Fasanara Quant UCITS
Open Quant EcoSystem
Fasanara is a firm believer in open ecosystems and collaborative organizations, where we link together the leading academic institutions and research groups to broaden our boundaries and establish superior understanding, better data and processing power.
Through the use of the latest advances in machine learning, and by operating with large datasets, we are constantly refining and enhancing the predictive power of our investment strategies. Guided by a scientific approach, we devise strategies that take inspiration from economic hypotheses and behavioural finance.
Investment Strategy Core Components
Our deep research demonstrates that the combination of dynamic allocation and hedging, applied through a systematic data-driven approach, can lead to a consistent risk-adjusted return. Fasanara's unique investment approach combines three core elements:
We utilize the complexity-based systemic risk approach, to create risk-off indicators that calculate on a daily basis the probability of an imminent market collapse.
We seek market-neutrality by using the Vix and weekly options, to reduce the risk of the portfolio (hedging), and also to generate alpha in moments of high volatility.
We use machine learning to identify patterns and apply a dynamic allocation on equity index futures and stocks, mostly intraday, with limited risk exposure.
Our data driven research is based on rigorous mathematical techniques which seek to identify statistically significant and persistent patterns in over two decades of data.
A well-conducted series of computer generated past simulations that yield positive results, indicate that the strategy is fundamentally sound and is more likely to yield profits when implemented in reality.
Once the strategy parameters are correctly calibrated, the next step is out-of-sample validation. Each model is tested using a different sample of data. The main goal is to see whether the accuracy of the model still holds and performance is not boosted by over fitting.
These models help us decide if a strategy is attractive and can pass our quality standards with respect to performance, volatility, max drawdown, time to recover from drawdown, sharpe ratio and low market correlation.
Our investment model is primarily focused on, but not limited to, stocks and global index futures, and its derivatives. By trading the large-cap stocks and equity index future markets, we have the ideal market liquidity to execute our trading models.
Fasanara’s proprietary algorithms combine the use of stocks, volatility, options and global equity indices, with a holding period of 1-5 days, allowing us to offer daily liquidity via our UCITS fund.
Complexity-Based Risk-Off Signals
We have a pro-active risk management toll, built as a Complexity Based Systemic Risk Alert. These indicators spot small-scale market drops. The idea behind is that any major market crash will begin as a small market drop. Every crash will go through the check-point of a failed Buy-The-Dip, inevitably. Using this model, we are able to automatically reduce our risk exposure when a higher probability of a relevant market drawdown is indicated by our models.
Fasanara’s complexity-based systemic risk alert is equipped with both long-term large-scale fragility detectors and short-term small-scale warning signals.
Our risk-off indicators are complexity based, not volatility driven. It means that they are derived by some selection of the general properties of systems in transition, according to complexity science, using the analytical tools available to non-linear systems. The conceptual framework is to look at financial markets as complex dynamic systems.
More information can be found here.
Risk factors: Investing in financial markets involves a substantial degree of risk. Investment in the Fund places an investor’s capital at risk. There can be no assurance that the investment objectives of the Fund will be achieved. No guarantee or representation is made that the Fund’s investment approach (including, without limitation, its investment objectives and policies, diversification guidelines and risk management processes) will be successful and investment results may vary substantially over time.
Restrictions on distribution: This factsheet is supplied for information and discussion purposes only and neither the information nor any opinions expressed in this factsheet constitutes a solicitation for the purchase or sale of any securities or other financial instruments including, but not limited to, shares in the Fund ("Shares") in any jurisdiction. It is the responsibility of any person in possession of this factsheet and any person wishing to apply for Shares to inform themselves of, and to observe, all applicable laws and regulations of any relevant jurisdiction.
Investment only on the basis of Fund documentation: The terms of investment in the Fund are governed by the Prospectus (and the relevant Supplement). In the event of any inconsistency between the information in this factsheet and the terms of the Prospectus, the terms of the Prospectus shall prevail.
Information in this factsheet: The information in this factsheet has been obtained from various sources which are believed to be reliable. However, the information and opinions in this factsheet are for background purposes only, do not purport to be full or complete and no reliance may be placed for any purpose on them. Neither Fasanara Capital, its affiliates, the Investment Manager nor the Fund gives any representation, warranty or undertaking, or accepts any liability, as to the accuracy or completeness of the information or opinions contained in this factsheet.
The returns (gross of management and performance fees) presented in this factsheet are a combination of the performance of the Method Investments SICAV Attractive Global Opportunities Plus Fund (audited - ISIN LP68409641, swapped to USD) from January 17th 2017 to July 18th 2019; the performance of the separately managed accounts from August 1st 2019 to June 11th 2020 (IBKR screenshot); and from June 12th 2020 onwards the new SICAV PHARUS: ISIN LU2040055670 audited, UCITS FUND.
INVESTMENTS IN FUNDS INVOLVE RISKS INCLUDING POSSIBLE LOSS OF PRINCIPAL
An absolute return strategy, which includes hedging of the portfolio, may result in performance that deviates from overall market returns to a greater degree than other funds. Hedging may also result in returns that are lower than expected and lower than if the portfolio had not been hedged. It is not possible to hedge fully or perfectly against any risk.
Fixed income securities may be subject to interest rate and credit/default risk. Interest rate risk involves the risk that prices of securities will rise and fall in response to interest rate changes. Credit/default risk involves the risk that the credit rating of a security may be lowered or the possibility that the issuer of the security will not be able to make principal and interest payments when due.
Investments in derivatives including forward currency exchange contracts, swaps and futures, may be leveraged and could result in losses that exceed the amounts invested. Investing in international markets involves certain risks and increased volatility not associated with investing solely in the core countries. These risks include currency fluctuations, economic or financial instability, and lack of timely or reliable financial information or unfavourable political or legal developments.
BEFORE INVESTING YOU SHOULD CAREFULLY CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, CHARGES AND EXPENSES. THIS AND OTHER INFORMATION IS IN THE PROSPECTUS, A COPY OF WHICH MAY BE OBTAINED FROM FASANARA CAPITAL. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST.