OUR INVESTMENT STRATEGY
A Principled Approach
Taaffeite Capital Management Liquid Alpha Program is a macro multi-strategy, allocating to 100-200 opportunities across global equities, fixed income, commodities and currencies.
This broad diversification aims to give investors exposure to a broad set of global opportunities, and Taaffeite aims to select the highest quality assets within each asset class to produce significant returns.
For example, instead of buying just US Treasuries, Taaffeite aims to select a portfolio of the highest quality government debt bonds that are the most underpriced. The portfolio is also globally diversified and risk neutral to absorb market volatility.
OUR INVESTMENT STRATEGY
Macro strategies, strategies that invest broadly across asset classes and geographies, are built on the concept of Market Portfolio Theory. The aim is to identify high-quality investments, that are also uncorrelated. As positions are uncorrelated, collectively they reduce the portfolio's risk and allows the use of moderate leverage to enhance returns.
Taaffeite's Investable
Asset Universe
Our fund systematically allocates to leading 100-200 opportunities across global equities, fixed income, commodities and currencies. This global portfolio is rebalanced frequently to ensure it is always positioned to optimize returns on a risk-adjusted basis.
Equities
Australia SPI 200
Canada S&P 60
Euro STOXX 50
France CAC 4O
FTSE Kuala Lumpur CI
Germany DAX
Hong Kong Hang Seng
Hong Kong H-Shares
India CNX Nifty
Italy MIB
Japan Nikkei 225
Korea Kospi 200
MSCI EAFE
MSCI EM
MSCI Singapore
Netherland AEX
SGX FTSE China A50
S.A. FTSE/JSE Top 40
Spain IBEX 35
Sweden OMX
Switzerland SMI
Taiwan Taiex
Thai Set 50
UK FTSE 100
US Russell 2000
US DJIA
US S&P 500
US Nasdaq 100
US MidCap 400
FTSE 100 Dividend
Stoxx 50 Dividend
Bonds
Australia 3-Year Live Cattle
Australia 10-Year
Canada 10-Year
France OAT
Germany Schatz
Germany BOBL
Germany BUND
Germany BUXL
Italy 3-Year
Italy 10-Year
Japan 10-Year
Korea 3-Year
Korea 10-Year
UK Gilt
US 2-Year Note
US 5-Year Note
US 10-Year Note
US Treasury Bond
US Ultra T-Bond
Australian Dollar IRS
British Pound IRS
Canadian Dollar IRS
Czech Koruna IRS
Euro IRS
Hong Kong Dollar IRS
Israeli New Shekel IRS
Japanese Yen IRS
Korean Won IRS
Swiss Franc IRS
UAE Dirham IRS
US Dollar IRS
Commodities
Aluminium
Copper
Gold
Iron Ore
Lead
Nickel
Palladium
Platinum
Silver
Zinc
Crude Oil
Gasoline
Heating Oil
Natural Gas
Crude Palm Oil
Canola
Cocoa
Coffee
Corn
Cotton
Rubber
Soybean
Soybean Meal
Soybean Oil
Sugar
Wheat
Feeder Cattle
Lean Hogs
Live Cattle
Currencies
Australian Dollar
Brazilian Real
British Pound
Canadian Dollar
Chinese Yuan
Czech Koruna
Danish Krone
Euro
Hong Kong Dollar
Hungarian Forint
Indian Rupee
Indonesian Rupiah
Israeli New Shekel
Japanese Yen
Korean Won
Malaysian Ringgit
Mexican Peso
New Taiwanese Dollar
New Zealand Dollar
Norwegian Krone
Philippines Peso
Polish Zloty
Russian Rouble
Saudi Riyal
Singapore Dollar
South African Rand
Swedish Krona
Swiss Franc
Thai Baht
Turkish Lira
UAE Dirham
Quantitative Techniques
Since 2013, Taaffeite Capital has developed quantitative techniques to make high-quality price predictions and build high-quality global portfolios to outperform our peers. Over a 3 year rolling window, Taaffeite aims for all asset classes to contribute to returns and therefore aims to outperform a common index like the S&P 500.
Our fund aims to beat our benchmarks on a risk-adjusted basis over 2-3 year rolling windows. TCM benchmarks against MSCI All-Country World Equity Index and the HFR Systematic Macro Index.
