With forward-looking returns for both equity and fixed income expected to be much lower than the historical averages, investors are considering exposure to alternative asset classes as a source of uncorrelated returns.  Particularly with concerns about fiat stability amidst an unprecedented level of “money printing” by the Fed, both Gold and Bitcoin have seen renewed interest. 

While both can add value to a portfolio, we believe a static, long-only allocation endures too much risk relative to the expected return over time.  This “uncompensated risk premium” plagues all volatile asset classes, and Gold and Bitcoin are no exceptions.  By implementing a systematic, tactical approach to gain exposure to these asset classes, our strategies seek to provide a “risk-managed” exposure that participates in the asset classes when the conditions are deemed most favorable.

This cautious approach with allocating risk capital aims to harvest the risk premium within each asset class while dramatically limiting volatility and (most importantly) drawdowns.

Risk-Managed Gold Index (iGold)

Using Quantitative Finance to Regulate Exposure to Gold

The iGold methodology tactically manages exposure to gold assets. The goal being attractive risk-adjusted returns relative to a long-only position in gold over time.  Price changes determine when short-term momentum is positive and accelerating. The objective of the strategy is to opportunistically deploy risk capital to gold ETPs (ETFs and/or ETNs) when the risk-return profile of gold is favorable. Likewise, the strategy seeks to preserve capital when the risk/reward profile is unfavorable through an allocation to the short-term fixed Income ETFs.

Risk-Managed Crypto Index (iCOIN)

Using Quantitative Finance to Regulate Exposure to Bitcoin

The Crypto Opportunity Index (iCOIN) seeks to provide tactical upside participation to bitcoin via the Grayscale Bitcoin Trust (GBTC) while limiting drawdowns and downside volatility.  

The COIN methodology tactically manages exposure to Bitcoin. The goal being attractive risk-adjusted returns relative to a long-only position in Bitcoin over time.  Price changes determine when short-term momentum is positive and accelerating. The objective of the COIN strategy is to opportunistically deploy risk capital to GBTC when the risk-return profile of bitcoin is favorable. Likewise, the strategy seeks to preserve capital when the risk/reward profile is unfavorable through an allocation to the short-term fixed income ETFs