Factor exposure · risk-managed

Momentum tilt

A long-only momentum factor sleeve with an institutional-grade risk engine on top — volatility targeting, risk-parity weighting, and a market-regime gate. We hold the strongest names and scale exposure down when the strategy’s own volatility spikes, to control the drawdowns that wreck naive momentum.

Read this honestly. This is factor exposure, not proprietary alpha — the same momentum premium you can buy as an ETF (e.g. MTUM), with our risk engineering layered on. Our own out-of-sample testing shows it is roughly index-like on a risk-adjusted basis: it beats a plain index in some periods and loses in others. What the risk engine reliably delivers is lower drawdown, not a guaranteed edge. Hypothetical, backtested, net of modelled costs — not advice, not a promise. Satis is pursuing NZ FMA licensing.

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Methodology: cross-sectional 12-1 momentum, top-20 by strength, monthly rebalance, long-only spot, on a curated liquid US universe. Risk engine: 15% annualised vol target, inverse-volatility (risk-parity) weights, market-regime gate (index above its 200-day average). Validated with walk-forward windows and cost/slippage stress. Universe uses today’s tradeable names, so results carry survivorship bias that flatters them — the true edge is lower than shown. Recomputed periodically.