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Investment theme research
Top-down macro factors
Bottom-up corporate factors
Looking for macro exposure based on monetary and business cycles and on corporate exposure segmented as follows:
Undervalued Growth
Dividend Increase
Recovery
Strategic Assets
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Expected return
Expected holding
period return
Opportunity cost
Each security is allocated to one of several investment strategy (corporate exposure type) and one or several investment themes.
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Diversification and weighting scheme based on:
Industry sectors
Regions
Corporate exposure type
Investment theme
Start with equal weight then:
Optimized based on risk/return and opportunity cost scores of each securities
Output are model portfolios matching the different investment mandates
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Risk exposure analysis
Performance contribution
Profit & Loss analysis
Performance contribution
Performance attribution (benchmarked portfolios)
Assessment of portfolio performance vs its model portfolio goals.
Definition
Assumed Alpha Source
Risk Characteristics
Definition
Assumed Alpha Source
Risk Characteristics
Definition
Assumed Alpha Source
Risk Characteristics
Definition
Assumed Alpha Source
Risk Characteristics
Definition
Assumed Alpha Source
Risk Characteristics
Definition
Assumed Alpha Source
Risk Characteristics
Definition
Assumed Alpha Source
Risk Characteristics
Definition
Assumed Alpha Source
Risk Characteristics