Systematic Risk Management

We take a multi-layered approach to risk management, which is 100% systematic with 24 hour manual oversight. Our standard programmes have predetermined risk levels for every strategy, trade and instrument, which are actively managed and monitored on every tick. We can also apply specific risk parameters to individual accounts in order to reflect different clients’ preferences.

  • Layer 1: Portfolio Builder – In our portfolio builder, we apply leverage and volatility limits, optimising the reward to risk ratio in order to maximise return and return consistency for a level of risk.

  • Layer 2: Exposure Limits – We apply further protection by limiting the amount of exposure to a single factor, strategy or ‘bucket’ of strategies.

  • Layer 3: Stop Losses/Risk Rules – We have hard stop losses and risk rules, for example to cap losses at a maximum daily drawdown, or max loss per strategy.

  • Layer 4: Operational Risk Management – We have resilient architecture with fail safes covering everything from execution management to server failures and catastrophic events.

  • Layer 5: Alert System – Although our system manages risk entirely systematically, as a backstop we have an in-built alert system which issues warnings if we are approaching a risk limit, or if there is a problem with the system or a counterparty.

The information contained in this website is for informational purposes and is not an offer to purchase or a solicitation of an offer to purchase an interest in any Savernake product.

This website is not intended to provide investment or other advice, and nothing contained in this website is a recommendation to buy, sell or hold and security or other investment. 

Please click here to read our Data Privacy Policy.

Savernake Management Limited is registered in Guernsey (Company Reg. 62121) and regulated by the Guernsey Financial Services Commission (2269051)


© 2019 by Savernake Capital Limited