At AGI Capital, the goal of risk management is to balance risk and reward and to ensure that in meeting its performance objectives, we do not incur any unwanted or unintentional risk. Because risk is multi-dimensional, AGI Capital uses a forward-looking process that identifies both intended and unintended risks in the portfolio. This process is carried out by its dedicated Risk Management group in conjunction with the investment teams.
While the investment teams apply risk management guidelines to the construction and maintenance of all portfolios, the Risk Management group applies returns-based statistical factor analysis, security-based fundamental factor analysis and a series of stress tests that examine liquidity, volatility and value-at-risk. The Risk Management group meets with each investment team regularly to ensure that the risks in the portfolios are fully understood and appropriate for each strategy. Risk measurements include: up/down market analysis, annualized alpha, information ratio, tracking error on an absolute basis and against peers, analysis of country and sector weights and returns.
The Risk Management group is led by Douglas Stone, Senior Vice President, Director of Research and Risk Management. Mr. Stone, a co-developer of the Salomon-Russell Indices and a member of the advisory Board of the Journal of Investing, has over thirty years of investment industry experience. Mr. Stone reports to Horacio Valeiras, CFA, Managing Director and Chief Investment Officer.