Investment Approach:
EMI’s objective is to generate attractive returns with controlled and quantifiable exposure to any market direction. EMI combines systematic and qualitative methodologies to seek the most attractive directional exposure to own with diversified risk exposures across a wide variety of assets globally.
EMI seeks to profit from a global, multidisciplinary approach that uses a variety of trading strategies, including, among others, model-based trading and relative value trading. EMI invests in a broad array of asset classes and derivatives based on different market scenarios.
Risk Management Approach:
EMI measures risk, allocates capital based on expected risk-reward and reduces material draw-downs by managing risk concentrations and external factors. Risk is calculated in several integrated ways; we estimate equity exposure by a covariance matrix as well as calculate equity exposure by incorporating various proprietary factors. EMI estimates the option risks caused by changes in implied volatility using a multi-factor volatility risk model and Monte-Carlo simulations. Additionally, the portfolio is further tested and stressed by simulating extreme event driven scenarios (e.g., market crash and rise in implied volatility.) Risk is then allocated taking into account both the expected return of the strategy and the risk associated with such a strategy. In addition, consideration is given to the correlation between strategies.