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The dynamic asset allocation on the level of broadly diversified asset classes is based on options. The idea of Fischer Black and Myron Scholes was awarded the Nobel Prize and is the starting point of our systematic valuation model.
The core of the model are risk neutral probabilities of the asset classes to be managed. The strict rules-based valuation model calculates the allocation quotas of the asset classes by using risk estimators. Quotas are adjusted on a periodic basis.
The scientific based valuation model leads to the following return and risk characteristics:
- Sustainable and systematic limitation of the loss potential
- High participation in the return potential of the risk taker
- Strong asymmetric right-skewed return distribution
- Very good diversification characteristics
The valuation model operates rules-based only without explicit return prognoses. Therefore the model is very suitable for simulations and – unlike “conventional” retrograde calculations – delivers valid model results.
Monte-Carlo-Simulations confirm the core characteristics of the valuation model, especially the sustainable and systematic reduction of the loss potential.
