Portfolio Construction Framework

The client wanted to develop a robust, demonstrable, well-articulated portfolio construction process that was aligned with its investment philosophy and optimized for risk management with a more evident quantification and monitoring of exposures at the aggregate portfolio level. We were engaged by the client to help build its portfolio construction framework ensuring alignment with their objectives.

What we did

We focused on incorporating the stock selection expertise of the client in the portfolio construction process and ensuring management of exposures at a country, sector, and style level. As part of this engagement, we:

  • Incorporated the client’s alpha generation approach into an optimized portfolio construction process to bring more transparency and consistency
  • Established an oversight framework and guidelines on exposures and active risk positions at various portfolio levels
  • Established a formalised process to monitor, escalate, challenge, and manage unintended risks and exposures

Our impact

  • The client’s senior management gained sufficient transparency and oversight in the construction of the portfolio and investment process
  • The client was able to better articulate the investment approach and more effectively market funds with an institutional standard portfolio construction process
  • The client’s investment team had better control over the process and were able to optimize and manage the portfolio for unintended risks and exposures on a timely basis

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