It achieved all these objectives since launching its first strategy live in 2014, its flagship strategy Icon-MoSAIQ-Carmika Market Neutral is up more than +27% YTD net as of July 27th 2020 and has a live Sharpe Ratio above 3 since inception.
On this Opalesque Virtual Investor Visit, we'll travel to Zurich to visit Icon Asset Management and take a look at their ICON MoSAIQ Carmika all weather strategies.
Elias Nechachby, CFA, developed the first MoSAIQ models in 2006 by creating a long only strategy that demonstrated the ability to beat the S&P500 total return 70% of the time by 5% to 10% annually. He subsequently added a hedge engine in the 2011-2015 period, and the long/short volatility engine in 2015 to turn the strategy into an all weather absolute return strategy. MoSAIQ is based on behavioural finance paradigm and uses AI tools such as, but not limited to, genetic algorithms, neural networks and support vector machines coupled with proprietary techniques and a process-driven approach to build robust models that trade systematically in liquid S&P 500 and Nasdaq 100 cash equities, index and volatility futures as well as index options (Carmika permanent hedge).
Elias Nechachby's strategies have shown extreme resilience during periods of market turbulence, outperforming the S&P500 in both up and down years.
In this video, you'll also meet ICON Asset Management founder Richard Toolen before we'll take you to London to meet Manjeet Mudan, Ph.D., Martin Vestergaard and Michael Cameron from Carmika Partners.
This Opalesque Virtual Investor Visit covers:
- Icon Asset Management's Zurich office & the rationale for the ICON MoSAIQ Carmika partnership
- What ingredients MoSAIQ uses to create and all weather strategy
- Why the theories and academic framework that most multi-billion asset managers and hedge funds rely on to manage their portfolio cannot generate above average returns nor consistently beat their passive benchmark
- The deeply rooted misconceptions and erroneous practices around hedging in the asset management industry
- A new approach and a new way to look at risk management.
Elias Nechachby, CFA, is MoSAIQ (Modelling Systematically Assets Invested Quantitatively) Founder and a Partner in the Icon-MoSAIQ-Carmika JV. Elias has over +25 years of experience at the crossroads of finance and technology, since graduating from the French National School of Civil Aviation (ENAC) with Electronics major he holds an MBA from NYU Stern, LSE and HEC Paris.
MoSAIQ was Elias MBA term project that he presented with his MBA team in New York in 2011, MoSAIQ is backed by a strong academic background and in-depth multi-disciplinary research.
Previously, Elias held a senior consultant position at PWC, was VP of Business Development at Sungard and Managing Director at Trading Screen. During his career, he developed portfolio management, risk management, order management, trading algorithms and compliance software used by tier 1 asset managers with more than $100 billion of AUM. Elias has written several white papers including “Fooled by correlation” which is one of the pillars of MoSAIQ strategies.
Richard Toolen is Chairman & CEO of Icon Asset Management and founded the firm in 2006 with proprietary trading colleagues who originally met and worked together at Daiwa Securities Europe in Frankfurt in the late 1990s. Richard has a BA in Economics with honours from Boston University and was awarded an M.B.A. in Finance with honours from New York University. After Daiwa, Richard headed desks at boutique trading houses in Dublin, Munich and Gibraltar before founding Icon as a regulated Swiss entity to expand the scope of the team’s activities to include Multi-Asset trading on behalf of Qualified Investors and to conduct private wealth management activities.
Martin Vestergaard has over 20 years of experience in risk management, quantitative option trading and options market making. Martin started his career at Arbitrade in Chicago on the floor of the CBOE, before becoming a financial engineer and trader at Hull Trading, where he met Manjeet in 2000. Martin moved internally to Goldman Sachs in London before leaving to join Horizon Asset Ltd in 2002. After spending 3 years at Horizon setting up their option business, Martin became a risk manager and volatility/macro trader at Centaurus Capital from 2005 until 2008, at which point he left to join Manjeet at ADG Capital Management. At ADG, Martin traded volatility arbitrage with a macro overlay until he left in 2012 to begin trading for himself. Before founding Carmika Partners, Martin was a non-executive director at Xenfin Capital between 2010 and 2015.
Martin holds a Masters of Science in Applied Statistics and Econometrics from the Technical University of Denmark.
Manjeet Mudan holds a Ph.D. in Experimental Particle and Astro-Physics from University College London, with research conducted at University of Michigan, Ann Arbor. Manjeet also holds a B.Sc. in Physics from the University of Edinburgh and won the National Astronomical Society Bruno Rossi prize for Astrophysics in 1988.
Prior to joining Carmika Partners, Manjeet was a founding partner and senior trader in volatility arbitrage and trading system development at ADG Capital. He has over 25 years of experience in risk management, quantitative option trading and option market making. Before founding ADG, Manjeet was head of European automated market making for listed equity options at Morgan Stanley in London between 2004 and 2006, and head of financial engineering and global volatility arbitrage at Mako Global Derivative between 2002 and 2004. Manjeet started his career as a financial engineer at Hull Trading, acquired by Goldman Sachs in 1999, specializing in volatility arbitrage, automated trading algorithms and risk management. He spent 9 years at Hull Trading, 1993 to 2002, making partner in 1998.
Michael Cameron is Head of Investor Relations and Operations at Carmika Partners LLP focused on delivering hedging solutions and uncorrelated return strategies to RIAs, FamilyvOffices and Institutions. Previously, Mike was Head of Institutional Client Coverage at ETF Securities where he led a team of four investment specialists in the US, covering Institutions and Family Offices for alternative ETFs and factor investing. Mike joined BAML equity derivatives in 2012 as Director where he lead a team of two, offering investment solutions and derivative advice to global volatility arbitrage hedge funds and pension plans in the US and Europe. Prior to BAML, Mike was Director at Deutsche Bank from 2004 to 2012 where he worked with global macro and volatility hedge fund clients in equity derivatives sales & trading.
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