Risk Management
There is a strong emphasis on risk control. We monitor the optimal return per unit of risk (Sharpe ratio), maximum allowable downside risk (VAR) and draw downs. We continuously monitor and stress test the portfolio and sub-portfolios.
Multi-factor analysis with the use of the Risk-Data risk model and Monte Carlo simulation are implemented at the portfolio and asset class levels, and at the individual manager level. This is in order to stress test the effect of the inclusion of an additional manager on the behavior of the portfolio and sub-portfolios in any possible market environment. Optimizer models are applied to ensure the optimal asset allocation between asset classes, sub-asset classes and manager allocation is achieved at all times.
