Core Allocation

Diversified portfolio of multi-strategy funds such as Millennium, WorldQuant, Point72, Brevan Howard. Founded since 1990, they manage ~US$150 billion of assets across all major asset classes and investment strategies. It offers, possibly the most diversified and consistent multi-period performance in the industry.

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Ann. Return: ~12% since 1990s

Risk: ~5% volatility, 7% max. drawdown in 1998

Portfolio: Millennium, WorldQuant, Point72, Brevan Howard, Eisler, Hudson Bay

Core Allocation

Quantedge Global Fund is a ~US$3 billion systematic fund with global markets, factor & illiquid risk premia exposures. Founded in 2006, its ultra-diversified portfolio consist of ~300 instruments across all major liquid & illiquid asset classes. It offers, possibly the most comprehensive risk-premia portfolio in the industry.

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Ann. Return: ~19% since 2006

Risk: 25-30% volatility, 45% max. drawdown in 2008

Satellite Allocation

Quantos Global Fund is an emerging systematic fund with global markets & factor risk premia exposures. Founded in 2021 by the ex-CIO of Quantedge, its diversified portfolio invest across all major liquid asset classes. It offers, possibly the highest target volatility in the industry for maximum capital efficiency.

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Return: 52% in 1H 2024 YTD.

Risk: 50% volatility, 48% max. drawdown in 2023

Satellite Allocation

Bonds: UST Bills (Direct/IBO1 ETF)

Equities: FTSE All-World (VWRA/VT), S&P500 (CSPX/VOO)

Divestment / Exits:

Prulev Global Macro Fund: A global macro systematic fund (40% vol.) with discretionary event-driven tilt. It offers a unique discretionary overlay which outperformed pure systematic strategies with over 40% ann. return from 2012 to 2020 before experiencing ~80% maximum drawdown in 2021/22. Refer to >Prulev Divestment Note

Gusto (US): Series B-2 (2016-22), 21% IRR, 2.48x Money Multiple

GoTo (Indonesia): Series A (2016-23), 3% IRR, 1.25x Money Multiple

Satellite Allocation (Divested)

Prulev Global Macro Fund is an emerging global macro systematic fund with a discretionary event-driven tilt. Founded in 2012, its diversified portfolio invest across all major liquid asset classes.

It offers a unique discretionary overlay which outperformed systematic strategies with over 40% ann. return from 2012 to 2020.

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Ann. Return: ~20% from 2012 ITD.

Risk: 0-40% volatility, ~80% ongoing max. drawdown.

Diversified basket of multi-strategy hedge funds such as Millennium, Brevan Howard, Point72, Balyasny, Eisler, WorldQuant, Veriton etc.

It offers, possibly the most consistent multi-period performance in the industry.

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Ann. Return: ~11% since 1990s.

Target Risk: ~5% volatility, <10% maximum drawdown.

Allocation: Core holding. Allocations to be confirmed.