Approach & Process

To AlphaSimplex, risk management means containing the potential magnitude of losses consistent with investors’ expectations. The process is not focused on maintaining a low level of risk, it’s focused on a controlled level of risk.

AlphaSimplex designs its strategies to be risk-smart. These strategies employ a proprietary risk management mechanism that modulates portfolio positions over time to adapt to changing market risk with the goal of containing losses and/or enhancing return. AlphaSimplex products aim to help investors stay invested even through the market’s most challenging periods.

Characteristics of our Investment Process

    • Emphasis on liquidity
    • Market-aware models
    • Multi-model adaptive strategies
    • Portfolio volatility scaled daily to target
    • Risk-based asset allocation
    • Flexibility to be short or long a market
    • Drawdown controls


A different approach to core portfolio investments

It is close to impossible for individuals to be the idealized “buy and hold” long-term investors they know they should be given the tools that have been available to them. Investors understand that attractive long-term returns require long-term investment. But, after their retirement portfolios experience a significant decline in value, their financial survival instincts make it extraordinarily difficult for them to keep their remaining wealth at-risk in the same portfolio strategy. In fact, the less wealthy investors feel, the lower their tolerance for risk and the more likely they are to abandon their investment strategy.

“Model-pickers,” not stock-pickers

We believe a multi-model approach is the best way to keep up with ever-changing markets as well as with the inevitable decay—either structural or cyclical—of any source of alpha. Consistency of returns and low correlation are our two primary considerations when adding new models to a strategy. Our strategies are managed as portfolios that are re-optimized daily rather than as the sum of a number of individual trades.

The value of managing risk rather than chasing returns

AlphaSimplex products help investors to stay invested even through the most volatile periods of market dislocation. Using dynamic risk-control technology, AlphaSimplex seeks to adapt its portfolios to changing levels of market volatility and take advantage of the opportunities it can present. Instead of simply accepting the market’s current level of risk, AlphaSimplex adjusts the position sizes in its portfolios daily to ensure that overall they stay consistent with investors’ expectations of portfolio risk. This is designed to better control risks so that investors may find it less challenging to stay invested through periods of market turbulence. This combined with investment models designed to adapt to current market dynamics can help to manage investor expectations and deliver attractive long-term returns.