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Steeve Brument
Global Head of Alternative Investments
Our strategies are designed with the aim to generate returns that are decorrelated from major asset classes movements, by taking short and long positions on major asset classes. Our goal is to achieve resilient returns within a risk-controlled budget.
In line with our all our asset allocation strategies, our quantitative absolute return approaches place diversification at their core. We implement uncorrelated strategies on various time horizons and a broad range of asset classes, and we make sure to allocate the risk budget so as to maximise the diversification effect, within the guidelines set for each approach. Our two approaches exploit different performance drivers and each has a specific risk profile with a set target volatility level.
We constantly monitor and analyze market data, in order to harness the various opportunities: trends, mean reversion, carry, relative value. To this end, our quantitative researchers have developed specific models and algorithms. Their programming skills as well as their rigor, experience and ability to think outside of the box are key to achieve our objectives.
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”As long as there is a trend, its direction hardly matters; our models were built to detect this trend and to make best use of it. Market moves of any kind are exactly what we need to generate returns for investors when they need them the most.
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
FUNDS
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Main risks on Quant & Multi-Strategy
- 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
