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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
Time Value
Multiasset
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

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.

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.

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

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.

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

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.

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 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

Factsheet
Trend following
Mean reversion
Spreads
Inefficiencies
Volatility
Asset allocation
Back
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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. Its weitht is limited to 10%.

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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