Overview of our investment philosophy and framework
We are strong believers in analyzing and understanding the economic drivers behind investments. Most sources of economic impact fall in categories of fundamental, behavioral or institutional nature. We rely heavily on high quality data, because standard sources are prone to massive revisions, which in turn mask the real economic impact behind movements in asset prices.
Capital markets theory has a strong affinity with normal distributions and linear mathematical concepts. This is contrary to economic reality, because asymmetries have a strong fundamental underpinning. This leads to time varying volatilities, correlations and betas. Reality bites when correlations increase rapidly, and hedges refuse to work.
Multi factor/ Multi Strategy architecture
Across our investment processes multi-factor- / multi-strategy-structures are implemented. We believe in the changing nature of economic impact on various drivers of risk and return. This is the reason for time varying factor premia, which in turn lead to changing drivers of risk.
Risk based allocation
We make use of FIS RISK MANAGER risk models - which have been awarded several times by Hedgeweek - to ensure a joint evaluation of risk factors and to get a clear view of intended and unintended exposures. Given an ongoing low return world and an increasing need of absolute return solutions, the changing risk structure of assets must be addressed in portfolio construction.