PMP Investment Strategies
In the portfolio management program, three different investment approaches are pursued. All three follow a certain investment approach, but follow the same goals and guidelines. All groups aim to achieve a long-term return of 9% with a volatility of max. 20% and a maximum exposure of 200%. When it comes to the “how”, however, the approaches differ. There is an Entrepreneurial ZZ, an Quantitative Risk Premia and an Academic Macro-Finance approach. The investment strategies are the guidelines, deviations from given strategy are possible but need to be justified by thorough analysis
Target Return of 9% p.a.
The target return should be reached as average over the long term.
Quantitative Risk Premia
The Quantitative Risk Premia Group (previously called Harvard Group) analyzes, develops and implements factor models across asset classes. The aim is to construct a portfolio that is well diversified across various risk premia documented in the academic literature. Typical examples of risk premia (factors) are value, momentum, volatility, quality and carry. The core competence of the group will be in identifying asset characteristics that are decent proxies for the risk premia mentioned above (i.e. book-to-market ratio as a measure of value, interest rate differential as a measure of carry, etc.). In addition to established asset characteristics, new techniques such as textual analysis or big data may be applied.
The Academic Macro-Finance Group (previously called Yale Group) focuses on asset allocation based on macroeconomic dynamics. Hence, the main task of the group is to investigate the relation of macroeconomic variables and asset prices. Monetary policy, term-structure of interest rate dynamics, global current account imbalances and cross-border capital flows are obvious topics to be analyzed within the context of global capital markets. However, any potential relation between measures of the real economy and the time-series and cross-section of risk premia of financial assets may be examined by the group and utilized for the implementation of a systematic investment strategy.
The Entrepreneurial ZZ Group uses the target asset allocation of the funds of ZZ Vermögensverwaltung. The goal of this investment approach is to systematically exploit market inefficiencies and lock-in returns linked to cash flow yield (“Rechnerische Rendite” or carry) for all asset classes. The approach is characterized by active orientation towards opportunities, cash flow focus, anticyclical investing, active exposure management and high duration. Traditionally the focus has been on currencies and fixed income products in emerging and frontier markets.
Maximum Exposure of 200%
Leverage can be achieved through Credit, Options, Futures or Forward Products