About


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

 

Our sophisticatedrule-based approach to investing is not influenced by conventional market narrative, 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 recurring market inefficiencies, grounded in sound academic research. Unlike many systematic managers, who rely predominantly on individual factors or investment styles, we believe that combining multiple complementary and uncorrelated sources of return produces superior results over time. 

 

Our investment process is empirically robusttheoretically sound and, we believe, well-positioned to deliver solid returns in today’s market environment.

 

 

Philosophy

Focus, discipline, and a commitment to quality and innovation represent key elements of our philosophy. Kelonia’s investment approach is rooted in the idea that markets are complex adaptive systems, and that they exhibit occasional inefficiencies that can be exploited through active investment approaches. We believe true alpha-generating strategies still hold a place in investors’ portfolios, and deliver excess returns that cannot be captured through conventional 'alternative risk premia' strategies. 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, failed momentum and counter-trend signals.

 

What distinguishes Kelonia’s approach to managed futures is the use of a proprietary noise classification and noise filtering framework, built upon the concept of long memory and the fractional Brownian motion theory developed by B. Mandelbrot.

 

The program employs a true blend of pattern-based momentum and contrarian strategies, all seamlessly integrated through different bands of the market noise spectrum. Our models are devoid of technical price-based indicators, trend-following or otherwise, and provide for a differentiated approach to managed futures investing compared to classic trend-following CTAs.

 

All strategies 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 state-of-the-art IT infrastructure and in-house proprietary software.

 

 

Key Features

Portfolio Diversification 

Our investment program exhibits a zero-to-negative correlation to the global equity markets, and a correlation of 0.4–0.5 to other managers in the global macro and managed futures spaces. From the top down, the program has been designed to act as a true portfolio diversifier, and offers unique return characteristics that are additive to an already allocated portfolio of CTAs.

Absolute Returns 

By combining multiple alpha sources and a robust noise classification framework, we believe Kelonia is well positioned to deliver consistent returns in a broad range of environments. Our self-adaptive models are designed to dynamically adjust to new market conditions, such as changes in market noise levels, idiosyncratic volatility, and underlying term structure.

Tail Risk Hedging 

Fixed income and 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 valuable hedging characteristics and risk mitigation benefits during sustained market corrections.

 

 
 

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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