Financial concepts: In use with integrated Quasol know-how

Financial concepts: In use with integrated Quasol know-how

Over the last few years, various financial concepts have been developed by our partners in the context of consulting mandates or IT projects, which have meanwhile reached market maturity. At this point, we would like to give a brief overview of the previously developed solutions with Quasol know-how: Blu Beta, alpha beta Aktien Global Plus, Blu Income, wikifolio Welt sowie wikifolio BRD.

 


Blu Beta

The global economy is growing. Translating this assumption into a global equity portfolio in order to participate in that growth was the fundamental issue. Existing world indices (such as the MSCI World) were not a valid alternative – they are too US-biased and only capital-weighted. But how do you get exposure to the world economy as adequately and inexpensively as possible? Which influencing factors play a role in the country, size or sector weights?
Answers to these questions are provided by Prof. Dr. Ziggel, together with our partner Christian Armbruester, Managing Partner of the Blu Family Office in London, in the article “Constructing a Passive Global Stock Market Portfolio from a Multigenerational Family Office Perspective, The Journal of Wealth Management, 2016, Vol. 19, No. 2, P. 89-99 “, which we can gladly provide you with.

This resulted in the Blu Beta strategy, which has been successfully used since November 2015. More information about Blu Beta can be found in our Case Study equity portfolio: global & passive solution.

 


alpha beta Aktien Global Plus

The starting point of alpha beta Aktien Global Plus was the search for a concept for risk averse investors. Private investors who find it too risky to invest in the equity markets and institutional investors with a narrow risk budget should be allowed to participate in the equity markets – without sleepless nights. On the basis of this initial situation, alpha beta assetmanagement gmbh decided to develop a concept with a double safety net with the support of Quasol.

The result is a strategy based on Blu Beta and investing in equities with an “airbag” to provide more security in uncertain times. For this purpose, complementary approaches in risk management to limit volatility and drawdown have been merged. While our partner brought his proven Sharpe Ratio approach, Quasol introduced the latest advancement of the Structural Break Tests. As a result, losses in turbulent market phases can be significantly reduced by actively controlling the effective equity allocation between 0% and 100%. Since 15 September 2017 the strategy has been implemented through an investment fund (ISIN: DE000A141WR0 (Institutional), ISIN: DE000A2DL379 (Retail)).

Further information on our strategic contribution can be found in the following publications, which we will gladly provide you with if needed:

  • Gösmann, J., Ziggel, D. (2017): An Innovative Risk Management Methodology for Trading Equity Indices Based on Change Points, in: Journal of Asset Management, forthcoming.
  • Wied, D., Arnold, M., Bissantz, N., Ziggel, D. (2012): A new fluctuation test for constant variances with applications to finance, Metrika, 75(8), 1111-1127.

 


Blu Income

The private lending market has come into focus in times of low interest rates as an alternative and attractive source of returns. In the primarily qualitatively driven credit market, the quantitative accompaniment of such an investment process had its special appeal. Blu Family Office Ltd. was keen to develop a scientifically sound alternative solution that will continue to deliver steady income even in times of low interest rates. For this purpose, investments will be made in short-term and secured loans.

The insights gained in the process and the resulting solution can be found in the article “Private Lending as a Source of Fixed Income Yields,” which appeared in The Journal of Wealth Management, Vol. 20, No. 3, pp. 33-44 and which we will gladly provide you as a preprint if needed. It describes in detail the opportunities and risks of such investments as well as the procedure for concrete portfolio construction under consideration of a professional due diligence process. It turns out that such a strategy can efficiently capture risk premiums.

Since November 2016, the strategy has been implemented through a fund structure, with performance meeting all expectations so far. More information is available directly on the Blu-Homepage.

 


wikifolio Welt

Our long-standing tried-and-tested trial for structural breaks in volatility is a versatile vehicle, also for deriving (trading) signals. We have published a small part of the implementations and application possibilities and described them on this page, for example at alpha beta Aktien Global Plus. In contrast to the equity fund, the sample portfolio should enable us to isolate the structural break signals and track them separately.

The idea of wikifolio’s „Quasol Structural Breaks World“ is to show how such a risk overlay can be used to invest in global equity markets. The decision-making is made solely by the structural break algorithms, which are also combined in the equity fund alpha beta Aktien Global Plus. Within the model portfolio, it invests in several widely diversified ETFs based on the following indices:

  • MSCI World (The intended allocation should be slightly more than half)
  • MSCI Emerging Markets (The intended allocation should be slightly less than a third)
  • S&P Select Frontier (The intended allocation should be slightly more than one-seventh).

The ETFs are regularly monitored with our test for structural breaks in volatility and made transparently comprehensible by means of the wikifolios. The trial will be implemented via web service, a technological development of our calculation cores, which will be available starting March 2018.

 


wikifolio BRD

Our long-standing tried-and-tested trial for structural breaks in volatility is a versatile vehicle, also for deriving (trading) signals. We have published a small part of the implementations and application possibilities and described them on this page, for example at alpha beta Aktien Global Plus. In contrast to the equity fund, the sample portfolio should enable us to isolate the structural break signals and track them separately.

The idea of wikifolio’s “Quasol Structural Breaks Germany” is to show how such a risk overlay can be used to invest in german equity markets. The decision-making is made solely by the structural break algorithms, which are also combined in the equity fund alpha beta Aktien Global Plus. Within the model portfolio, it invests in several diversified ETFs based on the DAX, MDAX and SDAX indices. The allocation is about one third each.

The ETFs are regularly monitored with our test for structural breaks in volatility and made transparently comprehensible by means of the wikifolios. The trial will be implemented via web service, a technological development of our calculation cores, which will be available starting March 2018.

 


 

All publications can be requested at info@Quasol.de.

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