The investment process relies on a multi-factor model with preference function
driven by changes in risk regimes and the level of output similarities of the
Though the model can adapt quickly to new market conditions It is mostly a low
Each of its three components bear little correlation as they have a good
representation of Convex and Concave Strategies.
In a risk neutral environment each component are allocated one third of the risk
budget but they have a propensity to vary significantly from their neutral
allocation weight. Hence taking a bias to the driver deemed the most
appropriate for a given market environment.
Great emphasis is put on risk budgeting and portfolio re-balancing.
For further information on the above and its performance please contact me.