August – 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 August.

After the Brexit surprise in June, we have enjoyed a steady summer and this has helped all our machine-learning driven strategies to fare well. The month of August has been a positive contributor for all of them, despite a slightly negative return on the SP500.

For Bramham Gardens, 2016 has proven a good year so far, as we have navigated well during the January, February trough. We then have made the most of the spring period and have succeeded, more recently, in generating some value while the SP500 has become trend-less. The year is not over yet and the end of 2016 might bring additional volatility and favour our non directional Long-Short strategy, while the long only strategies are already so much above the SP500 that not much is to be feared on that side.

Let us restate what we deliver:

  • 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 calculation SP500 Long-cash hedged Long-no hedge
Year-to-end-of-August 6.03% 13.86% 16.29%
August -0.12% 0.55% 0.15%
  • 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-August 5.20% n/a
August 0.60% 0.60%

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

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