INVESTMENT PROCESS

OVERVIEW

In our investment process we make a strict distinction between

Investment Process

FIRST PROCESS OF THE INVESTMENT: TACTICAL STRATEGY ALLOCATION

Investment Process Risk Management

STRATEGY DEVELOPMENT

Investment Process Risk Management

STRATEGY RANKING

Investment Process Risk Management

RELEVANCE

Trading strategies are subject to the following non-exhaustive list of problems:

The following tests show some examples of the problems described above.
EXAMPLE 1: RETURN EROSION, TREND-FOLLOWING STRATEGY ON EURUSD
Investment Process Risk Management example
EXAMPLE 2: DRAW-DOWN PHASE, MEAN REVERSION STRATEGY ON EURUSD

Looking at the strategy’s underwater curve (lower chart) we see that:

Investment Process Risk Management example
EXAMPLE 3: CAPACITY LIMITS, STATISTICAL ARBITRAGE STRATEGY

Looking at the strategy’s underwater curve (lower chart) we see that:

Investment Process
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