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CENTO is a short- to mid-term, single-exchange, trading program that aims to deliver absolute returns in any crypto market environment by taking advantage of temporary or prolonged patterns, mis-pricings and market imbalances in one or several cryptocurrency pairs. Therefore, the program is suitable for investors looking to profit from rising or falling cryptocurrency prices at a fraction of the risk and downside of traditional long-only strategies.  The backbone is the fundamental element of machine learning and adapting to current and ever-changing market environments, which is the key to future outperformance. The models and investment process are successfully implemented in the traditional asset management space and are currently managing money in several structures.

the genio  cento  systematic crypto program

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Executive summary

CENTO runs a focused portfolio of ~30 perpetual crypto futures contracts , where diversification is achieved by targeting four different behavioral-based factors, rather than momentum only.

The factors are harvested by 12 different, individual and uncorrelated models, spread over three dimensions (directional, spread, basket) and different frequencies to get a true 360 degree view of the markets.

The cumulative position in each instrument is the end result of the outputs of all three model types and therefore highly dynamic, responsive (changing throughout the trading session) and forward-looking.

The models are monitored and allocated by a machine learning/AI-based algorithm top-layer that focuses on performance, portfolio risk and diversification as well as monitoring individual drawdowns.

Summary
performance

Program performance

The program has been running live since Jan-2022  and any numbers before this are either  out-of-sample paper traded (Aug to Dec-2021), or backtested (Jan-2018 to Aug-2021). All numbers include a 1/25% fee structure. 

 

Contact us for more information.

MONTH

+0.00%

YEAR TO DATE

+00.0%

\\ statistics

CAGR

17.6%

AnnVol

21.0%

Sharpe

0.815

Max DD (mth)

0.81%

\\ correlations

S&P 500

0.975

Dollar Index

0.949

Bitcoin

1.945

CTA Index

1.945

All results are from 1-Jan-2018 to date (previous month's end and proforma.  All results include a 1/25 fee structure.

CENTO

crypto market index

monthly returns
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Monthly performance

The program has been running live since Jan-2022  and any numbers before this are either  out-of-sample paper traded (Aug to Dec-2021), or backtested (Jan-2018 to Aug-2021). All numbers include a 1/25% fee structure.  Contact us for more information.

The Trend Index

In order to identify different kinds of market conditions for the crypto markets, we have created a proprietary Trend Index to indicate whether the markets are ranging or trending. In general, if we see a Trend Index above 3 or below -3, the markets are in significant trend mode.

trend index
instruments

Instruments

We trade around 30 of the most liquid perpetual futures of the exchange in question. The instruments are divided into three different tiers depending on their market cap and liquidity, where the highest allocation is to Tier 1, then slightly less is allocated to Tiers 2 and 3, respectively.

The exposures represent an approximate exposure of an average account trading the CENTO program. The exposures of individual accounts may differ slightly, depending on the trading level and possible restrictions. 

Contact us for more information.

CRYPTO
NAME
TICKER
EXPOSURE
exposures
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Performance attribution per factor 

The chart visualizes how the different factors have contributed to the cumulative performance over time.

Risk allocation per factor

The chart visualizes how the allocation model has distributed the risk mandate between the different factors.

factors

Current exposure

Please note that these exposures are delayed and should not be used for investment decisions.

The exposures represent an approximate exposure of an average account trading the CENTO program. The exposures of individual accounts may differ slightly, depending on the trading level and possible restrictions. 

Contact us for more information.

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