As a Research Lab, Bramham Gardens concentrates on building investment strategies based on Artificial Intelligence. Our effort concentrates on US large stocks.
This month of March is typical of what we would expect from these strategies, i.e. a positive performance while the market (SP500 index) is negative or flat.
Looking at the long strategy
The month of March has been a strong month with respect to the SP500. Out of the 10 top holdings, 5 have been showing a positive return, with a magnitude that largely supersedes the negative occurrences. The year-to-date cumulative return is still slightly below the SP500, as the January ramp-up of the strategy had been gradual in order to mirror real-world conditions, but the gap has considerably reduced.
|Price based – ex dividends||SP500||Long|
|Year to end of March||5.39%||4.66%|
A decorrelated long-short
The long-short strategy has, since the start of the year, exhibited clear market decorrelation on the monthly frequency.
|Long-Short Price based|
|Year to end of March||2.33%|
97mUSD are now invested according to the long-short strategy. Obviously the results reported here would differ from the performance of a fund, due to a series of operational constraints and costs.
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