Leibniz

LeibnizGroup

Systematic Investing

About Us

Leibniz Group is a Multi Strategy Asset Management company with a focus on systematic and machine learning driven investment strategies.

The first Leibniz Group company was incorporated in 2009. As of today, 14 Portfolio Managers in an investment team of nineteen people oversee the 13 award winning and capacity constraint systematic investment strategies of the firm, ranging from low to medium frequency.

The Leibniz Group companies are regulated in Switzerland, the US and the BVI.

We were named after Gottfried Wilhelm von Leibniz, sometimes called the last universal genius, a German polymath and philosopher, who made deep and important contributions to physics, technology, philosophy, probability, theory, biology, geology, psychology, linguistics and computer science, who developed calculus independently of and earlier than Isaac Newton.

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Our Awards

HFM Awards

Winner Newcomer CTA

Hedge Funds Review

European Performance Awards 2017, Winner

HFM Week

European Hedge Fund Performance Awards 2017, Winner

The hedgefund journal

Best Performing Fund over 5 years (2018)


Quotes we like

In economics, things take longer to happen than you think they will, and then happen faster than you thought they could.

Rudiger Dornbusch

If you can’t explain something simply, you don’t really understand it.

Bill Gates

Alles Fertige wird angestaunt, alles Werdende wird unterschätzt.

Friedrich Nietzsche

The Market has no memory – and neither do buyers.

A client

Prepare for the unknown by studying how others in the past have coped with the unforeseeable and the unpredictable.

George S. Patton

Thinking can never quite catch up with reality; reality is always richer than our comprehension. Reality has the power to surprise thinking, and thinking has the power to create reality. But we must remember the unintended consequences – the outcome always differs from expectations

G. Soros

Live Strategies

DISLOCATION

2007 to present

The Leibniz DISLOCATION program consists of a range of machine learning and AI driven focused investment strategies. The strategies are diversified, with about 1000 live positions on average. Strategies can have up to 2000 orders per day and consume 1- and 5-minute bars. The portfolio is built via a combination of closed-form, stochastically robust, and meta-heuristic optimization techniques applied at various stages of the portfolio formation process, such as synthetic asset formation, industry group, and overall portfolio optimization.

EMOTION

2011 to present

The Leibniz EMOTION program is a fully systematic investment offering with track records dating back to 2011 achieved at some of the most prominent hedge fund firms in the industry. EMOTION has proven to be resilient against drawdowns. The strategy exploits both investor underreaction in the medium-term and investor overreaction in the short-term. The strategy is low frequency and capacity constrained.

Systematic Intelligence

2011 to present

The Systematic Intelligence Program (SI) is a fully systematic and globally diversified investment strategy. The strategy deploys assets globally by investing in 80 different equity, currency, commodity, interest rate and volatility markets via highly liquid instruments to maximize diversification and limit volatility.

Average holding periods range from 3-40 days per sub-strategy. Risk Exposures are adjusted daily and are reduced within 1-2 days in trend reversals. SI consists of 3 Sub-Strategies which are dynamically weighted, allowing complete de-allocation from an asset class and avoiding over fitting and a pre-established bias.

SWARM

2015 to present

The SWARM Program (SWARM) is a fully systematic investment strategy based entirely on machine learning approaches. The strategy screens 400 assets globally and then builds positions via 25+ FX spot pairs on average. Various sub-strategies diversify trading approaches and contribute their inputs to their respective regularized neural networks.

The execution of the strategy is systematic, and all facets of the models, risk management and trade allocation are fully automated. Average holding periods approx. 1 day with the shortest average holding periods for pairs being less than 4 hours.

REGIMENT

2015 to present

The capacity constraint REGIMENT investment program is a fully automated volatility harvesting strategy which aims to profit from idiosyncrasies in medium, short and ultra-short volatility environments via directional and mean-reverting approaches in FX markets. REGIMENT aims to algorithmically emulate the inverse behavior of loss-making FX market participants and employs numerous disciplines as well as quantitative analysis, order routing algorithms, low latency tech and liquidity management to capture its trading edge. REGIMENT consists of a diverse range of trading and hedging strategies which detect market-, correlation- and volatility-regimes, to adjust their trading and interconnections accordingly. The master risk layer executes 1000s of concurrent computations per second.

COMMO

2016 to present

Leibniz COMMO is a pure commodities focused investment strategy. The algorithm detects trade-able patterns across 19 commodities markets and trades them in the most suitable sub-strategy based on daily observations.

The strategy makes use of entry and exit algorithms to detect regimes and employs an active drawdown limiting system. The strategy rests on the GRAB strategy infrastructure which was developed in 2013 and ongoing research has lead to further improvement implementations.

Grab+

2016 to present

GRAB utilises a swing and trend focused trading methodology with a focus on elliptical cycles in financial markets. The algorithm detects tradeable patterns across 30 markets and trades them in the most suitable sub-strategy based on daily observations. The strategy makes use of entry and exit algorithms to detect regimes and employs an active drawdown limiting system.

The GRAB strategy was developed in 2013 and ongoing research has lead to further improvement implementations as recent as March 2019, leading to GRAB+

Everest

2016 to present

The EVEREST Program is a fully systematic, diversified trading strategy which was designed to achieve superior risk-adjusted returns regardless of overall market direction. It is live since March 2016 and has achieved a double digit annualized net return with a controlled level of volatility.

EVEREST is active in foreign exchange and precious metals markets employing a blend of complimentary market timing methodologies in order to diversify trading risk.

JET

2017 to present

The JET investment program exploits trigger events created by Central Bank meetings, key economic releases and geo-political events. JET is a systematic cross-market investment strategy focused on mean reversion and co-integration trade opportunities in Fixed Income Futures and Currency Spot markets. It is designed to achieve superior risk-adjusted returns and is not correlated to the direction of the broader market.


In Incubation

BLUESTAR

2021 to present

The BLUESTAR investment program is run by a former BlueCrest Executive and employs a diverse and growing set of low frequency multi-model, multi-indicator and multi-timescale sub-strategies. BLUESTAR strategies exploit market effects with systematic macro, fundamental and technical approaches in Futures and Spot FX markets. The strategies systematically interpret and position around short- & long-term interest rates as well as commodities markets. Short-term liquidity provisions, medium-term technical factors and longer-term fundamental effects define how the strategy adapts to changing market conditions continuously. The foundations of some of the strategies go back more than 20 years.

AUXENTA

2019 to present

AUXENTA is a systematic all-weather strategy with the ability to sustain shocks similar to auxentic materials. It consists of complementary medium frequency sub-strategies which digest data every millisecond.

The strategy does not solely rely on trend following components but rather reacts to short term market behavior via its adaptive hierarchical machine learning algorithms and risk models.

AUXENTA development started in 2016 with the initial strategy going live in June 2019.

ROCKET

2019 to present

ROCKET is a systematic high-to-medium-frequency algorithmic program that trades US futures on the main market indices. It tracks the instant changes of the available liquidity and reaction to these changes, to take advantage of either an excess of liquidity supplied by buyers or liquidity excess, supplied by sellers.

ROCKET focuses on market microstructure and liquidity changes caused by either recurring or unexpected liquidity events and utilizes holding periods ranging from 1 second to tens of minutes. The mathematical foundation of the ROCKET infrastructure consists of a series of specially developed data transformation mathematical algorithms, that take into account the non-ergodic character of the traded instrument dynamics (“memory”).

P-REACTION

2016 to present

Leibniz P-REACTION rigorously applies a data-driven framework using machine learning methods and natural language processing to predict how investor behavior impacts asset prices and leads to short-term mispricing surrounding earnings related news and events in a medium-frequency approach. P-REACTION digests and pre-acts as as well as reacts to many thousand events via its news-driven strategies in a fully systematic manner. Many years of development work and attention to detail now allow the strategy a reliable approach and fast reaction time to market moving news by exploiting behavioral biases and market inefficiencies.


Speed

Average Holding Periods of the Leibniz Investment Strategies

Momentum
16 days
Pattern Recognition
3 days
Volatility Arbitrage
40 days
SWARM
1 day
Grab+
10 days
EVEREST
5 days
JET
4 days
REGIMENT
1 day
BLUESTAR
4 days
AUXENTA
1 day
ROCKET
1 day
EMOTION
30 days
DISLOCATION
10 days
P-REACTION
2 days
COMMO
10 days

Database

Request login for our proprietary database tool in order to review strategy factsheets and build bespoke portfolios here.

  • Strategy Overviews
  • Risk Statistics
  • Return Reports
  • Performance Statistics
  • Performance Breakdowns

CONTACT

Contact us to learn more about the Leibniz Group Team and Investment Strategies

 

Leibniz Group Corporation is registered with the US Commodity Futures Trading Commission ("CFTC") as a commodity trading advisor and is a member of the National Futures Association ("NFA") (NFA ID # 0543711). Such registration and membership do not imply that the CFTC or the NFA have endorsed Leibniz Group's qualifications to provide the advisory services set forth herein. This information is intended only for the benefit of selected and qualified investors as defined by FINMA or other applicable regulatory agency. In the U.S., Leibniz Group Corporation only offers its services for the benefit of selected “Qualified Eligible Persons” (as such term is defined in U.S. Commodity Futures Trading Commission Reg.4.7). THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THE TRADING PROGRAMS OR THIS WEBSITE. Leibniz Group Corporation is regulated by the Financial Services Commission (FSC) in the British Virgin Islands. Leibniz Group Services LLC is registered with the Eidgenössische Finanzmarktaufsicht FINMA in Switzerland as Financial Advisor.