Market Neutral: Decathlon Javelin

This strategy aims for low volatility and consistent returns that are uncorrelated with changes in the stock market, interest rates, other asset price changes, or other investment strategies. Using machine learning, it identifies patterns in investor behavior to predict ETF performance and manage risk.

Resources

Overview

How the strategy fits into client portfolios

This strategy can be used as a portfolio diversifier or a core holding to seek to enhance risk-adjusted returns, reduce overall portfolio volatility, reduce exposure to extreme market movement, and help maintain investors’ wealth.

Market neutral strategy seeking attractive returns with low volatility

The strategy can help limit exposure to market swings by taking both long and short positions based on ETF rankings—targeting an attractive, consistent total return with a low 3-5% annualized standard deviation and typically maintaining a net exposure of 0% (with a range of -10% to 10%). Decathlon Javelin Market Neutral is built on 13 years of progressively more sophisticated machine learning innovation and is powered by the same technology as the Decathlon SMA strategies that manage $1.7 billion in AUM and AUA (as of 12/31/24).

A disciplined, data-driven approach

The system analyzes the historical returns and volatility of ~230 ETFs to identify and act on repeating market patterns. It operates by:

Selecting from diverse choices.

The Decathlon Javelin strategy’s universe consists of ~80 ETFs and was designed to provide the system with diverse options, ranging from broad equity asset classes to focused or niche equity ETFs.
Identifying repeating patterns.

Decathlon’s algorithms are designed to identify daily performance and behavior patterns for each ETF in the investment pool.
Ranking ETFs based on patterns.

 The system then uses the predicted patterns to rank each ETF in the investment universe daily, from the most desirable to the least, based on the risk/reward expected.
Manager selection process.

Our portfolio managers apply the rankings to select which of these top-ranked and bottom-ranked ETFs should be included in the portfolio as long and short positions.