Summary

The Global Alpha Strategy trades futures, Equity indices, FX, Volatilty and Fixed income. A proprietary portfolio optimization engine is used to compute an optimal portfolio with predefined risk and return characteristics. The optimizer is targeting pure Alpha by focusing on the tail of the drawdown distribution. Strategies implemented include emerging markets vs. developed markets, value vs growth, fixed income vs. equities, etc. The strategy is fully systematic and market neutral. Risk imbalances are neutralized by re-optimizing the book.