ABB. 1: THE SKALIS FUNDS-TEAM.
From the left to the right: Dr. Jens Bies, Andreas Grassl, Marc Decker, Ingmar Przewlocka.
COMBINING DISCRETIONARY DECISIONS WITH QUANTITATIVE MODELS.
The investment process focuses on a discretionary decision-making concept that bundles the long-term market expertise of all specialists. The fund managers develop a clear market opinion in their “small round” using intense analysis of the macro-economic overall situation. It is at all times supplemented by further capital market analyses (e.g. sentiment or positioning data) and continually reconciled with the actual development of the respective market segments.
If market inefficiencies become evident, the fund management uses them consistently for an additional contribution to return increase and risk reduction. The allocation is mainly controlled by cost-efficient and fast utilisation of futures that act as satellites. The core portfolio itself (shares, bonds, cash) is subject to strategic adjustments only. SKALIS FUNDS also has a sophisticated risk budgeting process that is supplemented by a unique, systematic money and risk management algorithm. Item sizes can thus be perfectly adjusted to the revenue path of the fund.
TRADESIGNAL AS A LONG-TERM PARTNER.
Even though purely quantitative models do not play any direct role in direct portfolio control, a look at the fund managers’ screens shows that technical analysis is not a stepchild at SKALIS – quite the opposite. The fund managers use Tradesignal to observe, analyse and scan the markets relevant for each of them and to keep an eye out for interesting opportunities. The wide function range of Tradesignal makes it possible to perform many asset manager routine activities time-savingly and efficiently. The most important functions include:
- Application of various, also internally generated, indicators and drawing tools
- Combination of different chart types and time levels
- Generation of course lists, portfolios
- Use of a scanner for finding certain market situations
- Alarm functions
- Integration of external Excel data
- Comfortable generation of dedicated trade strategies with pre-installed modules
- Back test, walk forward test and optimisation of parameters
- Use of different position value algorithms
- Automatic generation of PowerPoint or Word presentations
AUTOMATIC RECOGNITION OF PROFITABLE CANDLESTICK PATTERNS.
As a multi-asset-manager, the entire fund management is aligned with quick recognition of interesting market conditions. The fund managers agree that the performanceis mainly generated by allocation control instead of title selection. Marc Decker adds: “Because of this, our approach is based on investing in the right market at the right time, instead of just sticking to one benchmark. The customer doesn’t want to know about the relative, but the absolute additional revenue from his investment in our fund.”
Using securities lists is especially suitable when particularly interesting market situations are to be identified. SKALIS uses them, among others, to find verifiably successful Candlestick patterns – of course across all asset classes. The following figure shows what pattern recognition looks like on the fund manager’s screen for a bond future. Once a pre-defined pattern occurs in the time level specified by the user, the chart will display a note that the fund manager can follow. The RSI and MACD indicators serve as an additional orientation aid.