Global Deep Value
Sharpe Ratio
Volatility Target
Max. LeverageThe Global Deep Value strategy aims to find dislocations in various global equity indices.
Depending on the magnitude of the dislocation a relative target weight is assigned to construct a portfolio which is then volatility scaled to reach a target of 12%.
The portfolio is rebalanced at multiple times daily, particularly when the underlying assets experience sharpe changes in expected returns, volatility, or correlations. The strategy targets at most 10% volatility. Access to the strategy is available through 1 delta or structured products replication.
Real Time Strategy Performance1
| Name | Allocation | 1 Month P&L | Last Trade | Expected Return | Expected Vol |
|---|---|---|---|---|---|
| Technology | 10% | -$1,314.35 | 12/2, 15:00:00 | 10% | 11% |
| Basic Materials | 2% | -$57.12 | 12/2, 15:00:00 | 33% | 9% |
| Consumer Staples | 28% | -$11.53 | 12/2, 15:00:00 | 63% | 8% |
| Consumer Discretionary | 4% | -$396.86 | 12/2, 15:00:00 | 51% | 10% |
| Industrials | 1% | -$48.54 | 12/2, 15:00:00 | 42% | 6% |
| Communication | 0% | -$5.16 | 11/26, 14:00:00 | 17% | 8% |
| Health Care | 18% | $4,030.49 | 12/2, 15:00:00 | 27% | 7% |
| Financials | 5% | -$206.04 | 12/2, 15:00:00 | 42% | 8% |
| Energy | 17% | $568.54 | 12/2, 15:00:00 | 54% | 12% |
| Utilities | 2% | -$54.41 | 12/2, 15:00:00 | -65% | 8% |
| Real Estate | 6% | $73.55 | 12/2, 15:00:00 | 49% | 7% |
| Gold | 7% | $441.05 | 12/2, 15:00:00 | 13% | 9% |
Strategy Access
FAQFrequently Asked Questions
For general questions please consult this page.
Questions specific to this strategy are answered here;
if you have additional Questions please email us at pm@glrtec.com
When will the strategy be available?
The strategy is currently in pre launch state. In this state, Portfolio Managers invest their own money into the strategy to establish a live track record. This typically lasts for 3 to 6 months, at which point the strategy is made available to a broader audience.