SEB Group (Asset Selection


Fund Investment Objectives

SEB ASSET SELECTION acts within the tactical asset allocation space. i.e. the team tries to generate positive returns by actively taking long and short positions in four different asset classes - equities, fixed income, currencies and commodities. There are studies showing that asset allocation is responsible for some 90% of the returns of a normal portfolio and that only 10% is attributable to security selection decisions. The Global Quant Team has developed their own systematic proprietary quant-model. The model is run on a daily basis and generates transactions on a daily basis. Individual transactions are never overridden by manual considerations or subjective views. Only extreme market circumstances would prompt the portfolio manager to interfere with the model. In case of interference, it would only be done to reduce risk, never to increase risk to a higher level than the model prescribes. Since inception of the fund, there has been one instance so far, when the portfolio risk was manually reduced (by scaling down all positions in a proportionate way). The model is trying to forecast the 1-3 month development of some 40-50 futures instruments in four different asset classes. The model takes both long and short positions and has no default exposure to any of the four asset classes. The default position is in short term government debt instruments, i.e. instruments generating the risk free rate of return. The model has been optimized to achieve a low correlation towards equities and bonds over time. The team estimates that the long term average correlations to both of these asset classes will be within the interval +/- 0.2. This way, the fund should be a very interesting complement in any kind of client portfolio. Assets reported represent total assets traded in the strategy.