Catana Capital’s overlay strategy significantly reduces volatility and delivers positive value contribution

Big Data and AI as hedging components offer real added value during drawdown phases

October 2020 was marked by rising COVID cases and a new lockdown light in Germany and other European countries. As a result, volatility came into the market, which ultimately led to a drawdown of over 9% in the Dax.

The signals from Catana Capital‘s Big Data driven AI models were already relatively clear in the middle of the month, which is why we successively increased the hedge ratio from almost 20% to 60% in our overlay mandate for a fund of funds with a volume of over €110 million.

Overlay Strategy Hedge - October 2020
Overlay Strategy Hedge – October 2020

As in March of this year, the overlay strategy not only significantly reduced the volatility of the target fund, but even delivered a positive value contribution.

Performance Overlay Strategy - October 2020
Performance Overlay Strategy – October 2020

Over the year as a whole, the value contribution of the Catana overlay strategy is even stronger with a performance of over 6%.

Performance Overlay Strategy YTD - 01.2020 - 10.2020
Performance Overlay Strategy YTD – 01.2020 – 10.2020

This year alone, the strategy was able to show in two drawdown phases that Big Data and AI as hedging components offer real added value, while a number of traditional overlay models failed. Feel free to contact us to discuss in detail the overlay strategy and its individual configurability according to your wishes.

About Michael Hebenstreit
Michael has several years of experience as senior equity trader in institutional equity trading. At Catana Capital he utilizes his trading experience to research new trading ideas. As an experienced online marketer, he is also responsible for building the company’s online channels and rolling out the digital strategy.

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