Quantitative Investment Management
Optimal Statistics applies statistical modelling, quantitative research and disciplined portfolio construction to global investment management.
The investment process is research-led and evidence-based. Potential sources of return are identified statistically, tested out of sample and continuously examined for stability as market conditions change.
Our objective is not to predict every market movement. It is to identify useful information, determine when that information is sufficiently reliable to act upon, and allocate risk efficiently.
How We Invest
Quantitative Signal Research
Investment signals are developed from relationships observed across financial markets and tested for predictive value, stability and economic significance.
Research spans multiple time scales, from high-frequency market microstructure to broader information flows between securities, sectors and international markets.
Particular attention is paid to distinguishing persistent information from temporary relationships, market noise and historical overfitting.
Model Agreement & Information
No individual model or variable is assumed to contain the complete picture.
We examine the degree to which different sources of predictive information agree, the strength of the combined signal and whether model relationships remain stable under current market conditions.
This allows investment decisions to reflect not only the direction and magnitude of a forecast, but also the quality and consistency of the information supporting it.
Portfolio Construction & Risk
Predictive information is considered together with diversification, liquidity, transaction costs, portfolio interactions and the amount of risk required to capture an expected return.
The objective is not simply to maximise expected return, but to use available information efficiently.
Measures such as the information ratio provide a framework for assessing how effectively predictive information is converted into portfolio return relative to the risk employed.
Continuous Testing
Financial relationships change.
Models are monitored for calibration, parameter stability, changes in predictive power and deterioration under different market conditions.
New information is incorporated where it improves the evidence. Relationships that cease to perform as expected are investigated, modified or removed.
Global Investment Without a Home-Currency Bias
A fundamental difficulty in evaluating global investments is that every conventional currency provides a different perspective on return and risk.
A portfolio that rises when measured in Australian dollars may produce a different result in US dollars, euros or yen. Selecting any one of these currencies as the unit of account introduces the behaviour of that currency into the measurement.
Optimal Statistics addresses this problem using the CLCI Global Benchmark Index (GBI) as a common global numeraire.
The GBI was developed by CLCI-Global Ltd as a currency-neutral unit of account and global proxy for the risk-free asset. Rather than selecting an arbitrary national currency as the reference point, the GBI derives its value from an optimally weighted group of major global currencies.
Optimal Statistics licenses GBI index data from CLCI-Global Ltd.
GBI-Denominated Returns
Fund values, returns and risk can therefore be expressed in GBI terms rather than in a single national currency.
This provides a common framework for comparing investments denominated in different currencies and for making portfolio decisions without automatically favouring the investor’s home currency.
The distinction is important.
GBI is not used simply as another market index against which the Fund attempts to outperform. It is the unit of account in which global investment performance is measured and optimised.
The investment objective can therefore be expressed more naturally as the growth of wealth in currency-neutral GBI terms.
Global Opportunity Set
Once investment results are considered within a common currency-neutral framework, securities in different countries can be evaluated as part of the same global opportunity set.
Our research examines relationships both within individual markets and across markets, recognising that information can propagate through securities, sectors, countries and currencies at different speeds.
This global perspective is particularly important when separating local price movements from broader systematic effects and identifying where information may not yet have been fully incorporated into prices.
Performance
Performance is presented in GBI-denominated terms, providing a currency-neutral measure of changes in investment value.
Past performance is not a reliable indicator of future performance.
Private Investment Information
Information concerning the Optimal Statistics Fund is provided separately to eligible persons where appropriate.
Nothing on this website constitutes an offer, invitation or recommendation to acquire any security or interest in the Fund.
CLCI Global Benchmark Index (GBI) data used under licence from CLCI-Global Ltd.