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Macro+/++: Two diversified multi-asset trading strategies
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What we do
Our strategies are based on the Ivy-Portfolio, an investment technique used by endowments funds of large American universities. The basic rules of the Ivy-Portfolio are to invest into a diversified class of assets that are trending up. Rebalancing occurs at regular intervals. The Macro+ and Macro++ strategies are intended as wealth building and wealth preservation tools that generate consistent yearly returns with low drawdowns.

Why it works
Macro+ and Macro++ are a variation and enhancement of the classic Ivy-Portfolio. Our strategies expand significantly the number of assets in the portfolio. Most importantly, they are tailored to a European investment perspective: they predominantly use assets quoted in Euro and relevant to the Eurozone. Also, our strategies include a risk management tool: assets are allocated according to a risk parity protocol so that each asset contributes the same amount of risk to the overall portfolio. I.e., the share of each asset is higher, if its recent volatility has been comparatively low. Combining a trend filter with a volatility filter has the desirable effect to shift out of volatile assets in risky times. For example, during the 2007-2008 financial crisis the Macro+/Macro++ strategies were invested almost exclusively in cash. Also, drawdowns during 2011 were largely avoided.

What we add
The basic Ivy-Portfolio provides an interesting base strategy but it lacks flexibility and incurs large drawdowns due to fixed weights and infrequent rebalancing. The Macro strategies use daily information, rebalance weekly and account for increases in volatility. Typically, an impending adverse movement in an asset may be preceded by comparatively high volatility. In this case, our strategies will regularly switch to alternative, less risky assets or even to cash before a large loss occurs. An additional feature of our strategies is that a small share of 10% of the portfolio is permanently invested in the alternative, decorrelated quantitative Season+ strategy. Please see the corresponding factsheet.

What you can expect
Macro+ and Macro++ are entirely quantitatively managed strategies. A quantitative approach removes emotion from the trading decisions, thus you can expect consistent results. Positions are taken with futures or, alternatively, ETFs. The Macro+/++ strategies can be tailored to clients' risk profiles: the low drawdown may allow an appropriate amount of leverage for risk seeking clients (Macro++ with a smart leverage protocol targeting a high return for a volatility below 12% per annum). Risk averse clients may prefer the low volatility of 5.3% per annum of the Macro+ strategy. The Macro+/++ strategies at a glance:

Macro+ Macro++
Ann. return 7.1% 16.5%
Ann. volatility 5.3% 11.5%
Inf. ratio 1.35 1.43
Performance Jan. 2005 to Dec. 2016

The Macro+ and Macro++ investment platforms are currently traded at Acanto Holding, for more information please contact us at info@acantoresearch.com.


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