Kepos Capital LP

Kepos Capital LP is a New York–based quantitative investment manager specializing in systematic, research-driven strategies across global equities, macro, and alternative risk premia. Founded in the early 2010s by Mark P. Carhart, a prominent figure in factor investing and quantitative asset management, the firm manages private funds and institutional separate accounts for pensions, endowments, foundations, sovereign entities, and other sophisticated allocators. Operating as an SEC-registered investment adviser, Kepos Capital emphasizes disciplined model development, robust data infrastructure, and portfolio construction techniques derived from academic finance and practitioner experience. The firm’s platform includes market-neutral equity, multi-asset absolute-return, and more recently climate- and transition-focused strategies that seek to capture systematic premia associated with decarbonization and environmental themes. Kepos Capital LP files Form 13F with the US Securities and Exchange Commission under CIK 0001512020. These filings disclose the firm’s long positions in US-listed equities, exchange-traded funds, and certain other reportable instruments over which it has investment discretion. Because many Kepos strategies involve both long and short positions, derivatives, and instruments that are not reportable on Form 13F, the filings provide a view of the long US-listed sleeve but do not fully represent the total risk exposures of the underlying funds. Within a 13F analytics context, the firm’s 13F History can be assembled into a quarter-by-quarter record of its disclosed US equity and ETF holdings, normalized to a user-defined notional. This creates a holdings-based proxy for the visible portion of Kepos’s portfolios and allows allocators to study its observable positioning without replacing primary due diligence on the firm’s broader quantitative platform.

Kepos Capital employs a systematic, factor-oriented investment philosophy. The firm designs and implements model-driven strategies that seek to harvest persistent sources of risk premia and structural inefficiencies across asset classes. Research areas typically include cross-sectional equity factors such as value, momentum, profitability, and quality; time-series trends and carry effects across futures and forwards; and macro and thematic signals, including those linked to climate transition risks and opportunities. Portfolios are constructed with explicit risk budgeting, diversification, and transaction cost controls. In equity market-neutral strategies, Kepos generally balances long and short portfolios to target modest net market exposure while maintaining significant gross exposure to desired factors or signals. In multi-asset and macro strategies, the firm combines exposures to equities, fixed income, currencies, commodities, and volatility, generally through liquid derivatives, to build diversified absolute-return profiles. Only a subset of this activity appears in Form 13F. The 13F reports primarily reflect the long leg of the firm’s US-listed equity exposures, including individual stocks and, in some cases, ETFs used for implementation or tactical tilts. The holdings profile often shows a broad, diversified set of names across all major sectors, with position sizing driven by factor signals, risk constraints, and liquidity parameters rather than bottom-up fundamental stock picking. Because the strategies are model-driven and rebalanced systematically, turnover in the 13F portfolio tends to be high relative to traditional fundamental managers. Rebalancing may be daily, weekly, or monthly depending on the specific signal set, leading to meaningful quarter-to-quarter changes in the disclosed holdings, even when the underlying factor exposures remain stable. Sector allocations in the 13F sleeve usually approximate diversified benchmarks, while style exposures—such as value, momentum, or quality—are embedded in the cross-sectional weighting of individual securities. For allocators reviewing the firm via a Backtesting Service or Portfolio Simulator, analysis of 13F Portfolio Composition over time can help identify how Kepos implements its systematic views in the long US equity book: the number of positions, concentration in top holdings, sector balance, and how these characteristics adapt through different market regimes.

Kepos Capital LP is a New York–based quantitative hedge fund manager whose strategies span equity market-neutral, multi-asset absolute return, and climate- and transition-oriented mandates. Its Form 13F filings under CIK 0001512020 offer a structured view of the firm’s long US-listed equity and ETF exposures, even though they do not capture shorts, derivatives, or non-US instruments that are integral to its portfolios. For allocators, the 13F record can be transformed into a holdings-based Historical Track Record of the visible sleeve, providing insight into how Kepos’s disclosed positions have evolved and how the associated capital path has reacted to diverse macro and style environments. Time-series analysis of 13F Portfolio Composition helps clarify the level of diversification, the stability of position counts and sector weights, and the degree to which factor tilts may be inferred from observable holdings. Running this reconstructed sleeve through Performance Backtests Online or a Portfolio Simulator enables estimation of an ex post Sharpe Ratio and measurement of historical Max Drawdown Depth, yielding a concise view of the risk-adjusted outcomes for the long US equity component alone. These analytics become more powerful when cross-referenced with qualitative knowledge of Kepos’s systematic processes, risk budgeting, and use of leverage and hedging outside the 13F universe. A central diagnostic question for allocators is how the factor-driven, largely hedged architecture suggested by Kepos Capital’s 13F filings would behave under materially different regimes—such as prolonged inflation, persistent value dominance or growth resurgence, or repeated liquidity shocks—and how robust the firm’s models and risk controls appear when judged against the historical behavior of its observable US-listed equity sleeve.

The risk profile of Kepos Capital’s strategies is shaped by their quantitative, factor-based construction and the extensive use of both long and short positions. In many mandates, the firm targets relatively low net exposure to traditional market beta while maintaining substantial gross exposure to diversified factors. This design aims to deliver differentiated compounding behavior relative to broad equity indices, although actual risk levels vary by strategy and client mandate. Viewed through the 13F lens, only the long side of Kepos’s US-listed equity exposure is visible. As a result, any reconstructed portfolio from 13F data will show higher apparent market beta and more directional equity sensitivity than the actual, often hedged, multi-asset portfolios managed for clients. The short book, derivatives exposures, and non-US instruments that play a key role in shaping overall risk are not captured in the filings. The firm’s emphasis on diversification and risk budgeting typically results in a portfolio with many holdings and limited single-name concentration in the long book. Nonetheless, systematic strategies can experience periods of elevated volatility and drawdown when widely held factors or risk premia underperform or become crowded. Episodes such as sharp reversals in momentum or value, rapid shifts in interest-rate regimes, or abrupt changes in liquidity can produce factor-specific stress even when market-level indices appear relatively stable. By reconstructing a proxy portfolio from the 13F data, allocators can estimate volatility, beta, and downside characteristics for the observable long sleeve. Examining realized Max Drawdown Depth during major market and factor stress periods, along with an empirically derived Sharpe Ratio, provides a partial picture of risk-adjusted outcomes for the disclosed positions. These indicators should be interpreted as characterizing the behavior of the long US equity component in isolation, not the full, often hedged, risk profile of Kepos’s flagship strategies.