Meliora Capital LLP Delivering Absolute Return in a niche most quants overlook

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Pablo Albrecht: Seasoned entrepreneur with a strong experience across various industries with focus on finance and technology. Pioneer in machine learning applications in finance for asset price forecasting. 2010-2015: Managing the Alternative Investments for a Swiss single-family office. 2011: Founded Creative Pandas, a software engineering company with a focus on insurance premium pricing solutions. 2012: Founded with 2 partners ALB Capital S.A., a proprietary trading firm active in High- to M

The case for Managed Futures. – Absolute Return: Longterm Performance Chart since 1980. – Lack of Correlation / Upside or Asset Protection during the last 15 market corrections (table). – Daily Liquidity.

What is behind the Rise of the Quants?. – More inflows as investors gain a better understanding of quant strategies. – Quant strategies versus discretionary asset management.

Absolute return in commodities trading: Strategy, assets and instruments traded. General questions and misconceptions on Commodities Trading as Alpha Strategy. Why its naturally easier to do Absolute Return in Commodities.

Getting macro exposure through Commodities. True liquidity of Commodities. Distribution of daily returns.

Competitive landscape: Why most quants dont learn Intraday Commodity Trading.

Meliora Capital LLP: Delivering Absolute Return in a niche most quants overlook

Pablo Albrecht is an experienced quant in machine learning applications in finance for asset price forecasting and a seasoned entrepreneur with a strong experience across various industries focusing on finance and technology. In 2013 he founded Meliora Capital LLP to run the Commodity Absolute Return program, an intraday systematic investment program that trades only commodity futures. The firm uses machine learning technologies to deliver strong risk-adjusted absolute performance (Sharpe ratio of about 1.2 gross of fees and 1 net of fees) that is not correlated to other investment strategies often part of an investors exposures.

Based on their experience in prop trading and high frequency domain, Pablo and his team identified intraday commodities futures trading as a highly attractive sweet spot between high risk-adjusted return and low operational risk which for structural reasons has been neglected by most quants. Pablo explains that the mast majority of quantitative traders tend to focus either on execution / high frequency (often in banks, prop desks) or on longer-term trading in large asset management firms. For both camps, the intraday commodities space isnt attractive, even though most commodities are liquid enough for short term and intraday trading, leaving this field to boutique specialists like Meliora Capital LLP. The strategy is also designed to profit on certain occasions from dislocations in the volatility of a basket of commodities by taking synthetic long volatility positions.

In this BACKSTAGE video, Pablo Albrecht also speaks about:

Why its naturally easier to do Absolute Return in commodities.

How to get macro exposure through Commodities

Quant strategies versus discretionary asset management

Why most quants dont learn intraday commodity trading

From 2010 and 2015, Pablo Albrecht was running the alternative investments at a Swiss single-family office that focuses on liquid alternative investments and sustainable/ESG investments. In 2012 he co-founded A.L.B. Capital SA with two other partners. The company was a proprietary trading firm that was active in High- to Medium- frequency systematic trading with a main focus on G10 currencies volatility arbitrage. Pablo was responsible for all the trading-related aspects of the business, such as model generations, live execution, post-trade and pre-trade systems, risk management, order book modelling, etc.

Pablo Albrecht is an experienced quant in machine learning applications in finance for asset price forecasting and a seasoned entrepreneur with a strong experience across various industries focusing on finance and technology. In 2013 he founded Meliora Capital LLP to run the Commodity Absolute Return program, an intraday systematic investment program that trades only commodity futures. The firm uses machine learning technologies to deliver strong risk-adjusted absolute performance (Sharpe ratio of about 1.2 gross of fees and 1 net of fees) that

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