A clear systematic approach to absolute returns

One of the innovative products provided by our company is the Prime Capital Absolute Return Program. In this case we have set ourselves the goal of a target return of Euribor plus 400 bps p.a. with a Sharpe Ratio of approx. 1. Because the sustainable assurance of results is one of our core principles, the implementation of a consistent risk management process is deemed to be more important than maximising the return. The aim is to preserve at least 95% of the invested capital on a calendar year basis by applying a dynamic draw down management. The investment strategy itself is based on a multi-strategy approach and is implemented with liquid instruments only, so that daily liquidity can be assured even in difficult market phases.

The three pillars of the strategy are:

• Dynamic asset allocation: combination of various established models in different asset classes with integrated risk management.
• Active loss limitation: limiting of the highest possible loss within a calendar year to 5% and, in the event of positive returns, the loss threshold is automatically adjusted upwards.
• Fully automatic systems: implementation of quantitative models with automatic daily adjustment.

Detailed information on the Absolute Return Program is available on request.