Sigmalion Algorithmic Strategy

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%
Quasi deposit	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

+102.84%

Average annual yield

+10.71%

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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