A scientific approach to investment

 

About


Kelonia Capital Management is a research-driven, alternative investment firm registered in Luxembourg. We employ a rigorous, systematic, multi-strategy investment process across various markets, asset classes and geographies.

 

Our sophisticatedrule-based approach to investing is not influenced by conventional market narratives, and is free from cognitive biases and emotional influences. We make investment decisions solely using scientific, quantitative methods.

 

Kelonia’s investment program has been designed to exploit persistent and recurring market inefficiencies, grounded in sound economic theory. Unlike many systematic managers, who rely predominantly on individual factors or investment styles, we believe that combining multiple complementary and uncorrelated sources of return − such as momentum, carryvalue and mean reversion − produces superior results over time. 

 

 

Philosophy

Focus, discipline, and a commitment to quality and transparency represent key elements of our philosophy. Kelonia’s investment approach is rooted in the idea that markets are occasionally inefficient, and that these inefficiencies can be exploited by active investment approaches. We believe that true alpha-generating strategies still hold a place in investors’ portfolios, and can deliver attractive excess returns that are not captured through conventional 'alternative risk premia' approaches. At Kelonia, we treat our investors as partners, and invest our own assets right beside those of our clients.

 

Investment Program

 

Kelonia invests in a broad range of liquid, exchange-traded futures markets across global equities, interest rates, currencies and commodities. Trades are generated based on a combination of momentum, carry, reversal and pattern recognition signals.

 

Risk is allocated dynamically to multiple models, markets and asset classes, to deliver a reliable and diversifying source of uncorrelated returns. Our investment process is empirically robusttheoretically sound and, we believe, well-positioned to deliver solid returns in today’s market environment.

 

What distinguishes Kelonia’s approach to managed futures investing is our emphasis on true alpha generation, downside risk management, and diversification across strategies and return drivers. All of our models are built to systematically adapt to changes in market conditions, and to exhibit a high degree of stability over time. Execution and risk management are entirely automated, utilising a robust IT infrastructure and in-house proprietary software.

  

 

Global Equities: MSCI World Index (Gross); Managed Futures: Barclay Hedge CTA Index.

Indexes have inherent limitations: they are uninvestable, do not incur management fees, transaction costs, or other expenses associated with an investment product. All asset classes are subject to various risks that affect their performance, and different economic periods will produce different results. 

 

Key Features

Portfolio Diversification 

Through extensive and rigorous research, we aim to generate attractive risk-adjusted returns that are uncorrelated to traditional asset classes and hedge funds. Kelonia’s investment program exhibits a slightly negative correlation to the equity markets, and a moderate correlation to other managers in the global macro and managed futures space.

Absolute Returns 

By combining multiple trading systems and overlays, we believe Kelonia is well positioned to deliver consistent returns in a broad range of market environments. Our models are self-adaptive, which enables them to adjust key parameters over time, and dinamically re-allocate risk between strategies as the markets develop and unfold.

Tail Risk Hedging 

Equity market downturns can have a profound impact on wealth creation during an investor’s lifecycle. We have designed our investment program to yield positive returns during normal market conditions, while at the same time offering protection against cyclical market gyrations and extreme events that can wipe out several years of hard-earned returns.

 

 
 

Contact

Luxembourg 

 

Kelonia Capital Management

2, Boulevard de la Foire

L-1528 Luxembourg

Switzerland 

 

Kelonia Capital Advisors (Switzerland)

Rue du Commerce, 4

1204 Geneva, Switzerland


 

 











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