Elstern Park Model Portfolio
The Algorithmic Fund
The algorithmic allocation is built around a proven and highly successful automated strategy, designed to take advantage of mispricing in major equities and ETF’s, typically traded on the major US exchanges.
The strategy has been, in various forms, traded on live accounts by related funds, with consistent success throughout a range of market environments and is the backbone of the Elstern Park Asset Management client-focussed approach.
Algorithmic Fund vs ACWI ROI Since Inception
Elstern Park team’s view of coming economic conditions has formed the basis of identifying the importance of specific, strategic and considered allocations as opposed to broad-based ‘buy and hold’ strategies all-too-common in relentless upward marching markets, as we’ve seen for much of the past 12 years.
The rising ire of interest rates have begun to change the investment landscape, and as we consider investment opportunities, and the probabilities of success in continuing current allocations being positive, Elstern Park Asset Management has allocated a major percentage of available capital to a strategy specifically designed and proven to perform in times of varying market conditions.
We allocate a higher portion of the AUM to the algorithmic strategy due to its long and proven track record, pre-optimisation.
The expected coming macro-economic environment is likely to see mean-reversion and condition-agnostic strategies significantly outperform, particularly with exposure to long and short opportunities are considered.
The optimisation models applied continue to verify further the strength of the underlying strategy and its ability to outperform most global index benchmarks considerably.
This strategy, combined with the resources allocation—which is specifically designed to leverage an underperforming market against commodity market upswings—is intended to generate a smooth equity curve, with the added benefit of significant alpha generated by highly focused resource selections.
See the full performance snapshot in our quarterly newsletter using the link below.
Elstern Park Asset Management has allocated a major percentage of available capital to a strategy specifically designed and proven to perform in times of varying market conditions.
Algorithmic Strategy vs ACWI ROI — Q4 2022
Algorithmic Strategy vs ACWI ROI — Since Inception per quarter
Total ROI Since Inception
Resources Strategy
+18%
ACWI Benchmark
-16%
The algorithmic allocation occupies a larger portion of the overall Elstern Park strategy due primarily due to its proven stability and ability to trade successfully through all market environments.
Its combination with the highly prospective and thesis-leveraged resources allocation, which inherently includes a propensity to generate higher volatility, ensures client accounts benefit from an actively managed account majority, with a proven strategy while generating additional alpha via highly targeted resource allocation.
In order to ensure a smooth, low volatility investment appreciation, the algorithmic element is an actively traded mean-reversion strategy, trading both long and short across all industry segments, with an average trade duration of approximately five days.
As we consider the increased probability of an inflationary environment, research continues to demonstrate that the likelihood of market draw-downs and extended sideways price-action portends lacklustre returns from traditional buy-hold strategies within the typical value/growth sectors.
While we continue to build our approach to accommodate a higher probability of sideways and drawn-down markets, we will ensure all available capital is applied to the proven long-short approach of the algorithmic strategy, allowing us to avoid the likely underperformance ahead.
By these measures, it is clear that in inflationary environments, marked by depressed and particularly negative real yield environments, broader markets struggle significantly to make new highs.
The Algorithmic Fund continues to provide extremely low correlation to the broader marker performance, giving investors exposure to steady longer-term modelled returns, while experiencing relative volatility (beta) by more than 90% when compared with the broader market. The system design encourages less-than-full capital allocation at most times, and automatically adjusts exposures to new entries daily, based on overall aggregate risk and correlations of holdings.
This is where the benefits of an actively managed, mean-reversion strategy, trading both long & short, seeks to deliver significant out-performance for Elstern Park clients.
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