Asset allocation
Our asset allocation approach is based on a firm belief in mean reversion. Expected returns, volatilities and correlations are all time-varying resulting in a constantly changing optimal portfolio.
Through a dynamic application of Modern Portfolio Theory we strive to incorporate this time varying nature into the asset allocation decision in order to maximize the risk reward ratio. Based on our assessment of the future we combine different asset classes in order to reap the benefits of diversification. Our focus is on systematic exploitation of long-term mean reversion in different risk premia instead of focus on short term movements. This is done by thorough fundamental analysis, quantitative modeling and subjective judgment. A major part of the asset allocation process is risk management. Stress-testing a chosen allocation before it is implemented is hence an integral part of the asset allocation process.
Appointment
23/07/2010 New member of the team
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Danish Mortgage Bonds
01/06/2010 Soros recommends Danish system
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Wall Street Journal
26/04/2010 Aros in WSJ
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