Reduced volatility exposure to the Greek market
Target: To achieve higher returns than the FTSE/ASE Large Cap index at a lower level of volatility over the recommended holding period of 5 years.
Investment methodology: The exposure to stocks depends on the relative dynamics developing between different sectors. Index, sector and intermarket arbitrage. Medium-term investment positions. Market timing with the use of leverage. Speculative investments with the use of strict stop-loss limits.
Investment universe: Greek stocks, Greek Government Bonds and T-bills, bonds of Greek companies issued in Greece and abroad as well as index derivatives (both futures and options). Stock futures listed in the Athens Stock Exchange.
Risk management: We target ex-ante volatility levels below that of the FTSE-25. Leverage is limited by the volatility target and its use is restricted to arbitrage and spread trading. Selective risk hedging is applied through short positions and index futures.