Strategies and risk
Fortage’s quantitative strategies are based on the trading statistical systematic forecasts, generally based on technical inputs or on macroeconomic data.
The combination of diversification in trading strategies and underlying assets, together with an exhaustive risk control and execution optimization, has yield to us solid and consistent results, as well as decorrelated performance to the financial markets and global trends.
Mikkel Thorup
Head of Quantitative Investments (FFT)
"A guiding principle in our approach is that risk and portfolio are not separated".
Long-term approach
Some outsiders might say we have an obsession with risk management, and we’d have to agree.
We believe a key difference between firms that survive and thrive over the long run and those that don’t is risk management.
Monitorization
Formed by a team with a broad experience in the underlying assets invested, it uses state-of-the-art technology to monitor the active investment models in force, their allocated risk, and execution.
We use stylised test models to explore the impact of, and interaction between, different statistical assumptions.
We also use simulations for a range of purposes, from the conception of each individual strategy, to portfolio risk management and the regular stress tests.
We’re always looking to improve our investment strategies, measuring our results as we go along. This allows us to make significative trading decisions, with one eye on generating real alpha, and the other on effectively managing risk.
