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Urs Schubiger
Quantitative Strategist
AQ Investment Zurich, Switzerland
"Attractiveness indicators ensure a stable risk-return profile."

Dynamic multi-asset long-only investment strategy

Investment strategy and benefits
Investment strategy and benefits

The AC – Adaptive Diversification Strategy invests systematically in globally diversified, daily liquid futures. The position size of the instruments is continuously adjusted according to their measured attractiveness based on of carry and momentum characteristics (without completely reducing the exposure – can this be taken out). Due to this dynamic risk balancing, the strategy continuously adapts to the prevailing market environment, ensuring that the portfolio remains balanced. The result is a transparent, broadly diversified multi-asset, long-only investment strategy that aims for attractive returns with a target volatility across different economic scenarios.

The benefits

  • Flexible adaptation of the portfolio to the changing market environment
  • Indicators enhance return potential and reduce drawdowns
  • Stable returns with target volatility independent of market cycles
A new generation of multi-asset approaches
A new generation of multi-asset approaches

Multi-asset approaches have gained prominence as an investment styles and within investors’ portfolios in recent years. The multi-asset concept is based on the findings of portfolio theory by Harry M. Markowitz and subsequent work by William F. Sharpe on the Capital Asset Pricing Model (CAPM) and has been continuously developed further since the 1980s. Ever since Yale, diversified portfolios have consisted of commodities, hedge funds and private equity as well as traditional asset classes such as equities and bonds/interest rates. Following this broader asset class diversification, the portfolio construction methodology continued to evolve at the beginning of the last decade. Based on the idea of ​​risk parity investing, the allocation to the asset classes is no longer capital-weighted, but made dependent on their risk contribution. The AC – Dynamic Diversified Risk Strategy takes the concept of multi-asset investing one step further:

Position sizes are continuously adjusted according to their measured attractiveness in terms of carry and momentum, enabling it to participate in upward trends whilst reducing drawdowns in weak market phases. Strategies that dynamically adapt to the market in this way can form a stable and attractive multi-asset long-only portfolio component in the long term.

Transparent investment process
Transparent investment process

The AC – Dynamic Diversified Risk Strategy is globally diversified by investing in daily liquid futures across equities, bonds (incl. interest rates) and commodities. Attractiveness indicators determine the potential of the instruments dynamically, meaning that the size of each position held is continuously adjusted according to its measured attractiveness in terms of carry and momentum. These indicators have been proven to enhance the return potential and reduce drawdowns experienced in portfolios. The instruments are then weighed so that they equally contribute to the portfolio’s overall return. As a result, the capital weighting changes dynamically and the portfolio responds adaptively to market movements.

Momentum is an indication of historic price trends. Long-term growth cycles and upward price trends are only attractive for long-only investments.

Carry measures the expected returns of an instrument irrespective of how the price develops. The indicator uses forward-looking data and complements momentum.

Experienced investment team
Experienced investment team

The AC – Adaptive Trends Strategy is managed by the Aquila Systematic Trading Group. The team has more than 30 years’ experience in managing quantitative multi-asset and equity strategies and was previously responsible for a renowned multi-asset fund. The Systematic Trading Group is fully integrated into the well-established infrastructure of Aquila Group, which launched the first risk parity product in Europe in 2004 and specialises in alternative investments.

The risks
The risks
  • Interest risk, provided the strategy invests directly or indirectly in interest-bearing assets
  • Credit risk, e.g. insolvency of an issuer of a security held by the strategy
  • General market risk – the strategy is exposed to general trends on securities markets
  • Country, issuer, counterparty and default risk

Systematic trading group

Urs Schubiger
Quantitative Strategist
AQ Investment Zurich, Switzerland
Fabian Dori
Quantitative Strategist
AQ Investment Zurich, Switzerland
Egon Rütsche
Quantitative Strategist
AQ Investment Zurich, Switzerland

Product profiles and price information

*The official name is: AC with its sub funds AC - Adaptive Diversification 7 Fund, AC - Adaptive Diversification 12 Fund and AC - Adaptive Trends Fund

All funds
Here we provide you with an overview of all UCITS funds by Aquila Capital.

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