Top 10 Long Holdings and Short Holdings – Research & performance reporting

Madam, Sir,

We have the pleasure of informing you about what has happened to our Machine-Learning strategies during this month of September.

During this past month of September, the market has experienced some uncertainties due to monetary policy fatigue, a heavy political agenda and weakening financial institutions. In the mean time, all our strategies have been delivering a positive return, despite a slightly negative monthly return on the SP500.

At Bramham Gardens, we pursue our strong and smooth 2016 investment strategy journey. The ability of our Artificial Intelligence setup to adapt in an agile manner gains credibility month after month.

The benefit of the machine-learning approach we use to pick stocks is really not tied to any specific investment style / risk factor but adapts to changing market conditions, as is clear from the chart below, which exhibits the yearly correlation of our Long-Short US to low beta , momentum, value and quality market neutral DB US indices.

Let us restate what we deliver, on a log-return basis:

  • We focus on two long-only strategies: the “hedged” one which gradually turns away from the machine-learning algorithm to go into cash when the SP500 becomes too volatile and the “no hedge” one which switches to the SP500 when the SP500 volatility rises.
Price based – ex dividends SP500 Long – cash hedged Long – no hedge
Year-to-end-of-September 5.91% 15.22% 17.66%
September -0.12% 1.36% 1.38%
  • We run two Long-Short non directional, non leveraged strategies. The first one is price return based and the second one is total return, with all UCITs constraints.
Long-Short Price based Long Short Total Return UCITs
Year-to-end-of-September 5.97% N/A
September 0.77% 0.88%

Thomson-Reuters operates as the independent calculator of the performance on the Long-Short side.

In order to drill down, please find the top 10 long and short holdings during September 2016.

Top 10 Long holdings Name Sector
AYI UN ACUITY BRANDS INC Industrials
CNC UN CENTENE CORP Health Care
FTNT UW FORTINET INC Information Technology
HPE UN HEWLETT PACKARD ENTERPRIS Information Technology
HUM UN HUMANA INC Health Care
IBKR UW INTERACTIVE BROKERS GRO-CL A Financials
NFX UN NEWFIELD EXPLORATION CO Energy
NVDA UW NVIDIA CORP Information Technology
SEIC UW SEI INVESTMENTS COMPANY Financials
UA UN UNDER ARMOUR INC-CLASS A Consumer Discretionary
Top 10 Short Hodings Name Sector
ADI UW ANALOG DEVICES INC Information Technology
ADP UW AUTOMATIC DATA PROCESSING Information Technology
COP UN CONOCOPHILLIPS Energy
LLTC UW LINEAR TECHNOLOGY CORP Information Technology
MDT UN MEDTRONIC PLC Health Care
MJN UN MEAD JOHNSON NUTRITION CO Consumer Staples
UTX UN UNITED TECHNOLOGIES CORP Industrials
WU UN WESTERN UNION CO Information Technology
XLNX UW XILINX INC Information Technology
XRX UN XEROX CORP Information Technology

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



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