We take a directional position based on the macro environment and bank fundamentals. We categorize banks stylistically and utilize macro factors to weight the style categories, and then identify catalysts within each category for individual security selection. Fundamental research is supported by quantitative screening, thorough risk management, including regional and style concentration limits, and selectively outsourcing trading execution. We seek to optimize the portfolio with lower correlations to the broader market indexes and favorable risk-adjusted returns.
