The portfolio is a blend of traditional and more advanced strategies. The fund’s investments can be divided into three sub-strategies; market risk, macro/directional trading and relative value. The managers seek to capture long-term risk premiums through continuous, but dynamically allocated, exposure to market risk such as equities, credit, duration, commodities, infrastructure, etc. The exposure to idiosyncratic risk is achieved through positioning within directional trading and relative value trading, mainly in fixed income and FX markets.
The three different parts of the portfolio is the foundation for providing a complete and balanced portfolio for long-term asset management. The investment framework is based on modern portfolio theory complemented by a significant degree of active management. The fund has no quantified goal for correlation with other asset classes under normal circumstances but specifically aims to protect the fund from negative tail-events.