Quantitative Credit Strategy
Separately Managed Accounts (SMA) : Managed Account
Target Return : ~25% p.a (net of all fees & expenses), in any 5-year period
(Strategy does not use leverage)
Separately Managed Account - I
(A) Performance* (%)
(B) Sharpe Ratio : 1.4
(D) Positive Months : 71%
(C) Sortino Ratio : 2.3
Date of inception : 19th April, 2022
Separately Managed Account - II
(A) Performance* (%)
(B) Sharpe Ratio : 0.5
(D) Positive Months : 50%
(C) Sortino Ratio : 0.8
Date of inception : 14th October, 2022
Separately Managed Account - III
(B) Sharpe Ratio :
(D) Positive Months :
(C) Sortino Ratio :
Date of inception : 9th January, 2023
(A) Performance* (%)
(B) Sharpe Ratio : -1.4
(D) Positive Months : 40%
(C) Sortino Ratio : -2.0
Date of inception : 9th January, 2023
Separately Managed Account - IV
(A) Performance* (%)
(B) Sharpe Ratio : -1.6
(C) Sortino Ratio : -2.2
(D) Positive Months : 40%
Date of inception : 19th January, 2023
Separately Managed Account - V
(A) Performance* (%)
(B) Sharpe Ratio : -0.8
(C) Sortino Ratio : -1.0
(D) Positive Months : 67%
Date of inception : 10th March, 2023
*Performance is "Gross returns", before fees (TWRR) for all, except SMA - V (which is net of fees)
*US Agg (LBUSTRUU Index) :The Bloomberg U.S. Aggregate Bond Index is an unmanaged, market-value weighted index comprised of taxable U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate, asset-backed, and mortgage-backed securities between one and 10 years
*BBB Index (LCB1TRUU) : Baa rated fixed-rate taxable corporate bonds issued by US & non-US issuers
*HY Index (LF98TRUU) : High yield fixed-rate corporate bonds in US markets
This strategy is offered in collaboration with fintech firm BANACH TECHNOLOGIES
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