Diversification at several levels
- In traded asset classes: equities, interest rates, currencies, commodities
- In the time horizons of the strategies
- Between strategies: trend following, carry, equity market neutral, contrarian, pattern recognition
Dynamic risk management
- Two approaches with different volatility target levels
- A common risk framework that aims to balance risk dynamically at all levels of the portfolio
- Risk monitoring at strategy, asset class and position level
- Daily adjustment of portfolio positions to reflect the output of our risk allocation models
Benefits for asset allocators
- Uncorrelated performance that may help improve the risk return profile of diversified portfolios
- Our trend following approach may bring some tail risk hedging properties
- Our multi-strategy approach tends to offer a more regular performance profile
Figures are worth a thousand words.
4
Main asset classes: equity indices, government bonds, short term interest rates and currencies
+20
Years of joint experience in managing absolute return quantitative strategies
1
Investment Strategy based on systematic trend following, contrarian and pattern recognition models
- Risk of loss of capital
- Equity risk
- Interest rate risk
- Credit risk
- Volatility risk
- Custody risk
- Foreign exchange risk
- Emerging countries risk
- Risk arising from discretionary management and the arbitrage strategy
- Operational risk
- Delivery risk
- Risk associated with derivative financial instruments
- Counterparty Risk
- Model risk
- Leverage risk
- Legal risk
