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Expertise
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Expertise




Methodology


The main source of long-term performance often proves to be the Risk Allocation system.

That’s why it’s our DyNA!

At AEQUAM, we believe in targeting risk, delivering returns as reward.

Out of the box thinker, Arnaud CHRETIEN - Founder & CIO of AEQUAM, has converted his trading experience started in 1987 on the Equity floor market into a unique investment concept for you.



Building optimal capital allocations by investing in value - low risk, high momentum liquid markets:

Medium to Long Term Value - Trend Follower diversified across Equities, Interest Rates, Currencies, and Commodities

100% Systematic Risk Factors based

Unique combination of two dimensions: Momentum and Value

Risk management focus on VaR target and Drawdown control


Investment Process in 4 steps


You will benefit from better markets beta-exposure with lower risk.
DyNA targets optimal risk allocations in multiple asset classes with the aim of favoring uncorrelated investment opportunities while avoiding risk concentration.

Step 1 - Calibration, Markets Selection and Risk Constraints Definition

Primary criteria observed: diversification and liquidity of investments. The various markets are divided into sub-sectors and sectors

Main risk constraint used: an optimal VaR allocation is attributed to each market, sub-sector, sector and to the portfolio risk target


Step 2 - Market Data Processing (input signal)

Three filters are used to analyze each market, sub-sector and sector on a daily basis:

trend
trend strength
risk appetite


Step 3 - Markets Classification (output signal)

Depending on the filter, each market is classified and

a buy, a sell or a flat position is set up
a score between 0 and 1 is assigned


Step 4 - Capital Allocation according to the portfolio’s VaR risk budget target

the allocation of risk per market is proportional to the score obtained by each market, sub-sector and sector


Our investment method does not incorporate economic assumptions or return forecasts. We believe that proven investment ideas have to make financial and economic sense before they are implemented and that these ideas will be rewarded by solid long-term performances for you at an acceptable level of risk.

AEQUAM's risk management is embedded within the DyNA investment process.


Risk Management


Careful risk management is a core component of our robust investment process.
This conviction forms the very foundation of Aequam Capital, and our DyNA risk allocation system is the main source of attractive risk-adjusted returns for you.

The Risk Management team, overseen by the Internal Control and Compliance Officers, independently monitors portfolio risk profiles in real time with unlimited access to management and research resources.


Risk Constraints

Stop Loss & Correlation

Capital Allocation

Portfolio risk is determined by targeting a maximum Monthly 10% VaR

Average < 8%

Stop losses are embedded in our position sizing algorithm

Losing position decreases proportionally to the market reversal and to the VaR limit

Capital allocation focuses on diversification and strict drawdown control

Diversification > 50 markets

Maximum Margin to Equity (MtE) of 20%

Average < 10%

Each market, sub-sector, sector and global portfolio receive an individual VaR limit

Risk allocation is redistributed to better performing positions

Portfolio highly liquid across
Asia - Europe - US

Diversification > 50 markets

Maximum Volatility (Vol) of 20%

Average < 15%

Correlation between markets is taken into account

in a sub-sector 3 markets 100% correlated will receive 1/3 of the VaR limit

100% systematic - trade execution is fully automated with Risk Officer Control

New Long and Short positions are adjusted at market open


Research & Development


AEQUAM firmly believes that quantitative research provides the most reliable source of information on market cycle behaviors and risk characteristics.

When driven by passionate people who focus on ideas that have to make financial and economic sense, great progress is made.

Through rigorous scientific methods and innovative technology, the R&D team works to understand and convert financial market complexity into high-performance scalable solutions for you.

AEQUAM's R&D team contributes to innovation in finance by creating synergies with academics and industry insiders alike. We carry high the value of sharing ideas with the research community in publishing academic articles. Aequam Capital is the founder of QuantValley a non-profit organization.

This ongoing pursuit of knowledge, drawing on the broad experience and generation of synergies by our fund managers, researchers and risk managers, allows AEQUAM to create original trading systems with the aim of delivering strong, long-term performances for you.


Our publications and research synergies


"Multi-factor Models and Signal Processing Techniques: Survey and Example", September 2011
- By E. Jay, P. Duvaut, S. Darolles and A. Chrétien,
- IEEE-Signal Processing Magazine, Vol. 28, No. 5, pp.37-48 , Sept. 2011

Also published by John Wiley & Sons in 2013
"Multi-factor Models and Signal Processing Techniques", by S. Darolles, P. Duvaut and E. Jay

References in the Risk Factor Investing research

Fernholz, E.R. & Shay, B. (1982). Stochastic portfolio theory and stock market equilibrium. Journal of Finance 37, 615-624.
Fama Eugene F. and French Kenneth R., "The Capital Asset Pricing Model: Theory and Evidence.", Journal of Economic Perspectives, Vol. 18, No. 3, 2004, p. 26.46

Aequam Capital is the founder of



There is no guarantee of trading performance and past performance is not in any way indicative of future results.
Investors must be aware that there is no guarantee of capital and that there is a risk of loss of their investment.
Aequam Capital is authorized and regulated by the AMF – French Financial Markets Regulator under the number GP-10000038, and is a member of the National Futures Association ("NFA") and CFTC registered under the number 0426423 in the United States of America.

The website www.aequamcapital.com belongs to:

AEQUAM CAPITAL
Palais Brongniart
28, place de la Bourse
75002 Paris
France
Phone Number: +33 (0)1 73 01 93 72
Fax Number: +33 (0)1 83 62 28 33

Director of publication: Arnaud Chrétien, Chairman & Chief Investment Officer.

Customer complaints handling procedure

Aequam Capital has implemented and maintains an operational procedure to quickly and efficiently process complaints made by its clients. Any complaint may be referred to Aequam Capital, 28 place de la Bourse, 75002 Paris, France or by e-mail : arnaud.chretien@aequamcapital.com. The management company will acknowledge receipt of the complaint within a maximum of ten working days from the date it was received, unless a response has been issued to the client in the intervening period. Except in duly justified exceptional circumstances, a response will be issued to the client within two months of receipt of the complaint. In the event of an ongoing dispute, the client may contact a mediator, such as the AMF Ombudsman, at the following address: Autorité des marchés financiers, Mme Marielle Cohen-Branche, 17 place de la Bourse, 75082 PARIS CEDEX 02. The AMF mediation request form and the Mediation Charter are available online at http://www.amf-france.org.

Aequam Capital is a French corporation (SAS) with an issued capital of €220.000, registered in Paris (France) under n° 520 944 398 R.C.S. Paris on 16th March 2010. Aequam Capital is authorised by the Autorité des marchés financiers (AMF – French Financial Markets Authority) to act as an Investment Management Company under the number GP-10000038 since 24th September 2010.