Traditional Beta
GTAA
30/70 Stock/Bond Funds (Balanced)
Active management of stock exposure within a plus/minus 30 percentage stock margin. Objected risk 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 stock, bonds and money market with a rolling 12-month risk objective.
Option-based Portfolio (Vega)
Implementation of the GLOCAP market outlook in an option-based portfolio, employing systematic extraction of option premiums as a source of performance. The goal is to distinctly stabilize returns compared to benchmark-oriented mandates.
Stock-like mandates are managed, as well as allocations comparable to “balanced”-mandates.
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 goal is to retain a fixed risk budget on a calendar-year/financial-year term. A monthly data exchange with the master KAG concerning asset changes is sufficient for management of asset development.
Stock mandate with portfolio insurance
Active management of the stock quota in the range of 0 to 100 percent with the objective to meet the risk budget a calendar-year/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 premia can be earned. As these mandates are tailored for investors who have previously pulled stop loss triggers, they are managed with high 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
Implementation of the GLOCAP market outlook in an option-based portfolio, employing systematic extraction of option premiums as a source of performance. The goal is to retain a fixed risk budget on a calendar-year/financial-year term.
Stock-like mandates, as well as allocations comparable to “balanced”-mandates can be combined with risk budgets.
Quantitative Bond Management
Bonds (Core)
Quantitatively managed Portfolio with a duration range from 0 to 7; Investment objective is outperformance of a classic bond benchmark together with absolute positive returns.
Bonds (Satellite-approach)
Quantitatively managed Portfolio with a duration range plus/minus 7; Investment objective is the generation of absolute positive returns.
Alternative beta
Commodities: CYD Commodity Indices
CYD Long-Only TR Index
Within a broad universe of commodities, the index - equally weighted und monthly rebalanced - solely holds long positions in back warded commodities within a broad universe.
The objective is the optimal positioning of a Long-only investor to earn risk- and insurance-premiums, intrinsic to commodity markets.
CYD Long-Short TR Index
Within a broad universe of commodities, the index - equally weighted und monthly rebalanced - solely holds long positions in back warded commodities, as well as short positions in commodities in contango.
The objective is the optimal positioning of a long/short investor to earn risk- and insurance-premiums, intrinsic to commodity markets.
CYD MarketNeutral Plus TR Index
Broadly diversified index, taking a market neutral position by holding a long- and short-position in every invested commodity, with performance depicting liquidity premiums of commodity markets.
CYD MarketNeutral Plus 5 TR Index
The CYD MarketNeutral Plus 5 Index is based on the CYD MarketNeutral concept. The same positions are held as in CYD MarketNeutral Plus, yet a higher notional is invested. Performance of the CYD MarketNeutral Plus 5 results from 2.5x excess return of the CYD MarketNeutral Plus plus collateral returns.
Commodities: Active Commodity Portfolios
Active market neutral portfolio
Calendar-Spreads are held in Commodity-Futures to employ economically-based strategies earning risk-premiums, intrinsic to commodity markets. Liquidity premiums, seasonalities and issues of stock-keeping are utilized.
The objective is to gain attractive and stable absolute returns by a market neutral positioning.
Active directional portfolio (long/short)
Risk- and insurance premiums of commodity markets are actively managed by directional positions in every commodity (long or short).
The goal is to participate in commodity markets, whereas having a more steady returns profile.
Listed Private Equity
LPX Indices
The LPX Indices reflect the performance of the asset class Listed Private Equity (LPE). Different indices (LPX Composite, LPX Europe, LPX Buyout etc.) depict performance of the various LPE-segments.
Active portfolio in Listed Private Equity
Based on the database of LPX Research and a proprietary, quantitative investment process an active portfolio with benchmark LPX Composite is managed.