Fenyx Capital’s investment strategy rests on a single, well-documented premise: that a portfolio diversified across genuinely uncorrelated asset classes, combined with disciplined leverage, produces a better risk-return profile over a full market cycle than any single asset class can offer.
The strategy is systematic. It does not rely on macroeconomic forecasting, security selection, or thematic positioning. Its performance derives from the structural properties of the portfolio (the low long-run correlation between equities, sovereign bonds, and gold) and from the consistent application of a leverage framework designed to keep the strategy investable across a wide range of market conditions.
The portfolio
The strategy holds five exchange-traded futures instruments representing five distinct asset classes:
- S&P 500 futures: U.S. equities
- Euro Stoxx 50 futures: European equities
- 10-year U.S. Treasury Note futures: U.S. sovereign bonds
- Euro Bund futures: European sovereign bonds
- Gold futures: precious metals
The allocation across these instruments is stable over time. It is not adjusted in response to market views, macro forecasts, or thematic convictions. Fluctuations in the effective allocation arise from differences in market volatility across asset classes, not from active rebalancing decisions.
This stability is deliberate. The structural diversification benefits of the basket are durable across market cycles. Frequent reallocation introduces transaction costs and behavioural risks that erode long-term returns without reliably improving the risk-return profile.
The choice of futures is equally deliberate. Exchange-traded futures are among the most liquid instruments available. They carry no counterparty risk to individual issuers, offer efficient access to each asset class at low cost, and are well-suited to leverage management at the portfolio level.
Long-term horizon
The strategy is designed to be held across full market cycles. Short-term drawdowns in individual asset classes are an expected feature of a diversified portfolio, not a signal for reallocation. The equity components will underperform in recessions. The bond components will underperform in inflationary regimes. Gold will underperform in periods of strong risk appetite. The portfolio is not designed to avoid these periods. It is designed to survive them, and to compound effectively over the full cycle.
Leverage and risk management
The strategy employs leverage, typically in the range of 1.5x to 2.5x of net asset value. Leverage is not applied to amplify individual positions. It is applied to the diversified basket as a whole, with the objective of achieving a level of expected return commensurate with index investing.
Leverage is managed dynamically through a Value at Risk framework calibrated to a monthly loss limit of 6.5% at 95% confidence. As volatility across the basket increases, leverage is reduced mechanically to maintain consistency with that limit. As volatility normalises, leverage is restored. This adjustment is rules-based. It does not involve subjective judgments about the macroeconomic environment.
The VaR framework is a risk management tool, not a return-enhancement tool. Its purpose is to ensure that the strategy remains investable across a range of market conditions, including those not anticipated at the time of construction.
What makes this approach distinctive
Each of the following characteristics is, individually, common in institutional portfolio management. Their combination is not.
Genuine multi-asset diversification. The basket spans equities, sovereign bonds, and gold across two major economic regions. The structural correlation properties of these asset classes are well-documented over long periods. The strategy exploits those properties consistently and without tactical interference.
Systematic leverage discipline. Leverage of 1.5x to 2.5x is applied to the diversified basket and managed through a rules-based VaR framework. Leverage is the source of enhanced return. The VaR framework is what ensures that leverage remains within defined bounds as market conditions change.
Futures implementation. Using exchange-traded futures rather than physical securities or OTC instruments eliminates issuer-level counterparty risk, reduces transaction costs, and allows leverage to be managed cleanly at the portfolio level. These are not incidental advantages.
A single, transparent strategy. Fenyx Capital manages one strategy. There is no range of products, no shift in mandate over time, and no ambiguity about what is being managed or why. Clients know precisely what they own and how it will behave across different market regimes.