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Multistrategy Scoring Concept

Cumulative Portfolio Return
12/2010-12/2016
Maximum Drawdown 250 d

The MultiStrategy Concept is a quantitative scoring model which consists of a set of low correlated partial strategies  combined to a multistrategy model. Futures were applied to achieve the investment objective. In this portfolio context, funds, which are not currently required are invested in money market and short-term pension positions.

 

The forward and future positions can be both short and long whereas a lever is neither used in the following simulations nor in the real implementation. That implies that the risk position of forward transaction respectively futures is not higher as if the used capital is invested in its full amount into the market illustrated by the futures. Similar results can be achieved by the use of ETFs. Until now, the multistrategy concept covers 12 different markets.

 

Yearly Returns

Performance and covered markets of the Multistrategy Scoring Concept

Performance of a customer portfolio 2011-2016