Portfolio Neumann
Long-short systematic macro 10 assets,
daily rebalancing
key properties
Zero beta to the underlying.

Weights stays relevant for 1-3 days, thus low-latency trading is possible. Can be made the basis of human decision making.

Uncorrelated to existing, well-known factors (volatility, momentum, etc.)
asset universe
+ S&P 500
+ Dow Jones Industrial Average
+ EUR/USD Exchange Rate
+ US Dollar Index30 Year US Treasury Bonds
+ 10 Year US Treasury Bonds
+ US Treasury Inflation-Protected Bonds
+ US Investment Grade Corporate Bonds
+ Diversified Commodity Index
+ Emerging Market Bonds

Both futures and ETF based implementations are available.
Assets are selected based on: liquidity, cross-correlation, predictability (on the validation set).
Portfolio Neumann, is a Model Portfolio that we built with Myalo Platform for our internal fund.

Portfolio Neumann’s daily turnover is 33%, by design. We need to reach a certain quantity of trades in order to realize our edge.The mean net exposure is 82% “long”, equivalent to ~0.82x mean leverage. The maximum theoretical leverage is 2.5 - chosen to target 8.0% annualized volatility.

Both long & short positions are allowed, but Portfolio Neumann is not delta neutral - the longs / shorts are imbalanced. The portfolio spends 98% of the time “Net Long”.