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Sigmalion

Sigmalion is an algorithmic strategy for portfolio investment management

Designed and tested on our own investment portfolio, Sigmalion easily responds to the question ‘where to invest money’.

Investments in portfolio strategies managed by the algorithmic code is a new and unique product for the local market. We are the first investment company to offer algorithmic strategies in Kazakhstan.

Algorithms allow both earning under the conditions of the expanding market and effectively facing its downfalls. This result is now possible due to three factors: highly liquid portfolio components, utilization of automated trading and comprehensive approaches to portfolio management.
Advantages of algorithmic strategy
  • Simplicity All you need to do is choose an acceptable level of risk
  • Result The strategy approved itself in crisis conditions
  • Speed Decisions are made and implemented quickly and accurately by the algorithm
  • Crisis resistance Safeguarding your investments against market downturns
  • Risk control There is a built-in mechanism to protect against specific drawdowns beyond prespecified level
  • Process automation Eliminating human error in the work of portfolio managers 
Sigmalion

CRISIS RESISTANT ALGORITHMIC STRATEGY OF SBI

  • SBI - a portfolio trading
    by using the self-developed algorithm
  • VBINX - the fund investing 60% in stocks and
    40% in bonds of the largest US companies
  • SPY - the largest global fund
    that tracks the S&P500 index

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RISK CONTROL AND STRATEGY SELECTION

Kazakhstan investors have already experienced several global financial recessions. In addition to high returns, the possibility of risk management has become an important criterion.

SBI algorithms are intensively stress-tested by running them through historical crises (in-sample tests). We also perform out-of-sample tests on real SBI accounts.

Sigmalion strategy allows risk budgeting which enables to customize the algorithm to the individual target risk of each investor.

Risk-return relationship
PRESET PARAMETERS
INDICATIVE FIGURES
Product configuration
Target risk
Max. leverage
Return*
Medium leverage**
Max. drawdown**
Quasi deposit
3%
 0,6 3-5% 0,37 -3,1%
4%
 0,8 4-6% 0,49 -3,9%
Ultra safe
5%
 1,0 5-8% 0,61 -4,9%
Safe
6%
 1,2 6-9% 0,74 -5,9%
Moderate
8%
 1,6 8-12% 0,98 -7,9%
Aggressive
10%
 1,8 10-15% 1,18 -9,1%
Ultra aggressive
12%
 2,3 12-18% 1,44 -11,1%

*Before fee (AuM and Perf.), in percent per annum, subject to long-term investment horizon (3 years or longer).
**Based on back-tests for 01.2005 - 01.2019.

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On November 15, 2017, SBI launched testing of Sigmalion algorithmic strategy on its own investment portfolio.

In addition to high return, the algorithm also demonstrated the ability to go through recessions with minimum losses and the possibility of a quick recovery.

Sigmalion is not an experimental technology, but a capital growth tool tested on our own assets.

2017-2022

 

SPY is the largest global fund that tracks the S&P500 index

 

VBINX is the fund investing 60% in stocks and 
40% in bonds of the largest US companies

 

SBI – a portfolio trading by using the self-developed algorithm.

Total yield to date
+73.53%
Average annual yield
+9.6%

PROPER PORTFOLIO OF SBI has a moderate risk - 8%

Sharpe Ratio - 1,45 (overall risk-return ratio)

Maximum Drawdown - 5,95% (maximum observed drawdown of funds in the currency of investment from a peak)

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