Luxembourg Specialised Investment Fund
Systematic by design Supervised by experience
Aurelius Capital is a Luxembourg-based Specialised Investment Fund. We combine a proprietary autonomous investment algorithm with the judgement of experienced market practitioners, pursuing attractive risk-adjusted returns for investors across a range of risk appetites.
Built in live markets
We began in 2020 with a small set of strategies we traded manually and a question: could we make the process systematic without losing the flexibility to adapt?
Answering it took years. Since 2020 we have been developing our proprietary autonomous investment algorithm, and we have traded our own capital with it ever since. That distinction matters to us. Before we invited anyone else to participate, we spent years exposed to our own decisions - in live markets, with real consequences, through conditions that ranged from harmless to genuinely challenging. Over the years we have found numerous underwater stones and a realisation that our initial challenges have been only the tip of the iceberg. Overcoming this has taken years but the final product is what we, as a team, are very proud of.
The result is a strategy designed to be less dependent on market conditions or direction than a conventional long-only approach, and one that pursues opportunities others may overlook. As most quant-funds, we base our strategies on statistical analysis and the law of large numbers. Our event-driven long/short strategy focuses predominantly on listed securities across a range of sectors, with significant exposure to North American equity markets. Our objective is to generate attractive risk-adjusted returns for investors across a spectrum of risk appetites. Because our approach is systematic and modular, we are able to tailor the strategy to an investor’s risk profile or preferred universe of securities.
Disciplined process, not a black box
Our investment algorithm is autonomous in the sense that it identifies, evaluates, and sizes opportunities on a systematic basis in a matter of seconds, without the emotional drift that affects discretionary decision-making under pressure. Our team of analysts have assembled and tested logical and fundamentally viable entry and exit criteria, that have been tested and inserted into the algorithm, and while it performs the above functions autonomously, the logic and initial decision-making remains supervised.
We treat the algorithm as an instrument of discipline rather than a replacement for judgement - it removes hesitation, inconsistency, and the temptation to abandon a sound process at exactly the wrong moment. Our team of developers is always on the look-out and monitors its behaviour continuously. We continue to develop it as markets change because a system that does not evolve with them, is a system that is slowly becoming obsolete.
Become a part of our journey
An investor relationship, for us, begins well before any capital is committed. Since our approach is systematic and modular, we are able to adjust the strategy to reflect an investor’s risk profile, preferred universe of securities, or specific constraints. A conservative allocation and an opportunistic one can both be served by the same underlying process, calibrated differently. We begin every relationship with a conversation about what you are trying to achieve, what you are prepared to risk, and what would constitute a disappointing outcome. Those answers shape what we propose. We would rather decline a mandate than accept one that we believe is a poor fit for the investor.
Prior to any decision to invest, we will provide the information you will need - our approach, our risk framework, our terms, and the circumstances in which our strategy can underperform. That last part is not usually volunteered but we believe that each investor must understand their risks prior to any investment.
Every investment strategy has the fundamental characteristic of risks. We would rather you understand ours in advance than discover them later. We prefer to be as transparent as possible regarding what you invest in and once you do, we continue this transparency in the form of:
- Monthly investor reports
- Quarterly commentary on strategy performance
- Annual audited accounts
Capital entrusted to us represents your savings, your institution, your plans, your hard work. We vowed to manage it accordingly.