Systematic without gut feeling

SIGLO advises clients on strategies with asymmetric and convex pay-offs that can deliver high returns in times of market crisis and that are uncorrelated to traditional asset classes. SIGLO prefers the following types of strategies:

  • Systematic strategies e.g. CTA trend following models, that bet on continuation of trends without gut feeling.
  • Discretionary strategies e.g. long volatility or other macro strategies, that search for cheap implied volatility.

Additionally we advise clients on alternative risk premia (alternative betas), which aim to generate systematic returns with active trading strategies that are not perfectly correlated to traditional risk premia. The following examples are illustrative: 

  • Momentum, which is basically the alternative beta form of CTAs i.e. trendfollowing.
  • Carry, which is a mix of different income strategies like for example credit coupons, interest rate differentials or roll strategies on futures. 
SIGLO Factsheet SG CTA Index May 2016-ESIGLO Tail Hedge FrameworkSIGLO Tail Hedge Requirements
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