ParaMOUNT
Paraclete Machine Optimized Universal Total Return
Strategy Overview
A systematic quantitative strategy combining machine-learning regime classification with multi-factor identification and convex portfolio optimisation across 78 globally-listed liquid futures contracts spanning fixed income (16), equity index (28), currencies (9), energy (6), metals (7), agricultural (10), and other (2). Position sizing is volatility-targeted at the instrument level, constrained at the portfolio level, and dynamically adjusted by the regime model based on prevailing market conditions. All positions and trade timing follow validated quantitative models; there are no discretionary overrides.
Risk profile. Volatility target low (~9%) annualised.
Execution. Daily signal computation with weekly rebalancing through 5-minute TWAP orders on Interactive Brokers Institutional. Trading costs in the figures below are net of empirically-measured execution costs — calibrated from over 31,000 production fills in 2025 (commissions, exchange fees, and realised bid-ask slippage). Performance is gross of management and performance fees.
Gross Returns — 2000–2026
Return basis: gross of management and performance fees; net of empirically measured execution costs, including commissions, exchange fees, and realised bid-ask slippage.
Asset Allocation
| Asset Class | Instruments | Allocation (%) |
|---|---|---|
| Equity Index | 28 | 33.53% |
| Fixed Income | 16 | 28.90% |
| Agricultural | 10 | 13.29% |
| Currencies | 9 | 8.77% |
| Metals | 7 | 8.08% |
| Energy | 6 | 6.62% |
| Other | 2 | 0.81% |
| Total | — | 100.0% |
Allocation as a percentage of the strategy's deployed futures book, averaged daily over 2000–2026.
Instrument Universe
The strategy trades the following 78 liquid futures contracts across 7 asset classes. All instruments are listed on regulated global exchanges (CME, EUREX, ICE, SGX, HKEX, OSE, ASX, KRX, B3, BMV) and accessible through Interactive Brokers Institutional with multi-currency settlement.
| Fixed Income (16) | Australia 10-year, Australia 3-year, French Govt Bond, Germany BOBL, Germany BUND, Germany BUXL, Germany Schatz, Italian 10-year, Japan 10-year, Korea 3-year, UK 10-yr Gilt, US 10-year Note, US 2-year Note, US 5-year Note, US Treasury Bond, US Ultra T-Bond |
| Equity Index (28) | Canada S&P 60, DJIA MICR MIN CBOT, DJIA MINI, Euro STOXX 50, FTSE China A50, France CAC 40, Germany DAX, Hong Kong H-Shares, Hong Kong Hang Seng, Ibovespa, India CNX Nifty, India CNX Nifty SG, Italy MIB, Japan Nikkei 225, Korea Kospi 200, MSCI EAFE Index, MSCI Emerging Markets, MSCI Singapore, MSCI Taiwan, MSCI World, NASD100 MICRO EMIN, NASDAQ 100 E-MINI, Netherland AEX, Spain IBEX 35, Topix Japan, UK FTSE 100, US Russell 2000, US S&P 500 |
| Currencies (9) | Australian Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen, Mexican Peso, New Zealand Dollar, RMB/USD, Swiss Franc |
| Energy (6) | Brent Oil, GasOil, Heating Oil, Natural Gas, WTI Oil, XBW1 Gas Oil |
| Metals (7) | Aluminum, Copper, Gold, Nickel, SGX Iron Ore 62%, Silver, Zinc |
| Agricultural (10) | Cocoa, Coffee, Corn, Cotton, KC HRW WHEAT, Soybean, Soybean Meal, Soybean Oil, Sugar, Wheat |
| Other (2) | BTC, Vix |
Cumulative Performance — Gross Returns
Drawdown
Annual Returns
Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | -1.66% | 1.20% | -0.15% | -3.60% | 0.18% | 4.27% | 0.10% | 5.47% | -5.22% | -1.05% | 4.52% | 4.87% | 8.59% |
| 2001 | 0.73% | -0.13% | -0.23% | -1.36% | 0.00% | -1.48% | 1.24% | -1.25% | -0.05% | 0.12% | -0.15% | 0.00% | -2.56% |
| 2002 | 0.00% | 0.00% | 1.52% | 0.09% | 8.58% | 6.95% | 3.05% | 5.90% | 8.67% | -3.16% | -4.11% | 10.00% | 42.95% |
| 2003 | 12.77% | 8.69% | -3.18% | -0.13% | 1.59% | -0.90% | -0.04% | 1.35% | -0.29% | 1.72% | -0.59% | 17.89% | 43.70% |
| 2004 | 5.01% | 3.23% | 0.65% | -0.47% | -0.32% | 0.00% | 0.00% | -0.41% | 0.75% | 3.24% | 20.27% | 6.70% | 43.90% |
| 2005 | -0.35% | -0.47% | 1.14% | -1.00% | 0.08% | 0.62% | 2.31% | 1.49% | 13.16% | -1.95% | 6.15% | 14.59% | 40.12% |
| 2006 | 8.93% | 0.42% | 0.32% | 5.39% | 4.13% | -0.04% | 0.00% | 0.00% | 0.62% | 6.85% | 11.03% | 3.55% | 48.80% |
| 2007 | 0.75% | 4.20% | -0.03% | 0.17% | 0.01% | 0.15% | 8.16% | 0.14% | 9.21% | 7.53% | -0.18% | 2.89% | 37.57% |
| 2008 | 5.20% | 15.57% | -1.23% | -0.16% | 0.23% | 0.01% | -0.03% | 0.00% | 0.00% | 0.00% | 0.11% | 0.26% | 20.61% |
| 2009 | -0.31% | -0.41% | 0.00% | 0.00% | 0.00% | 0.00% | 1.11% | 0.63% | 1.97% | -2.13% | 0.92% | -2.49% | -0.79% |
| 2010 | -0.17% | -0.71% | 1.35% | 1.62% | 0.68% | 4.78% | -1.72% | 6.06% | 11.38% | 8.26% | 2.79% | 3.27% | 43.70% |
| 2011 | 0.22% | 3.73% | -1.85% | 3.88% | -2.86% | -0.30% | 9.69% | 9.08% | 2.18% | -0.20% | 0.01% | 0.00% | 25.27% |
| 2012 | 0.00% | -0.08% | 0.10% | 0.12% | -0.01% | -0.11% | 3.58% | 2.05% | -3.71% | -0.19% | 0.31% | 6.11% | 8.15% |
| 2013 | 4.73% | 2.14% | 7.83% | 9.35% | 2.14% | -0.04% | 0.00% | 0.00% | 0.01% | 0.83% | 3.82% | -4.08% | 29.32% |
| 2014 | -0.37% | 8.97% | 5.12% | 7.04% | 3.41% | 10.95% | 13.57% | 10.72% | -1.88% | -0.10% | 2.72% | 8.29% | 92.18% |
| 2015 | 14.51% | 2.66% | 7.21% | 5.75% | -0.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.06% | -0.48% | 32.60% |
| 2016 | 0.00% | 0.00% | 0.00% | -0.01% | 0.00% | 0.03% | -0.19% | -0.08% | -0.35% | 0.00% | -2.11% | 0.21% | -2.49% |
| 2017 | 0.04% | 0.31% | 2.17% | 2.37% | 5.87% | 3.12% | 3.76% | 2.53% | -1.82% | 9.13% | 5.92% | 2.22% | 41.42% |
| 2018 | 14.53% | 0.06% | -0.53% | -0.00% | -0.03% | -0.05% | -0.02% | 0.20% | -0.49% | -0.19% | 0.00% | 0.01% | 13.34% |
| 2019 | 0.01% | -0.18% | 0.51% | 0.61% | 0.26% | 8.01% | 4.30% | 4.75% | -2.66% | -0.13% | -0.20% | 0.50% | 16.46% |
| 2020 | -0.84% | -0.40% | -0.04% | 0.05% | 0.28% | 0.89% | 10.05% | 3.62% | -1.85% | 1.19% | 7.89% | 10.46% | 34.88% |
| 2021 | 3.66% | 0.08% | 0.43% | 3.43% | 5.31% | -0.57% | -0.86% | 3.14% | -0.01% | -0.25% | 0.24% | 0.00% | 15.35% |
| 2022 | 0.00% | 0.89% | 8.09% | 0.55% | -0.19% | -0.49% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 8.92% |
| 2023 | 1.48% | 0.83% | 0.27% | 0.00% | 0.40% | 9.26% | 2.30% | -3.77% | -0.67% | -0.05% | -0.06% | -0.14% | 9.77% |
| 2024 | -0.11% | 1.78% | 9.96% | -2.24% | -0.72% | 0.02% | -0.11% | 0.00% | 0.22% | -0.58% | 0.35% | -0.07% | 8.32% |
| 2025 | 0.90% | -0.04% | -0.00% | -0.14% | 0.00% | 0.00% | 0.65% | 1.03% | 10.04% | 13.50% | -1.97% | 0.01% | 25.41% |
| 2026 | 6.95% | 4.73% | -2.50% | 4.68% | 0.17% | — | — | — | — | — | — | — | 14.52% |