Aurora Investment Process

Step 1: Macro-Economic Analysis Step 2: Risk Management Analysis Step 3: Asset Class Allocation Step 6: Rebalancing and Trading Step 5: Portfolio Optimization Step 4: Security Selection (by asset class)

Selecting securities to populate portfolios is a first step. These individual securities have very different properties than the portfolios of which they are a part as a result of the cross correlations between the various securities (how they perform versus each other) and their non-coincident behaviors.

We manage portfolios to strict quantitative criteria, so we constantly monitor and adjust them to ensure that we manage clients’ portfolios to their risk expectations. Additionally, we attempt to optimize portfolio performance in accordance with modern portfolio theory, which means we attempt to find the highest return consistent with the risk being assumed and our analysis of macro-economic and capital markets changes.