The Neuravest Multi-Strat Fund is a long/short, US Large Cap portfolio designed to dynamically adjust allocations based on the cyclicality of major sectors or themes in the US economy. The portfolio’s goal is to generate returns in any market regime while avoiding surprise draw downs during unexpected market volatility. The portfolio combines five uncorrelated, thematic strategies and it hedges by shorting highly liquid ETFs to minimize both risk and drawn downs.
The portfolio utilizes machine learning models set to outperform their respective benchmarks as defined by corresponding ETFs. The intuition that drives the portfolio is the notion that, over time, the equity market flows cyclically between sectors and valuation metrics.
Transaction costs and slippage are considered in our backtests. Fee structure will be considered by our partner before final delivery.
Construct an independent long-only portfolio using different sectors or themes.
Use Mean Variance Optimization (MVO) to optimize allocation between the five legs with a clear target to maximize the multi-strat portfolio's Sharpe Ratio.
Hedge the multi-strat based on historical performance and current market conditions like VIX.
