Investment
service

Multi-Asset: Active Asset Allocation/ Cash Management
Quant Model Approach

Fund Manager

Global Investment Management

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Investment Philosophy

  1. Accurately understand the structure and features of the financial market
    The correlation between the different financial assets, including equity and bond, function to make it possible to obtain profit through diversification of investment. However, in order to achieve this, the logic (macroeconomic model) to unravel the markets’ characteristics is essential.
  2. Formulate a consistent rule for investment and allocate assets rationally and flexibly between equity and bond.
    The fund will design quantitative models based on the respective rules for investment that are consistent with the macroeconomic model and then focus on behavioral finance theories.
  3. An experienced market veteran will adopt and follow a proprietary quantitative model (relative momentum model, RM model) based on detailed analyses of the market characteristics of stocks and bonds.
    The fund will develop models based on real market conditions with consideration for the different events behind price fluctuations. These models will clearly be different from general models formulated solely on the basis of past data (e.g. utilizing anomalies based on analyses of investors’ behavior patterns).
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  1. Stock price fluctuation is proportional to economic fluctuation.
  2. The flexibility in monetary policy is proportional to the potential growth rate (expected inflation rate).
  3. The key currency country (U.S.A.) can limit the magnitude of economic fluctuation from trade relations by leading its currency higher in an economic expansion phase or lower in a recessionary phase.
  4. For countries with less flexibility in monetary policy (such as in Japan,) it is difficult to boldly control its policy rate therefore are not able to limit the magnitude of economic fluctuation.

Investment Process

After examining the most effective strategy for equity, bond, and currencies for different countries using the macroeconomic model, the fund sets multiple investment rules for the investment targets and applies them in the quantitative model. Then, the fund comprehensively considers the targeted return, volatility, and other risk management indicators to determine the allocation of individual models within the overall fund. As for trading and cash management, the goal is to achieve maximum performance with minimal operating cost by executing at the best possible times and controlling cash effectively. In terms of risk management, the portfolio will be monitored in real time to verify whether the performance is as originally planned.

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Investment Strategy

Absolute return:
Domestic Active Asset Allocation
(Inception day: December 12, 2013)

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The fund pursues mid- to long-term absolute returns on the investments. The portfolio aims to achieve stable returns by adjusting the allocation of investments in Japanese bond futures and stock price index futures according to the signs based on the RM model and by controlling the risks.

U.S. Active Asset Allocation.
(Inception day: July 25, 2014)

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The fund pursues mid- to long-term absolute returns on the investments. Its portfolio aims to achieve stable returns by adjusting the allocation of investments in U.S. bond futures, stock price index futures, and currency futures (dollar/yen) according to the signs based on the RM model and by controlling the risks.

European Active Asset Allocation
(Inception day: December 25, 2014)

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The fund pursues mid- to long-term absolute returns on the investments. Its portfolio aims to achieve stable return by adjusting the allocation of investments in European bond futures, stock price index futures, and currency futures (euro/dollar) according to the signs based on the RM model and by controlling the risks.

Cash Management
(Inception day: October 7, 2016)

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Pursues mid- to long-term absolute returns on investments. Aims to secure low-risk, stable returns as an alternative to current deposits of the BOJ for financial institutions by investing mainly in Japanese government bonds that mature within one year and call loans, while also making limited investments in bond futures (less than 30% of the AUM) and stock price index futures (less than 10% of the AUM) based on the signs of the RM Model.