Lucena Strategies

Our strategies are available as model portfolios, meaning that we fine tune the trades and proportions allocated to each position for best performance. You will get access to these portfolios and our trades even before we simulate execution in our model portfolios.

Model portfolios that match your investment style

Our portfolio of strategies span a wide variety of risk levels, investment time horizons, and security regimes. Whether you are looking for a tactical asset allocation, long/short market neutral, sector rotation, or long only fundamental approach, we have a strategy for you!

Tiebreaker

Long/Short Market Neutral

Tiebreaker is an active investment that uses long and short positions to deliver market neutral returns. Tiebreaker is designed to provide positive returns whether the market goes up or down. Tiebreaker employs Lucena’s Price Forecaster on a qualified list of stocks generated from Lucena’s Event Analyzer in order to rank a handful of stocks most likely to go up over the next week to a month. The strategy then incorporates long/short hedge positions using Lucena’s proprietary hedging algorithm. Tiebreaker may rebalance positions each week, utilizing technology in Lucena’s Portfolio Optimizer.

The above backtest represents quantitative research and should not be considered as investment advice, or solicitation to buy or sell securities.

Lucena Research is a technology company and everything presented here is derived from quantitative research. The information above is intended for certified investment professionals who understand the inherit risk of investing. It should not be assumed that the above backtest results will be repeatable in the future. Detailed list of securities and the factors used for their selection criteria is available upon request.

BlackDog

A Tactical Asset Allocation Strategy

BlackDog is a tactical asset allocation strategy that utilizes highly liquid ETFs of large cap and fixed income instruments. The strategy is designed to outperform traditional 60/40 stock/bond portfolios using dynamic (rather than static) allocations, as well as a strategic selection of ETF holdings. The portfolio is adjusted approximately once per month based on Lucena’s Optimizer in conjunction with Lucena’s macroeconomic ensemble voting model. Due to BlackDog’s low volatility (half the market in backtesting) we leveraged it 2X. By exposing twice its original cash assets, we take full advantage of its potential returns while maintaining market-relative low volatility and risk

The above backtest represents quantitative research and should not be considered as investment advice, or solicitation to buy or sell securities.

Lucena Research is a technology company and everything presented here is derived from quantitative research. The information above is intended for certified investment professionals who understand the inherit risk of investing. It should not be assumed that the above backtest results will be repeatable in the future. Detailed list of securities and the factors used for their selection criteria is available upon request.

BullPen

A Long/Short Active US Equity Strategy

Bullpen is an active multi-factor model driven by machine learning. It is designed to outperform the market from both absolute and risk-adjusted perspectives. Allocations can move to cash during heavy market uncertainty.

Hedged with shorting SPY

The above backtest represents quantitative research and should not be considered as investment advice, or solicitation to buy or sell securities.

Lucena Research is a technology company and everything presented here is derived from quantitative research. The information above is intended for certified investment professionals who understand the inherit risk of investing. It should not be assumed that the above backtest results will be repeatable in the future. Detailed list of securities and the factors used for their selection criteria is available upon request.

WaveRider

A Major Sector ETF Rotation Strategy

WaveRider is a sector rotation strategy that utilizes mean variance optimization to identify the best performing sectors and optimize them for the following month WaveRider assumes that there is a clear seasonality in the flow of funds between the major US industry sectors.

The above backtest represents quantitative research and should not be considered as investment advice, or solicitation to buy or sell securities.

Lucena Research is a technology company and everything presented here is derived from quantitative research. The information above is intended for certified investment professionals who understand the inherit risk of investing. It should not be assumed that the above backtest results will be repeatable in the future. Detailed list of securities and the factors used for their selection criteria is available upon request.