Investment Process Methodology

The methodology for trade selection and portfolio allocation is based on our quantitative investment and risk management process that will enhance the performance, scalability and predictability of an investment management activity.

Trade idea identification and selection is a bottom-up quantitative process using our Systems.

On a daily basis a large universe of relationships is scanned using our screens to generate initial trade ideas.

The screening process will indicate the level of mispricing of a particular relative market relationship, and the statistical significance of such an observation. Detailed screens are available to apply further statistical measures to historic data to provide greater insight into the potential trade and to estimate a number of return characteristics, e.g. return on capital, volatility, time horizon, tail risk etc. Whilst the systems will generate estimated values for all variables, there is flexibility to use subjective inputs, leveraging the market experience of the portfolio manager.

Diversification and low volatility in the performance is achieved by pooling together different low correlated strategies. The allocation is driven by the optimal utilization of the Risk Capital assigned to individual strategies. The proprietary optimization tool permits the portfolio allocation to be run with inputs relating to concentration limits, maximum daily portfolio volatility, and maximum absolute drawdown. Every trade is assessed and monitored for its return volatility, maximum drawdown and probability of drawdown and is sized based on a maximum portfolio drawdown limit over a pre-defined time horizon.