Risk Management
The MAFT strategy utilises substantial flexibility in terms of products traded. This allows us to take advantage of opportunities wherever they arise. Products traded include foreign and domestic stocks, foreign and domestic stock index futures, bond futures, currencies, exchange traded funds, commodities and options over all of those products.
Key risks
Risk comes in many forms, and they all need to be quantified and managed appropriately to reduce unnecessary losses. Therefore, risk management is paramount to the strategy’s success because, without it, the fund may not be around to profit another day.
Key risks
To calculate position size the risk model assesses continuously evolving factors, including liquidity risk, currency exposure, market exposure, risk of default and gap risk. The portfolio also needs to be managed with risk in mind, so limits are in place to control exposure. A number of other factors are also considered for market selection such as event risk, counterparty risk and the impact of underlying market conditions on the strategies likelihood of success.
Risk management
Measuring and managing risks
Portfolio managers at Arbidyne have substantial experience in risk management cultivated from their tenure at one of Australia’s most successful trading firms. Risks are managed by adjusting leverage available to specific asset classes, measuring aggregate portfolio exposures, and using derivatives. The aim is to maximise the portfolio’s Sortino Ratio.
Risk tolerance
One key differentiator of our portfolio management process is that we may increase our risk tolerance when we have a profit buffer to draw on (either at the trade or portfolio level). We believe this helps protect capital whilst leaving open the possibility of high returns.
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