Fund / Risk framework
Risk framework
Risk is the budget — return is pursued within it.
Every position is sized against a hard, daily value-at-risk limit and gross and net leverage limits — the discipline that has guided the strategy since 2010.
VaR hard limit
1%
1-day horizon · 95% confidence · 252-day lookback
Leverage
Gross & net
Kept within set limits, monitored daily
Base currency
EUR
Non-euro exposure may be hedged
Dealing frequency
Quarterly
Quarterly dealing for aligned horizons
The framework
Three controls, applied continuously.
01
Daily value-at-risk
Portfolio VaR is measured every day against a 1% hard limit at 95% confidence over a 252-day lookback.
02
Leverage discipline
Gross and net leverage are kept within set limits and monitored daily.
03
Diversified construction
Uncorrelated sub-strategies across rates, SSA, credit, inflation-linked and emerging markets reduce reliance on any single source of return.