Holistic Investment Management - A Systematic Approach for Managing Complex Portfolios

Managing complex portfolios can be a daunting task and is typically very time consuming. In this paper we propose to take a more holistic view on the investment universe in scope. In order to understand the dynamics of the individual investment universe, it is important to have a model, which can help to measure the relevant properties of this universe.

We introduce the concept of “Geometric Shape Factors” (GSF), which allows to dynamically manage the investment portfolio by providing clear and intuitive guidance on when it is reasonable taking additional market risks and when not. With a “real world” production example, we show for a portfolio of bonds and precious metals that the GSF concept provides better risk adjusted performance than typical approaches (e.g. minimum variance optimization).