Countdown of the Best Accessible Investment Performance in the World: #7
A Diversified Liquid Currency and Global Equities Multi-Strategy
In my last post, I discussed the means of responsibly determining the expected return for an investment or portfolio by taking a meaningful look at its liquidity characteristics through the lens of a variation of maximum drawdown duration.
In earlier posts, I’ve discussed the surprisingly esoteric definition of investment risk and meaningful, accurate risk-adjusted performance measurement.
Over the next few weeks, I’ll show you how the application of these abstract concepts translate into tangible investment performance with several of the best performing asset managers we’ve found across the globe.
We’ll review one of our asset managers’ strategies per post starting today with the lowest risk-adjusted performance of the seven and finishing this series with the best.
Each strategy’s overall performance is measured by dividing its expected return by its risk (the annualized probability of loss weighted by the expected degree of loss as measured since January 2007 or earlier) and scaling that measure against the risk of the S&P 500 (the “Summers Total Risk-Adjusted Performance Measure” or “SΩ”). For reference, SΩ of the S&P 500 is equal to its expected return of 9.36%.
Strategy #7 (SΩ = 43.61%) a diversified liquid currency and global equities multi-strategy
Strategy #6 (SΩ = 47.84%) an algorithmically-traded long-short equities strategy
Strategy #5 (SΩ = 119.68%) an algorithmically-traded noise-reduction equities strategy
Strategy #1A (SΩ = 747.23%) an algorithmically-traded foreign exchange market strategy utilizing contracts for difference
Strategy #1B (SΩ = ∞) a lower middle market value-add healthcare private equity strategy
Strategy #1C (SΩ = ∞) a short-term life insurance trading strategy capturing price differences between primary and secondary markets
Strategy #1D (SΩ = ∞) a residential real estate reverse repo strategy trading on disconnected comparable sales values and net operating income
So here we begin by discussing Strategy #7:
In addition to utilizing our quantitative expertise to measure and optimize the performance of individual strategies, we’ve developed an algorithmic portfolio construction tool...
It constructs a portfolio of the best performance possible for any given investment time horizon, income and cash reserve requirements (i.e., liquidity mandate) by strategically assembling the best asset managers in the world that we’ve been able to identify by our rigorous quantitative standards.
I decided to provide you, our high-net-worth and institutional investor following, a glimpse behind our curtain—an opportunity for you to construct your own portfolio to see how your money would perform if it were optimally employed by our quantitative standards…
You probably won’t believe what you see until you remember that we’re applying Renaissance-level sophistication and rigor. Simply input a few very basic parameters, and see for yourself: