How does the strategy work?

The two most important macro factors in investing are growth and inflation. Changes in their expectations are root causes of repositioning and thus money flows towards more attractive assets. This is creating trends because markets are not perfectly information-efficient (slow diffusion of information), herding behavior exists and the over-and-under reaction of investors additionally amplify movements.

Our investing approach uses those effects to allocate towards positive trends (absolute momentum) and their relative attractiveness (cross-sectional momentum). There is strong academic evidence for both effects in a broad range of assets and in different geographical markets.

In the final step, a sophisticated portfolio construction selects an attractive allocation in terms of risk and reward within the given risk budget.