The stocks of troubled Silicon Valley Bank, Signature Bank and Credit Suisse have been excluded early on from the OLZ investment universe of our global and Swiss funds by the OLZ proprietary risk filters (the latest by February 14, 2023). These stocks were removed by our short-term volatility indicator and thus did not even enter the portfolio optimization step of our systematic minimum-risk strategy. As a result, clients were neither directly affected by last week’s collapse of Silicon Valley Bank and Signature Bank, nor by the current turmoil around Credit Suisse.
Several further banks which recently suffered heavy losses due to their interest rate risk exposure have also been successfully avoided by our risk-based approach, e.g., First Republic Bank, Ally Financial, Wells Fargo, and Commerzbank, among others. The insolvent cryptocurrency institute Silvergate Bank has never been included in any of the universes as it does not belong to the MSCI World index.
This serves as a testimony to the added value of our recently introduced proprietary OLZ risk filters and highlights the importance of proper risk management in today’s complex market environment. For more information, read our January blog article about the recent OLZ model changes.
