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Investment Strategy
Strategic asset allocation (SAA)—defined as a “Buy & Hold” or “Rebalancing” strategy— often has the problem, while the target return goals are met on average, the client’s risk restrictions (e.g. no loss of capital) are violated. To overcome this problem, dynamic asset allocation (DAA) strategies can be used. Our DAA strategies comply with the risk targets you specify while maintaining or even improving return opportunities. In addition to the “forecast-free” DAA strategies, we also develop forecast-based trading or alpha strategies, such as tactical asset allocation (TAA) strategies or volatility strategies.

Whether used alone or in combination, our strategies will dynamically fit the requirements of your liability side. These liability-oriented or absolute return strategies are in the focus of our work in the Investment Strategy field. These strategies also include option-based hedging strategies, for example. The strategies we have developed can be implemented both as fully integrated overall mandates and as overlay mandates (e.g. as a completion fund under a Master KAG).

Below are some typical questions and problems that come up when analyzing and developing investment strategies:
• What added value does dynamic asset allocation provide compared with static asset allocation? How can a dynamic strategy be efficiently implemented in practice?
• Developing an integrated investment concept (a combination of SAA, DAA, and alpha strategies) so that a given target return of 6% per year, for example, is reached over the medium term while maintaining an annual guarantee level of, say, 95% of the initial capital (expressed as “Value at Risk”).
• What portion of the total risk budget should be used for alpha strategies and what portion should be allocated to beta risk (risk budgeting)?
• Critical analysis and review of existing investment strategies and investment concepts and, where applicable, suggestions for improvements.

In addition to answering these and other questions, however, we are constantly searching for new investment strategies with attractive risk-return profiles. A comprehensive research and quality-assurance process precedes the development of each strategy. That gives you the security of knowing that only fully tested strategies will be used. Thanks to our comprehensive expertise in derivatives, we are also able to develop and analyze complex strategies.