfolio?

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AAR
Trend following
Mean Reversion
Spreads
Inefficiencies
Volatility
Asset Allocation
A metastrategy controlling
6 strategies
Auryn Funds has focused its energies to the development of systematic absolute return strategies, selecting six different groups to create Auryn Absolute Return.
 Each group of strategies is based on a different concept to extract alpha, generating a unique behaviour in terms of adjusted to risk returns while absorbing volatility from the total portfolio. The Metastrategy assigns weightings dynamically according to its results and volatility, achieving a stable behaviour as a whole.

The new core
of a moderate portfolio.

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Trend following
Mean reversion
Spreads
Inefficiencies
Volatility
Asset allocation
Back
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Strategy 1/6
Trend following

Strategies that profit from persistence in price direction, either bullish or bearish. Its robustness lies on the use of different criteria and objectives to initiate and close the trades, arising from different definitions for price persistence. This group of strategies observes a constant universe of 17 historically uncorrelated asset classes to spot new trends wherever they are emerging. The historic volatility of this group is 6.85%* and its historic return is 9.05%*.

*As of 28/11/14

Factsheet
Trend following
Mean reversion
Spreads
Inefficiencies
Volatility
Asset allocation
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Strategy 2/6
Mean Reversion

Strategies that profit from mean reversion behaviours after extreme movements, either euphorias or panics. The mean reversion behaviour is inherent to liquid markets, hence the use of futures over the main indexes. The strategies in this group also have different definitions for extreme movements, working on different time frames and generating diversified trades in terms of frequency and duration. The historic volatility of this group is 11.74%* and its historic return is 15.98%*.

*As of 28/11/14

Factsheet
Trend following
Mean reversion
Spreads
Inefficiencies
Volatility
Asset allocation
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Strategy 3/6
Spreads

Strategies that profit from taking long and short positions between pairs that are closely correlated by nature. The relationship must be based on an objective intrinsic reason (i.e. futures and their underlyings), excluding those pairs that do not have this dependency relationship. The instruments used in this group are indexes and volatility derivatives. The historic volatility of this group is 12.87%* and its historic return is 16.68%*.

*As of 28/11/14

Factsheet
Trend following
Mean reversion
Spreads
Inefficiencies
Volatility
Asset allocation
Back
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Strategy 4/6
Inefficiencies

Strategies that profit from common market inefficiencies in different financial instruments. These inefficiencies must occur periodically and be inherent to the market or financial instrument, thus being sustainable and not extinguishable by arbitrage (i.e. time difference between markets, derivatives expiration, earning reports, etc.) The historic volatility of this group is 9.93% *and its historic return is 14.19%*, and it uses ETFs and indexes derivatives.

*As of 28/11/14

Factsheet
Trend following
Mean reversion
Spreads
Inefficiencies
Volatility
Asset allocation
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Strategy 5/6
Volatility

Strategies that profit from different characteristics of volatility derivatives, such as the asymmetrical distribution of returns, negative correlation with the markets and its behaviour during contango periods. This group has very unusual results, with a historic volatility of 18.99%* and a historic return of 31.91%*. Due to this comparatively high volatility, this group receives a smaller allocation, still contributing with a high degree of alpha to the rest of strategies, in particular when the markets move sideways thanks to the term structure of volatility futures.

*As of 28/11/14

Factsheet
Trend following
Mean reversion
Spreads
Inefficiencies
Volatility
Asset allocation
Back
Annualized return:
Annualized volatility:
Maximum volatility:
Minimum volatility:
Positive months:
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Strategy 6/6
Asset Allocation

Strategies that use third party funds with a monthly rebalance and intramonth adjustments to create a dynamic asset allocation process. The fund selection process starts with a series of quantitative filters to determine the components, ending with an active trending management during the month until the next rebalance is due. Due to its low volatility, this group usually receives the highest weight in the portfolio. Its historic volatility is 2.41%* and its historic return is 7.14%*.

*As of 28/11/14

Factsheet
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Our performance
Our results have been analyzed in two different ways:
09/01/2007
BackTest
11/05/2012
Forward
19/04/2013
Inception
auryn funds
2008
2009
2010
2011
2012
2013
2014
Ann. Return 21,06%
Ann. Vol. 8,29%
Ann. Return 25,03%
Ann. Vol. 9,31%
Ann. Return 21,06%
Ann. Vol. 8,29%
Ann. Return 25,03%
Ann. Vol. 9,31%
Backtesting the rules from Jan 1st 2007 until May 11th 2012
Forwardtesting the rules from May 11th 2012 to April 19th 2013
Results are consistent in terms of annualized return and volatility
However, just as you do, we acknowledge the fact that tests and reality may differ
That’s why we haven’t created a standard benchmark for Auryn Absolute Return.
We will use our analysis to create a guideline that reflects our expectations: the historical linear regression of the recreated results
And we will compare our performance with it
We invite you to come with us and see how we do in terms of protecting your capital and giving you returns that do not depend on bullish markets.
Max
5 years
2 years
1 year
AURYN ABSOLUTE RETURN
00/00/00
AASABRA:LX
Auryn SICAV-SIF
Auryn Absolute Return
13,71 EUR
+0,04% (+0,29%)
Close 21/03/14
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