As portfolio managers, we establish investment parameters to align with market expectations for the academic year, ensuring a structured approach to portfolio construction, performance targets, and risk exposure. These parameters serve as a foundation for decision-making and portfolio governance. While they are reviewed and set at the beginning of each cohort, adjustments may be made in response to changing economic conditions or emerging investment opportunities.

Our risk-return framework balances long-term capital appreciation with active risk oversight, ensuring diversification, systematic rebalancing, and disciplined position sizing.

Performance Metrics 

• Total Return Target: 19% – Expected portfolio return based on strategy implementation and market conditions.
• Alpha Target: 2.75% – Measures excess return above the benchmark due to active management.
• Sharpe Ratio: ~1.0 – Evaluates risk-adjusted return relative to total volatility.
• Sortino Ratio: ~1.0 – Focuses on downside risk-adjusted performance.

• Annualized Standard Deviation: 12% – Expected portfolio volatility, balancing risk and return efficiency.
• Beta: 0.7 – Maintained below market beta (1.0) to reduce systematic risk exposure.
• Maximum Drawdown: 20% – Limits potential peak-to-trough losses in market downturns.
• Idiosyncratic Risk Limit: 20% – Caps risk attributable to single-stock or asset selection.
• Treynor Ratio: ~0.15 – Evaluates return efficiency relative to market risk.

• Single Stock Exposure Cap: 3% – Prevents overconcentration in any individual security.
• Industry Exposure Cap: 20% – Limits sector concentration risk, ensuring broad industry diversification.
• Systematic Strategy Position Limit: 20 stocks – Ensures diversification in quantitative strategies.
• Rebalancing Frequency: Quarterly – Realigns portfolio allocations to maintain target risk exposures.