Portfolio managers apply a proprietary quantitative screening process designed to highlight interesting and/or trending asset prices from a universe of approximately 125 macro markets. The screening methodology is based upon analysis of spot and forward prices, implied volatilities and their skew, sentiment measures, correlations and trend factors. Qualitative assessments are made of market psychology, positioning and the potential for re-pricing.
Each month capital is re-allocated to the PMs by the Investment Committee. Criteria for adjusting allocations include the 3-month and 6-month moving averages of each PMs return on capital, the trajectory of those moving averages, the perceived opportunity set given each PMs area of market focus, trade conviction, market factors, and is at the discretion of the Investment Committee and the CIO.
The CIO leads ongoing portfolio reviews focused on optimizing the size of positions. The risk-to-reward ratio for new and open trades is evaluated on a rolling basis. This enables us to understand that when portfolio risk is concentrated or highly correlated it is deliberate and well understood.
The CIO leads the investment team in reviewing closed positions in an effort to ensure that a consistent and rigorous approach has been applied throughout the life of the trade. The process promotes transparency and accountability, drives self-reflection and team improvement.