Azzilon Systems (Pte) Ltd.

1 Kay Siang Road, #12-02, 248922 Singapore

©2019 by Azzilon.

Timing Models

Rule-Based methodologies with pre-defined parameters. Azzilon constructs these to be in line with the goals and constraints of its clients.

Relative Strength

The relative strength momentum model invests in the top-performing assets within the model, based upon each asset's return. The momentum can be based upon a single timing period or multiple weighted timing periods.  

Timing Period

The performance timing period (calculation of the asset’s returns from that period) may be selected in monthly intervals ranging from 1 to 36 months. The timing period is recalculated at select trading days, pre-determined by the trading frequency. 

Number of Assets

Exposure in up to 12 assets, within a universe of up to 25 instruments. The most profitable assets during each timing period are selected based upon the above calculation. 

Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and then incorporates absolute momentum as a filter to invest in cash (or out of market asset) if the excess return of the selected asset over cash is negative. 

Timing Period

The performance timing period (calculation of the asset’s returns from that period) may be selected in monthly intervals ranging from 1 to 36 months. The timing period is recalculated at select trading days, pre-determined by the trading frequency. 

Number of Assets

Exposure in up to 12 assets, within a universe of up to 25 instruments. The most profitable assets during each timing period are selected based upon the above calculation. 

Out of Market Asset

The Out of Market Asset can then be selected as opposed to investing in cash. A low risk asset such as a Fixed Income ETF may be selected. 

Adaptive Allocation

The adaptive asset allocation model combines the relative strength momentum model with different asset weightings. The adaptive asset allocation uses either risk parity allocation, inverse volatility, maximized Sharpe ratios, or minimized variance allocation for the model assets, in order to minimize the expected volatility. 

Timing Period

The performance timing period (calculation of the asset’s returns from that period) may be selected in monthly intervals ranging from 1 to 36 months. The timing period is recalculated at select trading days, pre-determined by the trading frequency. 

Number of Assets

Exposure in up to 12 assets, within a universe of up to 25 instruments. The assets are determined by the allocation methodology that is pre-selected during each timing period. 

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based upon the realized historic volatility and the given volatility target. The cash (or out of market asset) allocation in the portfolio is increased or decreased as required, to meet the targeted volatility level, in order to improve the risk-adjusted performance. 

Timing Period

The performance timing period (calculation of the asset’s returns from that period) may be selected in monthly intervals ranging from 1 to 36 months. The timing period is recalculated at select trading days, pre-determined by the trading frequency. 

Number of Assets

Up to 25 assets with equal or specific pre-defined weightings.  

Out of Market Asset

The Out of Market Asset can then be selected as opposed to investing in cash. A low risk asset such as a Fixed Income ETF may be selected. 

Target Volatility

Target annualized volatility must be pre-defined. The volatility is calculated as the standard deviation of the timing period, annualized.

Downside Volatility

Exclusive use of downside volatility is optional.