Rcube Asset Management : Rcube Genio Capital Systematic Macro

Summary

Rcube Genio Capital Systematic Macro program is a 100% systematic short/mid-term managed futures program, using predominantly price data as input (some macro fundamental data as support). The program trades a concentrated portfolio of about 30 of the most liquid futures over four asset classes (equity indices, interest rates, currencies, and commodities) globally.

Investment Strategy

Genio Capital Sytematic Macro consists of several sub-models (sub-strategies) that can be classified into three different categories: directional, relative value and basket models. The combined result of these three model types is a single directional trend following position in each market. The direction (long/short) and size of the exposure in these markets dynamically change over time, depending on the strength of the trends (directional models) and depending on cross-asset relationships (relative value and basket models).

Risk Management

The direction (long/short) and size of the exposure in these markets dynamically change over time, depending on the strength of the trends (directional models) and depending on cross-asset relationships (relative value and basket models). The portfolio constraints are incorporated in the risk management on several levels: - On the portfolio level, the portfolio is automatically monitored from an exposure and diversification point-of-view. - On the asset class level, model diversification, including dedicated risk management models, is key to keep the portfolio within risk limits. - On a model level, the models adjust themselves constantly and a machine-learning based algorithm allocates to the models based on past and forecasted behavior. - On the instrument level there are stop losses based on reverse signals, initial plus trailing stops and time.