Downside Aware Optimization

Portfolio Construction
R&D

Our focus is on providing portfolios designed to minimize downside risk in all macro enviroments. This has lead us to explore the use of full scale optimization using nonlinear utility.

Distribution forecasts conditional on macro environment

Forecasting
R&D

The forecasts are for the entire distribution, and consequently require robust methods of estimating. Kiema employs a method that allows for cross sectional and time series dependence seen in the data.

Style and Asset rotation

ETF Portfolios
Production

Currently we are providing ETF portfolios that rotate among style and asset classes, these are updated weekly.