Auryn Absolute Return
A fund that will change your wiew
What makes us different
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.
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?
The new core
of a moderate portfolio.
LOW VOLATILITY EURO
The strategy invest in Low volatility European stocks using quantitave criteria:
- Low relative volatility
- Positive Momentum
- Weekly rebalancing
The portfolio can have a maximum of 30 stocks being euro denominated Eurostoxx 600 stocks its universe.
A convex performance is achieved, with protection on bear markets while wide participation on bull markets.
ADAPTIVE ASSET ALLOCATION
The strategy is able to exploit positive momentum on a universe of 11 asset classes including bonds, equities and reits.
The strategy uses cash when there are no asset classes with positive momentum.
The weights are assigned with Minimum Variance.
The portfolio is rebalanced every month.
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.
Strategies that profit from options time decay. Single and option combinations are used to maintaing a market neutral position while maximizing positive theta across time.
Strategy that profit from common effects in the commodities market. These effects are carry trading, momentum and volalitity and are exploited in a universe of 16 liquid commodity futures.
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 28.39%* and a historic return of 19.45%*. 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
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. Its weitht is limited to 10%.
Auryn Absolute Return