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Model Expansion – FX Strategy

7. Aug, 2019 | News

After successfully launching the first Swiss fund for foreign currency investments in the summer of 2017 and gaining initial experience with investors, the desire to consolidate the return profile was increasingly expressed.

ENISO stands for systematic asset management and does pioneering work in the implementation of “machine learning” approaches. After months of research and testing, we are proud to introduce you to two additions within the investment system. Both additions were developed in-house by our Head of Investment Solutions, successfully tested and implemented:

Regime switching

  • Is there a positive, negative or no trend?
  • Derivation based on observable data with causal connection
  • Classification with corresponding probabilities
  • In the case of a negative classification, the positioning is rotated (principle of the “shorten”)

Position switching

  • Measuring the probability of success of the current positioning
  • Classification in Positive, Neutral and Negative
  • Depending on the classification active management of invested capital (between 0 and 100)

In addition to a further improved risk-return profile (graphic shows the smoothed return (in red) versus the previous strategy (in blue) of a currency pair), we achieve the following benefits for the portfolio with the additions:

    1. Reduction of volatility (from 09.52 to 4.65*)
    2. Reduction of MaxDrawDown (from 15.22 to 7.70*)
    3. Improvement of the Sharpe Ratio (from 0.38 to 0.70*)

*Time period: 5 January 2010 to 31 October 2018