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RISK MANAGEMENTAs a specialist investment management firm that is trusted by our clients to beat a specific benchmark, we define risk as a situation that can lead to us not delivering what we are entrusted to do. There is an array of risk management tools at our disposal, the main tool being the establishment of proper risk management parameters in order mitigate risk. Here are examples of some of the risk parameters that we use for some of our long-only mandates:
Description | Limits |
---|---|
Core Manager Limit | 30% |
Satellite Manager Limit | 15% |
Temporary Cash Limit | 40%, falling to 10% if the holding period exceeds 90 days |
Specialist Credit Manager Limit (in-house target) | 7.50% |
Number of Managers | >4 |
Liquidity | >50% in managers that provide monthly or better liquidity |
Look-through Duration Exposure Limit | Benchmark modified duration +/- 2 |
Look-through Credit Exposure Limits | Weighted average credit quality better than A- <40% in instruments worse than BBB <60% of non-government exposure exposed to any one economic sector <15% in non-debt assets (property, equity) |
Asset Class | Limits |
---|---|
Inflation-linked Assets | >50% |
Nominal Assets | >-10% |
All Assets | 75% - 125% |
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TriAlpha is a licensed Financial Services Provider in terms of section 8 of the Financial Advisory and Intermediary Services Act, 2002 (Act no. 37 of 2002) FSP License No. 28090.
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