Global Dynamic Risk (GDR) Strategy

Risk management is built into every stage of the investment process to actively strive to protect capital.

Management

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Saumen Chattopadhyay, CFA

Portfolio Manager
GDR, DCP and S&P Enhanced
10+ Years Investment Experience

For over 20 years Saumen held senior leadership positions in various institutions and managed large institutional funds. Saumen has two masters – Masters in Accounting and Finance from the University of Calcutta and MBA (Finance) from the University of Toledo. He holds a FCA and CPA designation, and is a CFA Charterholder.

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Sonu Varghese, PhD

Director of Research and co-Portfolio Manager
GDR, DCP and S&P Enhanced
10+ Years of Quantitative Research

Sonu has over 10 years of experience in developing quantitative investment models using equities, options and ETFs. He is a quantitative researcher and has extensive expertise in risk management; developing computational algorithms and programs across multiple asset classes using econometric techniques. Sonu has a Masters as well as a Ph.D. in Mechanical Engineering from Purdue University.

Investment Process

IDENTIFY OPPORTUNITIES: We identify capital growth opportunities based on proprietary research and economic analysis. Our proprietary economic research provides a global risk rating every month built upon 5 regional and 30 country-specific analyses around the globe. Our goal is to capture inflection points in the economic and business cycles and identify countries and regions with above-average trend line growth. Risk ratings govern our asset allocation.

ADAPT PORTFOLIO: Our unconstrained portfolio construction changes based on proprietary evaluation of macroeconomic environment and risks. We use various portfolio optimization techniques that vary by global risk rating to avoid tail risks in the portfolio, especially in a declining economic environment. To achieve proper diversification, portfolio allocations shift in our attempt to achieve the most efficient risk-adjusted return for investors.

We avoid unrealistic model assumptions and forward-looking economic predictions.

PROACTIVE RISK MANAGEMENT: We take a dynamic approach to risk management. Our primary goal is to align risk allocation and have specific volatility targets for different market environments.  We estimate daily volatility for various markets using proprietary techniques and consider adjustment when necessary. Our event- based risk management includes probabilistic scenario analysis and tail-risk forecasting. We attempt to manage current risk in our clients’ portfolios as well as prepare for the future.

At A Glance

InceptionJan 1, 2013

Related MaterialsFact Sheet

Strategy Offered ThroughSeparate Accounts

Sub-AdvisorConvex Capital Management