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| Investment Strategy |
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Development of the
“Dynamic Strategy Portfolio” (DSP) strategy, a DAA strategy
Although it was originally conceived for a pension fund, other institutional
investors have since used the DSP strategy successfully as well. The
core of the DSP strategy is a set of rules that regularly updates
the portfolio allocation depending on the risk budget (measured with
respect to the specified target return) and the current market situation.
The strategy was designed as an alternative to CPPI strategies.
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Development of
a Directional Volatility Trading Strategy
This alpha strategy attempts to take advantage of absolute changes
in volatility on the basis of forecasts. Due to operational issues,
the strategy works on equity index volatility.
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Advising Clients
on the Use of Various Alpha and Beta Strategies
For a client in the pension fund field, we developed and implemented
an investment concept that consisted of SAA, DAA, and TAA elements
as well as the selection of active subfunds. The DSP strategy was
deployed here as the DAA component. |
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