We believe that the secret to building a superior portfolio lies in the combination of several uncorrelated return strategies which are properly sized and balanced. However, since correlations aren’t stationary and tend to increase substantially during periods of market stress, we prefer to build our portfolio with a severe storm in mind. To insure against such storm we add positively convex positions to our portfolios, allowing us to stay exposed to the upside while having the downside protected at the same time. This is the foundation on which we run the 2Q Portfolio.
The 2Q Portfolio includes a number of model-driven strategies which are the result of our own quantitative research. Many of these strategies are live and with real money since many years, including years prior to the launch of this website, and have generated attractive returns in various market environments. Additionally, the 2Q Portfolio includes opportunistic trades which are either macro-driven or aimed at exploiting a market phenomenon which we believe to be attractive from a risk-return point of view.