Traditional Beta
GTAA
50/50 Equity/Bond Funds (Balanced)
Active management of stock exposure within a plus/minus 50 percentage stock margin. Risk objective is a dynamic VaR limit on a one-year period.
Overlay-management of master funds
GTAA overlay over an overlay segment in a master fund. Objected risk is a dynamic VaR limit.
LIBOR +200 bps
Active allocation between equity, bonds and money market with a rolling 12-month risk objective.
Option-based Portfolio (Vega)
Systematic straddle write strategy for a diversified stock option portfolio. The investment objective of the VEGA strategy is to realise the volatility premium forecast-free. The risk premium can widely be realized market neutrally by systematically writing exchange-traded ATM-straddles.
Portfolio Insurance
Risk overlay within a mixed-assets master fund
Asset structure, respective contained mandates is managed via construction of an overlay segment within a master fund.
The investment objective is to retain a fixed risk budget on a calendar-year or financial-year term. A monthly data exchange with the master KAG concerning asset changes is sufficient for management of asset development.
Equity fund with portfolio insurance
Active management of the equity exposure in the range of 0 to 100 percent. The investment objective is to keep the risk budget on a calendar-year or financial-year term.
Portfolio-insured re-investment in capital markets risks
Starting from a low risk money market or bond portfolio, these types of mandates build up an allocation in risk bearing assets when the economic outlook suggests that a positive risk premium can be earned. As these mandates are tailored for investors who have previously pulled stop loss triggers, they are managed with a high degree of risk aversion or in combination with portfolio insurance.
Product Profile »Portfolio-insured re-investment in capital markets risks«
Option-based portfolio (Vega) with risk budget
Systematic straddle write-strategy for a diversified stock option portfolio. The investment objective of the VEGA strategy is to realise the volatility premium forecast-free. The risk premium can widely be realized market neutrally by systematically writing exchange-traded ATM-straddles. The investment objective is to retain a fixed risk budget on a calendar-year or financial-year term.
Quantitative Bond Management
Bonds (Core)
Quantitative management of a bond portfolio with a duration ranging from 0 to 10. The investment objective is to outperform a classic bond benchmark while aiming at absolute positive returns.
Bonds (Satellite-approach)
Quantitatively management of a bond portfolio with a duration range plus/minus 10. The investment objective is the generation of absolute positive returns.
Alternative beta
Commodities: CYD Commodity Indices
CYD LongOnly TR Index
The LongOnly Index seeks to capture time-varying risk premiums in commodity-futures markets in a strictly rule-based and broadly diversified index strategy conditioned on the term structure of futures contracts. To achieve this goal, the index holds long positions in all commodity futures which are in backwardation.
CYD LongShort TR Index
The LongShort Index seeks to capture time-varying risk premiums in commodity futures markets in a strictly rule-based and broadly diversified index strategy conditioned on the term structure of futures contracts. To achieve this goal, the index holds long positions in commodity futures which are in backwardation and short positions in commodity futures which are in contango.
CYD MarketNeutral Plus TR Index
The MarketNeutral Index is positioned as a liquidity provider to classical commodity indices which are based on a roll-over strategy in near-to-expire futures positions. To achieve this goal, the strategy holds a simultaneous long and short position for each commodity and thus has no directional exposure to the commodities market. The index is simply leveraged, i.e. for each dollar invested it holds a two-dollar futures position - divided between a long and a short position.
CYD MarketNeutral Plus 5 TR Index
The MarketNeutral Plus 5 Index is based on the CYD MarketNeutral concept, holding the same positions as the MarketNeutral Plus Index. The index however is leveraged 2.5 times, i.e. for each dollar invested it holds a five-dollar futures position - divided between a long and a short position.
Commodities: Active Commodity Portfolios
CYD Diversified Commodities
The Diversified Commodities Strategy is a benchmark oriented investment strategy. The investment objective of the strategy is to outperform the benchmark DJ UBS Commodity Index by 3-5% p.a. by an active management approach. The active management is based on several CYD return sources combined with a conservative, state-of-the-art risk management framework in order to ensure that the tracking error does not exceed 3-5% p.a.
CYD Active Commodities
The Active Commodities Strategy uses the DJ UBS Commodity Index as reference point. The investment objective of the strategy is to outperform the DJ UBS Commodity Index by 6-8% p.a., using an active management approach.
CYD Alpha Commodities
The investment objective of the Alpha Commodities Strategy is to deliver an active absolute return, which is independent of spot price movements of commodities and is not or negatively correlated to traditional asset classes. A special focus is on the quantitative, highly sophisticated risk management approach in order to protect the strategy from substantial drawdowns.
Listed Private Equity
LPX Indices
The LPX index family consists of global and regional indices as well as style indices. The index family is used as an underlying for various financial products and has, since its inception in 2004, developed as the benchmark index family for the private equity asset class.