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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
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.
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.
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.
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.
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.