Dynamic Portfolio Optimization Fund
​Our investment process follows a set of steps to select and filter the most promising securities and build a portfolio based on robust optimization schemes
1) ASSET UNIVERSE SELECTION
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Select high-quality ETFs across different market sectors and regions to achieve a high degree of diversification
2) TOP ETFs FILTER
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Select promising ETFs based on multi-frequency momentum signals
5) ADAPTIVE
The final portfolio is dynamically monitored on a daily basis to properly manage the risk
4) ROBUST OPTIMIZATION
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Robust estimation to generate optimal allocation of the preselected assets
3) CANARY AND FILTERS
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Set allocation between fixed-income and equity using the Canary assets and the HMM signals
“After long research periods, we have learned that combining multiple signals improves accuracy and reduces noise-to-signal ratio, providing a robust approach to allocating risk exposure across asset classes despite individual signals being ephemeral and lacking predictive value.”