Our experience has provided us with both a deep respect for and understanding of disciplined risk management.
Limit the Risk
We have created a set of absolute limits designed to ensure our portfolios are both diverse and robust.
- Minimum 85% investment grade
- Minimum 60% Canadian and US securities
- Maximum 10% exposure to a corporate issuer
- Maximum leverage of 6x (inclusive of both credit and interest rate strategies)
- Maximum 10% in alternative instruments
Understand the Risk
Risks are clearly quantified on an intra-day basis.
- Detailed and exhaustive set of risk metrics updated throughout the trading day
- Profit and loss decomposition calculated daily
- Portfolio stress tested through over one hundred market scenarios
Manage the Risk
We dynamically manage and hedge downside risks with the objective
of capital preservation.
Through quantitative research, macro analysis, and our robust
reporting infrastructure, we assess portfolio risks against prevailing
market conditions. Exposures are managed by adjusting leverage, the
quality and maturities of securities, and through the use of various