Kappa

Κ

Absolute Return, Low Beta

Kappa is an absolute return strategy with the goal of achieving consistent returns across all market conditions. Kappa has a persistent, long-short market exposure. Short exposure is achieved through an inverse ETF.

Kappa is ideal for investors who:

  • Aim to maximize positive returns during down markets

  • Want to minimize portfolio beta and R2 and maximize alpha 

  • Seek returns that are uncorrelated with the market

Characteristics

  • Strategy Type: Absolute Return

  • Goal: Minimize portfolio beta and R2 and maximize alpha

  • Portfolio Volatility: 18-20%, on average

  • Inverse ETF Position Size: ~33%, on average

  • Market Cap: Large-Cap

  • Investment Style: Blended

  • Equities Type: ETF

  • Leverage/Margin: None

  • Fees: 1% of AUM per year

Solutions Used

  • Automated Downside Protection

  • Automated Risk Management

  • Automated Portfolio Diversification

  • Automated Asset Allocation

Holdings

  • VOX (Vanguard Communications Sector ETF)

  • VCR (Vanguard Consumer Discretionary Sector ETF)

  • VDC (Vanguard Consumer Staples Sector ETF)

  • VDE (Vanguard Energy Sector ETF)

  • VFH (Vanguard Financials Sector ETF)

  • VHT (Vanguard Healthcare Sector ETF)

  • VIS (Vanguard Industrials Sector ETF)

  • VAW (Vanguard Materials Sector ETF)

  • VNQ (Vanguard Real Estate Sector ETF)

  • VGT (Vanguard Technology Sector ETF)

  • VPU (Vanguard Utilities Sector ETF)

  • SH (ProShares Short S&P 500 ETF)

Simulated Results

Provided for your reference

Kappa Simulated - 2022-10-16.png

Why do we show simulated results?

Real results are not yet available for Kappa. We provide simulated results to illustrate how a strategy could have performed historically. Simulated data is useful for getting a sense of a strategy's characteristics through a variety of market conditions. We have real results available for the following strategies: Sigma, Zeta, Pi, Phi, and Psi.

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