THE RISK in the fund is managed by a unique combination of three complementary perspectives


Daily volatility risk

This risk is mainly managed by measuring value-at-risk (VaR) on the fund level, strategy level and position level. The VaR figure provides a good estimate of the expected profit and loss for a typical day. The goal is for each strategy to have a VaR of 0.1 - 0.5% meaning that during most days (95%), each strategy will have a result that is +/- 0.1 - 0.5%. This adds up to a VaR for the fund of 0.7 - 1.0% which corresponds to a yearly volatility of 7 - 10%. This is roughly half the volatility of the stock market.

Drawdown risk

Drawdown risk is the risk of having a prolonged period with negative returns. Antiloop tries to reduce this risk by continuously doing new research and adapting the strategies and the fund to current market conditions. Making sure the strategies remain uncorrelated to each other is a key component.

Catastrophic tail risk

This risk is associated with high impact tail risk events and potential losses due to reduced market liquidity. VaR does a good job of capturing the risk level under normal market circumstances but the method is ill equipped to handle the few outlier days that tend to occur in markets from time to time. Antiloops approach to minimize this risk is to keep each individual bet small, ensuring that a large outlier move in a position does not have a catastrophic effect on the overall performance. A focus on on highly liquid markets and securities also mitigates this risk.