Multistrategy Scoring Concept
Cumulative Portfolio Return
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.