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Vaca Creek Asset Management is an asset management and
consulting firm providing portfolio management, risk management and global macroeconomic research and analysis for hedge funds,
single and multi-family offices, and small institutions. Portfolio analysis, construction, optimization, hedging
and risk management modeling are tailored for each portfolio. Vaca
Creek is founded and run by Jonathan Sadowsky, Chief Investment Officer and Risk Manager. He is a securities industry
professional with over nineteen years experience on both the buy-side and sell-side, leveraging a strong engineering and quantitative
background to focus on macroeconomic analysis, risk management and modeling, analyzing and structuring of portfolio risks.
He is proficient in macro portfolio construction and asset allocation to effeciently manage portfolio risks and optimize the
risk-reward characteristics of a portfolio. Risk Management - Developed full complement of customized market risk metrics for multi-asset portfolio (including
equities, sovereign bonds (incl. TIPS), corporate bonds (HG and HY), commodities and currencies; as well as ETFs covering
all asset classes with full detailed look-through).
- Manage risk daily by monitoring
portfolio's risk characteristics from high level asset class risk to industry risks to credit specific risks; Other factors
incl. correlations, volatility and relative beta.
- The above detailed risk metrics,
coupled with the use of ETFs allow for both targeted risk positions as well as specific hedging strategies.
- Using similar risk buckets, PNL attribution is also calculated to obtain a clear picture of risk-reward
profiles and understand where expected and excess returns were coming from.
Portfolio
management, construction and hedging - Develop customized strategies for global
portfolios focused on macro positioning and fixed income (credit and rates). Define tolerances for risk and structure of capital
appreciation versus income.
- Structure dynamic optimized portfolios based on
client's situation, risk and return profiles, investment mandate and time horizons to provide alpha and downside tail risk
protection in all market environments.
- Focus on asset allocation among equities,
credit (corporate bonds; other spread products) and rates (Treasuries, sovereigns, TIPS) based on macroeconomic analysis and
relative value.
- Use quantitative and qualitative analysis to maximize the portfolio's
risk adjusted return while macro hedging to protect against downside tail risk when needed.
- Non-core macro investments in commodities and currencies where those markets provide a more efficient mechanism
for expressing market viewpoints (for example short yen and not JGBs or long gold in Euros and not dollars).
Macroeconomic research and analysis - Quantitatively
and fundamentally analyze global macroeconomic conditions and drivers, central banks actions and balance sheets, sovereign
budgets and deficits, inflation metrics, default probabilities, geopolitical factors, et al, to model directionality and structure
of economic growth.
- Use above analysis to recommend macro portfolio positioning
and risk composition.
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