SAR Portable Liquid Equity Alpha Strategy (PLEAS)
SAR Portable Liquid Equity Alpha (PLEAS) Strategy is a highly active, quantitative, intraday long-only equity strategy, trading the most liquid US stocks currently. The strategy has a successful, more than five-year track record. The portfolio is run fully systematic and exploits short term (intraday) behavioral mean-reversion patterns, a proven, genuine and persistent source of return. Trading occurs during trading hours only. End of the day the portfolio is 100% flat with no overnight exposure.
PLEAS is a true equity Alpha and absolute return strategy with a long volatility profile and daily liquidity. Due to its characteristics, the Alpha is easily portable onto any underlying strategy including cash (cash plus Alpha). Also see our US Equity Alpha (USEA) solution – PLEAS transferred onto the S&P 500.
PLEAS is currently offered as a funded or unfunded (on existing collateral) managed account only.
Gross Alpha is at a significant expected return level of between 6% and 12% p.a. in a low volatility environment and 15% to 30% in more volatile markets with active risk (volatility) between 4% and 9%. Downside deviation is an expected 3%.
Active Alpha exposure is fully scalable: 0% – max. 300%; the level can be actively set by the investor, resulting in a corresponding tracking error and Alpha potential.
- Daily liquidity and fully scalable active risk (0% to max. 300% Alpha allocation)
- Portable onto any underlying collateral (cash or securities) in a funded or unfunded managed account
- More than five years of live track record in SAR Liquid Equity Alpha (since May 2010)
- Unique short-term trading strategy with long volatility profile, i.e. benefits from rising volatility
- Liquid and transparent with sound and tested scientific underpinnings (mean reversion)
- Completely model-based and fully automated, avoiding emotional and behavioral biases
- The strategy is an actively managed intraday equity strategy, providing an excess return (Alpha) portable onto any existing portfolio or cash and, besides increasing returns, improves the risk characteristics of underlying strategies due to its long volatility sensitivity and non-correlated returns. It is a performance effective add-on to any underlying investment or cash.
- This strategy is offered to acredited/qualified investors only as a managed account.