NEW QUICK VIEW (@ 2020-08-05 17:31:52)
Good day all, we just wanted to share a quick thought with you about our latest crypto model portfolio rebalancing. As you know our models aim to keep every position’s risk contribution below 20% and we favour those assets where our signals have been most successful. We have now added a third step (or rather an in between step before the risk cap kicks in) in our algorithms that ensures that models with a higher Sharpe ratio (essentially realised return / volatility) get favoured over those with lower Sharpe. Note that this can lead to an overweighting for both models with higher returns as well as those with lower volatility as both have a role to play in a stable portfolio. But crucially models with low returns and higher volatility will see their exposure reduced. -LSS Quant Team
