Constructing Returns

Rossum's vision was simple: let machines do the work they do better. We apply it to financial markets.

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Portfolio Construction

import { allocate } from './engine'
const w = optimize(returns, cov_matrix)
const leverage = notional / capital
futures.roll(contract, expiry)
position.size(vol_target / sigma)
risk.check(drawdown, max_dd)
const beta = cov(r, rm) / var(rm)
rebalance.execute(weights, slippage)
if (spread > threshold) {
  order.limit(price, size)
}
const pnl = mark_to_market(positions)

systematic.scan(universe)
signals.aggregate(factors)
const alpha = excess(bench)
correlation.matrix(strategies)
portfolio.merge(motor_a, motor_b)
hedge.delta(exposure, futures)
capital.efficient(core, overlay)
const ir = alpha / tracking_err
vol.forecast(ewma, halflife=21)
entropy.weight(clusters, hrp)

export const portfolio = construct({ core_beta, futures_overlay, crypto_systematic })

// Portfolio Construction

Multiple independent return streams.

The traditional component uses return stacking. A futures overlay on a buy & hold base creates exposure exceeding invested capital. The systematic crypto component runs independently, adding an uncorrelated return stream. Correlation between the two approaches zero. The result: higher returns relative to risk than either component alone.

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Crypto Strategies

Systematic trading of digital assets. Independent capital allocation, market neutral approach. Uncorrelated with the traditional portfolio component.

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Traditional Portfolio

Buy & hold base with futures overlay. A capital-efficient structure where 1 CZK of invested capital generates more than 1 CZK of market exposure.

Performance

Track Record

rossum-performance

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Why Rossum Capital

Uncorrelated Returns

Our crypto strategies are uncorrelated to the crypto market. The traditional portfolio has lower correlation to equity indices thanks to managed futures. We offer returns independent of what you likely already hold.

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Systematic Approach

Every strategy is built on historical data analysis. On crypto markets, we exploit inefficiencies of a young market and generate alpha. On the traditional side, we harvest risk premium and combine it with uncorrelated strategies.

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An Approach You Won't Find Elsewhere

Most crypto funds have exposure dependent on market direction, or do high frequency trading and arbitrage. We trade at lower frequency, typically rebalancing once a day. We combine factors like momentum, carry, and on-chain analysis into a market neutral portfolio that generates returns regardless of whether the market goes up or down.

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For Investors

Fund Information

Rossum Capital is structured for qualified investors seeking systematic, uncorrelated returns.

rossum — fund-info

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Schedule a conversation with our team to discuss your investment objectives and learn how Rossum Capital can work for your portfolio.

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