The investment objective of the Vienna Global – Klimt Fund is to maximize the return for investors by aiming to achieve high capital appreciation over a medium term with a low correlation with traditional asset classes. The Fund is targeted for investors who are willing to accept the risks inherent in investing in financial futures, commodity futures, currencies and other derivatives.
The investment strategies to be employed by the Vienna Global – Klimt Fund are characterized by the following criteria:
a.) Fundamental Trading:
Even though the Fund will be allocating its assets in a variety of separate investment strategies, these will all be guided by an overall systematic global macro strategy, which will ensure that all the investment decisions taken relating to the investment strategies are based on fundamental quantitative models. Markets are screened for macroeconomic imbalances on a worldwide basis. The positions established will exploit these imbalances.
By allocating capital across a broad number of markets/investments the probability for an occurrence of an unfavorable situation on all of the markets is reduced considerably (Capital Market Theory, Markowitz, Sharpe). Derivatives allow involvements in markets, which could not be made in a traditional portfolio management approach. The prerequisite for choosing all underlying investments is their liquidity in the relevant market and the legal stability of the relevant market.
c.) Systematic Approach:
In contrast to most existing global macro strategies, the strategy is 100% systematic and employs no discretionary decisions at all. All buy- and sell-decisions are based on quantitative analysis by applying quantitative trading models, which deliver buy and sell signals together with stop-loss orders.
d.) State-of-the-art Risk Management Approach:
The Fund employs various techniques to attempt to reduce the risks inherent in its their respective trading strategies. According to the risk reduction approach, risk is reduced on three levels:
- Investment process: 100% systematic, no discretionary decisions
- Portfolio construction: high degree of diversification
- Market level: stop-loss exits, markets are traded based on signals
e.) Outright Positions:
Long (speculation on rising market prices) and short positions (speculation on falling market prices) will be undertaken, similar to a CTA/trend-following strategy. This type of trading is called outright-trading.
f.) Money Management:
The Fund has in general a higher risk through the use of derivatives and leverage associated thereto. Therefore the size of any underlying investment always needs to be set in relation to the associated risk and not the possible gain.
The average percentage of a single investment will be below 2% of the total fund equity. This leads to an average equity-to-margin ratio of approximately 10 -20 %.
g.) Active Management of Liquidity:
The Fund can actively manage the available liquidity not invested in underlying investments. Liquidity can be maintained in cash or may be invested in money market instruments or short-term government instruments with maturities of less than 12 months.
On a daily base the system is calculating the actions we have to execute.