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The program uses a combination of systematic investment strategies. Through the purchase and sale of futures contracts it gives exposure to various financial instruments: stock indices, currencies and government bonds. The program actively invests in over 40 individual futures contracts.
Systematic investment models are implemented on different time horizons and markets, through a combination of beta-driven strategies, key factors for long-term returns and alpha-driven strategies that aim at stabilization and robustness of returns.
The liquidity portion is managed in a discretionary manner, investing mainly in short-term corporate bonds with investment grade ratings, with particular attention to diversification by issuer and sector.
Zest Pilot Presentation