July – Research & performance reporting

Madam, Sir,

We have the pleasure of informing you about what has happened during this month of July.

So far, this year 2016 looks like an excellent vintage for Bramham Gardens. Thanks to our usage of Machine-Learning, we have been able to generate and extract significant excess performance over The SP500 and cash.

We have developed two series of strategies covering the US market. The long strategies and the non leveraged long-short strategies.

Within the long strategies, the “Long-no hedge” strategy aims at outperforming the SP500, being exposed to its downside risk. The “Long-cash hedged” strategy aims at outperforming the SP500 but turns into cash when volatility becomes too high. By so doing, it reduces downside risk and the need for regulatory capital required from institutional investors.

Price based calculation SP500 Long-cash hedged Long-no hedge
Year-to-end-of-july 6.15% 13.31% 16.14%
July 3.50% 1.91% 4.11%

The long-short strategy corresponds to a non directional, non leveraged strategy. Bramham Gardens computes the ex-dividend log-return version of it, while Thomson Reuters independently computes a pre-close return UCITs version, including dividends.

Long-short Price based Long-Short Total Return Thomson Reuters
Year-to-end-of-july 4.60% n/a
July 0.69% 0.85%
June -1.54% 0.06%

We are available to discuss with you our work : contact@bramham-gardens.com



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