The Gutmann investment methodology

The Gutmann investment methodology is a disciplined process characterised by the systematic synthesis of Gutmann’s market assessment and client-specific influencing factors. It is only by the combination of these two components that an investment performance can be achieved that meets the client’s needs. The Bank’s investment process relies on three distinct models.

The fundamental model

With the fundamental model, decisions are based on Gutmann’s assessment of the market taking into account constraints defined by the client. The model is based on the following factors:

  • Implementation and continuous adjustments guided by Gutmann’s expertise and selection process
  • Implementation with a strong focus on individual preferences regarding funds, individual securities and dividend strategy
  • Reliance on fundamental factors to assess the macroeconomic environment and the resulting trends in the financial markets
  • Consideration of microeconomic and macroeconomic factors ranging from corporate earnings to inflation forecasts
  • Use of proprietary indicators for a better assessment of economic developments in the G7 countries
  • Consultation of external research partners from world-wide leading providers of independent global investment research including, among others, BCA (Bank Credit Analyst), GaveKal, and Woody Brock of SED (Strategic Economic Decisions)

The quantitative model

The quantitative model is based on a mathematical allocation model developed by Dr. Gerd Infanger, Professor at Stanford University. This model operates within set ranges and is designed to also include opportunities defined by Gutmann. The model is characterised by the following aspects:

  • Two-pronged portfolio construction:
    • 90 percent of the portfolio is invested in accordance with the mathematical allocation model in funds selected by Gutmann, with monthly adjustments
    • 10 percent is invested in accordance with in-house views in other segments, regions and asset classes not included in the mathematical allocation model (continuous adjustments, special consideration of strategies to reduce volatility and exploit opportunities)
  • Optimisation of risk exposure
  • Reduction of downside potential through high diversification
  • Continuous monitoring of target achievement and timely and flexible response to changes in the market
  • Selection of sub-funds after careful analysis, with due regard to quantitative and qualitative assessment criteria

The hedging model

Like the hedging model is based on the mathematical allocation model developed by Prof. Gerd Infanger from Stanford University. It provides active risk management and is designed to limit setbacks to a defined maximum. The model comprises the following aspects:

  • Fully mathematical allocation model investing exclusively in highly liquid asset classes by means of ETFs and individual bonds
  • The historical performance of individual asset classes and their correlations are taken into account
  • High activity of allocation decisions on a monthly basis
  • The deviation from the benchmark may be significant but is risk-controlled
  • The limitation of downside potential from each historic high is the most important criterion (risk management)