Misa Enterprises
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Cryptocurrencies are characterized by exceptional levels of volatility, with an average annualized Bitcoin volatility of 80%. This creates an opportunity for active investment managers who use systematic long/short strategies to potentially generate superior performance by capturing both bull and bear markets. In addition, investing in a basket of parially correlated cryptocurrencies is expected to achieve better performance compared to a exposure only to Bitcoin thanks to portfolio diversification.
Investment Strategy
We employ short/medium term fully systematic quantitative investment process, deploying capital on publicly traded cryptocurrencies. The strategy seeks to generate alpha by capturing the volatile behaviour of cryptocurrencies by potentially going long in bull markets and short in bear ones. The investment portfolio targets a constant volatility level independent of market conditions.
Investment Risk
The strategy targets a constant portfolio volatility level by adjusting the level of leverage periodically. This component has the objective of keeping a constant level of risk in the investment portfolio independent of calm or highly volatile market conditions.
Investment Horizon and Diversification
The strategy aims at capturing alpha sources embedded in short to medium term horizon due to the high volatility present in cryptocurrencies.
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​The program deploys capital in a basked of partially correlated cryptocurrencies, achieving partial portfolio diversification compared to a pure investment in Bitcoin
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