Investment Objective
Bantleon Diversified Markets is a UCITS managed futures fund that invests in a globally diversified multi-asset universe of equity, bonds, currencies and commodities. The fund can benefit from both rising and falling prices via long and short positions in any individual market and employs a proprietary algorithm that identifies investment opportunities across the different asset classes and instruments. The basis for signal generation is a set of proven technical, fundamental and macro models. The algorithm targets an ex-ante volatility 10% and allocates to the different asset classes accordingly. The spot portfolio consists of high-quality government bonds – generally short-dated US Treasuries – that serve to hedge the futures contracts.
Latest Meeting Note
Meeting 16 Jun 2021
Bantleon Diversified Markets is a systematic managed futures fund which manages a globally diversified multi-asset portfolio (75 instruments across equities, commodities, bonds and currencies). The success of the strategy is based on the...
Bantleon Diversified Markets is a systematic managed futures fund which manages a globally diversified multi-asset portfolio (75 instruments across equities, commodities, bonds and currencies). The success of the strategy is based on the interaction of two elements: signals generation and portfolio construction. In the signal generation stage, the investment universe is screened using multiple models (momentum, counter-trend, carry, fundamental and macro) covering all relevant time horizons, from a few days to several months. Trading signals are then aggregated to calculate the return potential of each instrument. These are scored from -1 to 1, where -/+ stands for short and long respectively. The portfolio construction/optimisation process is dynamic in nature and aims to maximising returns whilst maintaining a high degree of diversification across asset classes and individual markets. The overall portfolio is run with an ex-ante volatility limit of 10%, which is evenly distributed across (and within) the four asset classes. Portfolio allocations are rebalanced on a weekly basis.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.3 | 0.7 | 0.9 | 0.8 | 0.8 | 0.4 | 0.3 | 0.5 | 0.6 | 0.2 | 0.7 | 0.4 | 0.5 | |
| 2022 | 0.9 | 0.9 | 0.8 | 0.9 | 0.8 | 0.6 | 0.3 | 0.7 | 0.3 | 0.7 | 0.4 | 0.1 | 0.2 |
