Swarm Intelligence Indexes

Swarm Intelligence

fish have schools, birds have flocks, bees have swarms.
combines the power of many minds into one.
a collection of managers can be smarter the one.

Swarm Intelligence

represent the concept of improving decision making from analysis of large groups of actors.

TMQR Swarm Intel Multi Strategy Trend Following Index:

TMQR Swarm Intel Bullish Equity Index :

TMQR Swarm Intel Equity Market Neutral Index:

TMQR Swarm Intel Equity Short biased Index:

Swarm Intelligence Multi-Strategy Trend Following Index:

The index is a long/short, rules-based index designed to provide exposure to hedge fund-style trading strategies across commodity, currencies, interest rates markets and equity markets.

Swarm Intelligence Bullish Equity Index :

The index is a long, rules-based index designed to provide exposure to a bullish hedge fund-style trading strategies across US Equity markets.

Swarm Intelligence Equity Market Neutral Index:

The index is a long/short, rules-based index designed to provide exposure to bullish and bearish hedge fund-style trading strategies across US Equity markets.

Swarm Intelligence Equity Short biased Index:

The index is a long/short, rules-based index designed to provide exposure to bearish biased hedge fund-style trading strategies across US Equity markets.

Swarm Intelligence Index Construction

investment process goals ( 4 mandates included**).
define a discrete algorithm expressing an investment process.
use a hyper parameterization of step 2 algorithm to populate the swarm with a universe of simulated managers.
select a subset of the swarm which displays positive walk forward efficiency on unseen data.
rank the momentum of the surviving swarm members. Include members with positive momentum characteristic, exclude others.
rebalance periodically so current index contains the fittest swarm members.
Apply anti-martingale sizing to resulting Swarm Index to leverage positive outcomes and reduce the impact of poor outcomes.

Sample Long only Swarm on Crude Oil

A Swarm Intelligence Index is constructed by selecting a representative subgroup from the larger swarm based on a selection criteria and periodically re-balancing to ensure the Swarm Intelligence Index contains the most fit swarm members.

The respective stats by Index:

A short list of the existing investable products are as follows:

IQ Hedge Multi-Strategy Tracker ETF
The WisdomTree Managed Futures Strategy Fund
The JPMorgan Diversified Alternatives ETF
Pacer Trendpilot U.S. Large Cap ETF

These four ETFs fall into one of four broad categories

Trend following (Pacer Trendpilot U.S. Large-Cap ETF )
Market Neutral (The JP Morgan Diversified Alternatives ETF )
Multi-strategy ( IQ Hedge Multi-Strategy Tracker ETF)
Commodity Trend Following (The Wisdom Tree Managed Futures Strategy Fund)

A list of four uninvestable but interesting and useful Hedge Fund Indexes:

Eurekahedge Commodity Hedge Fund Index
Eurekahedge FX Hedge Fund Index
Eurekahedge Trend Following Index
Eurekahedge AI Hedge Fund Index

The EurekHedge AI HF Index is a basket of 18 Funds that profess to use artificial intelligence techniques in their investment process.

As you can see it is quite different from the others and seemingly correlated to the proposed Swarm Intelligence Indexes.

The summary stats for the investable products:

The summary stats for the uninvestable indexes:

Please note the Eureka Indexes are monthly so the yellow values are the correct values for comparison.

Here are a few comparison pictures in closing:

TMQR Swarm Intel Multi-Strategy Trend Following Index:

TMQR SIn Bullish Equity Index :

TMQR SIn Equity Market Neutral Index:

TMQR SIn Equity Short biased Index:

FAQs

I understand that each index is composed of different long and short "alpha" strategies. How are the different strategies weighted?
- answer: unless otherwise stated the default each strategy is equally weighted in each portfolio, this means not one market or strategy is "overweight".