BlackSwan Intelligence live managed portfolio (certified by Interactive Broker and FundSeeder) performed very satisfyingly during the third quarter of 2017 providing an outstanding return of 40.77% with a 38.3% annualised volatility, leading a sharpe ratio of 7.7 and a sortino of 14.75. Max drawdown in Q3’17 has been 5.08%.
Several improvements have been implemented in the portfolio during June ’17. The portfolio benefited from two main upgrades. On one hand, the addition of multiple new uncorrelated strategies. On the other hand, the re-allocation of each strategy using a proprietary optimisation portfolio model to maximise the synergies between our TSs.
An innovative adaptive allocation model is now being implemented after several months of development and tests, allowing our portfolio to restyle according to evolving market regimes.
The portfolio is currently diversified through ~47 different Long/Short trading strategies applied on a basket of about 20 highly liquid Futures Instruments. Roughly 75% of our trades are Intraday (not HFT) in order to avoid over-night risk, the remaining 25% stay on market 2 to 7 days.
The overall portfolio performance since inception (18.11.16) till (12.10.17) is presented below:
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