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FUNDS | Sekiei Fund

Sekiei Fund


Sekiei Quantitative Strategies apply statistical arbitrage to short and medium term momentum and mean reversion directional strategies, respectively in S&P500 and Nikkei 225 indexes. The algorithm analyses realised correlation and dispersion data among sectors and index constituents across various time slice windows.  The Sekiei model utilises inputs that imply the macro risk in the market and takes a long or short bais accordingly. 

MONTHLY COMMENTARY


Qualitative Review of February 2016:

Unlike S&P500, Nikkei225 ended Feb down, about -8.5%.

The negative sentiment taken from Jan continued until trend reversal in oil prices mid-month.

However, the bounce back in Nikkei225 was substantially weaker as the USD/JPY did not show any upside move above the critical 113.10 level.

The negative interest rates (now also embraced by BoJ) also brought up questions by market players whether central banks are running out of tools to boost inflation and accelerate declining growths. BoJ’s prospective actions became also somewhat confusing for the market as the central bank preferred interest rates over asset purchases.

Key macro data on both critical fronts – inflation and growth – continue to show a negative picture as development related to China will have more direct affects on Nikkei225.

Quantitative Review of February 2016:

Low correlation distortion values outside the 2σ of the historical normal distribution remained in place for far too long, which created a statistical outlier for the Sekiei algorithm and prevented a major performance improvement.

Despite the recent low hit ratio, Sekiei’s signals improved toward the end of the month and normalized algorithm mapping enhanced more frequent measures in variance differentiations.

Sekiei algorithm currently displays 16,850 and 17,600 as the key resistance levels; in possible declines 15,800 is key.


Quantitative Outlook:

The Sekiei signal for the beginning of February 2016 remains sideways to weakly bearish, which may change starting from the 2nd week.

Fund data
Class A Class B Class C Class D
23 MAR, 2016

- - - € 88,5760
Inception Date - 30.10.2015 06.11.2015 09.10.2015
Investment Minimums $ 10.000,00 € 10.000,00 $ 1.000,00 € 1.000,00
Subsequent Investment $ 10.000,00 € 10.000,00 $ 1.000,00 € 1.000,00
Ticker Bloomberg
ISIN MT7000014502 MT7000014510 MT7000014528 MT7000014536

Account Features: daily

OFFERING DOCUMENTS

Monthly Performance


Class C
Year JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Total
2015 - - - - - - - - - - -1,5920 % 0,9959 % -0,6120 %
2016 0,7385 % -5,2536 % -0,9688 % - - - - - - - - - -5,4785 %

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Class A Class B Class C Class D