This project presents a transaction-cost-optimised multi-asset portfolio strategy developed for the Citi Global Market Challenge 2026. The portfolio is benchmarked against Fund X and constructed across equities, fixed income, commodities, and FX.
Over a 3-month horizon, the strategy delivered 19.95% return vs 9.74% benchmark, generating +10.2% active alpha with a Sharpe ratio of 2.82, despite higher volatility.
The core insight is that alpha is driven not only by asset selection, but by capital allocation after costs. By concentrating exposure in high-momentum, low-cost assets (commodities) and avoiding high-friction trades, the strategy maximises net returns rather than gross performance.
The portfolio expresses three clear views:
Risk is actively managed through trigger-based hedging strategies, ensuring downside protection while preserving upside convexity.
In short: we outperform not just by taking risk — but by taking efficient risk.
