Bantleon Diversified Markets

Investment Objective

Bantleon Diversified Markets is a UCITS managed futures fund that invests in a globally diversified multi-asset universe of equity, bonds, currencies and commodities. The fund can benefit from both rising and falling prices via long and short positions in any individual market and employs a proprietary algorithm that identifies investment opportunities across the different asset classes and instruments. The basis for signal generation is a set of proven technical, fundamental and macro models. The algorithm targets an ex-ante volatility 10% and allocates to the different asset classes accordingly. The spot portfolio consists of high-quality government bonds – generally short-dated US Treasuries – that serve to hedge the futures contracts.

Latest Meeting Note

Meeting 16 Jun 2021

Bantleon Diversified Markets is a systematic managed futures fund which manages a globally diversified multi-asset portfolio (75 instruments across equities, commodities, bonds and currencies). The success of the strategy is based on the... Read more

Bantleon Diversified Markets is a systematic managed futures fund which manages a globally diversified multi-asset portfolio (75 instruments across equities, commodities, bonds and currencies). The success of the strategy is based on the interaction of two elements: signals generation and portfolio construction. In the signal generation stage, the investment universe is screened using multiple models (momentum, counter-trend, carry, fundamental and macro) covering all relevant time horizons, from a few days to several months. Trading signals are then aggregated to calculate the return potential of each instrument. These are scored from -1 to 1, where -/+ stands for short and long respectively. The portfolio construction/optimisation process is dynamic in nature and aims to maximising returns whilst maintaining a high degree of diversification across asset classes and individual markets. The overall portfolio is run with an ex-ante volatility limit of 10%, which is evenly distributed across (and within) the four asset classes. Portfolio allocations are rebalanced on a weekly basis.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.7 0.8 0.9 0.6 0.3 0.3 0.7 0.2 0.4 0.8 0.1 0.2 0.5
2019 0.4 0.1 0.3 0.3 0.7 0.7 0.3 0.2 0.8 0.4 0.2 0.2 0.1

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