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Quant Driven Model Portfolios

Home Services Quant Driven Model Portfolios

Quant Driven Model Portfolios

by Henry Fung - Partner Managing Director
We specialise in building and trading momentum based systems. Our flagship system, the MFAM VPAC algorithm can be accessed through our Growth Model Portfolios.

MFAM VPAC Algorithm

The MFAM Volume, Price Action and Context algorithm is specially built to detect lasting market momentum in large cap stocks across most major markets. Since 80% of market volume in western markets is institutional, volume can be used to forecast market direction and lasting momentum. Since the algorithm quantifies market behaviour, the edge is persistent and cannot be arbitraged out. Our VPAC algorithm takes advantage of this edge and uses a number of other proprietary parameters to confirm direction using context and price action to produce a consistent return. Our growth model portfolios are currently running the VPAC algorithm.

VPAC is SMSF Ready

We built the Model Portfolios with Self Managed Super Funds (SMSFs) in mind.
Low turnover, no leverage, stock only means that there is no need to change your SMSF constitution to fit VPAC into your portfolio.

No or High Leverage, It’s Up To You

Applying low, mid to high leverage is simple. We simply adjust the position sizes and use a number of derivative methods to apply the leverage you want to your portfolio. Our model portfolio is truly flexible enough to fit into your own risk profile.

Each account is managed separately, you retain full access to your account allowing you full control of your portfolio at all times. Rebalancing of the account is as simple as replying yes to our trade alert or by giving us a call. There are no entry or exit fees.

Unlike most “stock tip” services which only provide an entry reason, we also manage the position from start to finish providing updates and exit signals when they occur. Our methodology does not allow for Hail Mary trades – if it’s wrong, we stop out and protect your capital.

VPAC spends about 30% of the time fully invested and about 70% of the time at 75% or less invested. Since VPAC tends to pick stocks which have a high market beta, VPAC can still produce market beating returns via less than 100% market investment. During periods of high risk, VPAC can and will move to 100% cash to protect capital.

VPAC trades only in the top 100-200 stocks in an index, for highest liquidity. Orders are also placed market on open (MOO) in the US, or in the match (Australia). This ensures the system trades during the highest volume period of the day and reduces tracking error to almost zero in the as all client individual orders execute at the same time on market open.

Persistent trends and not just market noise takes weeks to months to run out of steam. VPAC trades on a longer timeframe of 60 to 90 days or more, depending on the strength of the momentum. The low turnover also means less commission costs and lower maintenance.