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Our Process

The Apollo Proprietary Index

Aims:

  • To give investors an exposure to a blend of diversified absolute return strategies that have a proven track record of generating real returns combined with low volatility.
  • To then optimise those returns within a structured investment vehicle to provide equity like returns but not relying on equity or bond markets to generate those returns and to provide a level of downside protection.
  • Those returns will be generated by providing a defined return of 4 x the return of the Apollo Proprietary Absolute return index.

 

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Index Construction:

The index will be diversified across four independent absolute return strategies which should exhibit low volatility and low to inverse correlation with other asset classes, these will be:

 

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  1. Market neutral equity: seeks to deliver positive returns irrespective of equity market direction by investing in a portfolio where there is an equal amount of short and long positions.
  2. Long/short equity: similar to market neutral strategies but with the ability to exploit views on the direction of markets within strict risk parameters
  3. Absolute return bond: with the ability to invest long and short across the fixed interest spectrum (sovereign, corporate & high yield bonds) these funds have the flexibility to make positive returns even when yields begin to rise
  4. Macro – managers of these funds base their investment decisions on fundamental global economic term trends and express those views through a range of instruments including fixed income, commodities, currency and equity markets

 

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While there are no target weights for each strategy, it is likely that the majority of the index will be invested in the first two, where the sensitivity to market movements and drawdowns should be limited

  • Each individual index component is thoroughly researched both from a quantitative and qualitative perspective.
  • The Index construction is developed to blend a diverse number of absolute return strategies to avoid concentration risk and to provide a return which is not dependent on market direction.
  • Stringent Risk Monitoring of each index component to make sure that are an appropriate member and contribute to performance in an expected manner

 

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Typical characteristics of components of the Apollo Proprietary Index

  • Each component is chosen to deliver positive returns irrespective of market direction, whether that be from equities, bonds, commodities or currencies with low volatility and low correlation with major asset classes.
  • Most strategies aim to generate positive returns in all market conditions by employing a pair-trade, relative return or market neutral approach rather than a directional call on markets.

Each trade comprises of a lead idea (usually a stock or bond) and a secondary hedging unit which is selected to minimise unwanted risks (typically broad market and/or sector risks and/or individual stock or bond hedge) in order to create a market-neutral position which isolates the specific return factors the managers are targeting.

  • Short exposures are synthetic, while long exposures can be physical or synthetic. Stop-loss triggers are usually applied to each trade in order to provide down-side protection.
  • The allocations can be to Developed or Emerging Debt/Currency/Equities as well as to Global Commodities.
  • The flexibility of the assets, particularly with respect to derivatives enables it to potentially profit from both rising and falling markets. These strategies are also highly liquid and flexible to enable reaction to changing market condition.

 

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Diversification of Counter Party Risk

The Apollo Structured Objectives Fund is a global multi asset fund seeking to gain enhanced exposure to a managed basket of absolute return strategies via structured investments issued by an international Bank Unlike traditional Structured Products, the Apollo Structured Opportunities Fund is 100% collateralised against the underlying investment strategies within the Apollo Absolute Returns Proprietary Index. These assets match the value of the Fund weekly.

Diversification of Counter Party Risk