Chapter · Methodology
A belief that markets run on liquidity and behavior is only useful if it turns into rules a portfolio can follow on a Tuesday.
The Philosophy page explains the philosophy in the abstract. This page shows what the philosophy does while building a portfolio.
The process
Tzur Magen.
Three stages, run in order, quarter after quarter.
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Step One 21 → 7 Narrow the universe
We start with a global asset universe of 21 distinct asset classes (equities, fixed income, commodities, and currencies) and reduce them to a working shortlist of 7, based on prevailing market conditions, current signals, and where risk is asymmetric.
The 21 asset classes
Equities, fixed income, and alternatives: a broad cross-section of global markets from which the 7 that carry the quarter are chosen. Narrowed quarterly to the set that fits the regime.
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Step Two 5 Analyze the constituents
Inside each surviving asset class, we look at what it is made of. Five dimensions of analysis run in parallel, not to average them, but to see when they disagree.
Fundamental
Earnings, cash flow, balance-sheet strength.
Technical
Trend, momentum, mean-reversion signals.
Cyclical
Where we sit in the broader rate and credit cycle.
Sentiment
Positioning, flows, crowded vs contrarian.
Macro
Rates, currency, geopolitics, liquidity.
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Step Three How Craft the position
Only when we know where to invest do we decide how. The same idea can be expressed as a long, a spread, a hedged pair, an option structure, or a call on cash. Each carries a different risk-and-reward profile. We prefer the expression that captures the idea with the least fragility.
Position shapes we consider
Cash is a position, not the absence of one. When nothing deserves capital, holding it is the discipline.
Four things that run through all three stages
The discipline underneath.
- 01
Reconstituted quarterly
The whole portfolio is re-examined from the ground up each quarter, not incrementally tweaked.
- 02
Rebalanced weekly
Individual positions are re-tuned as prices drift between our targets and stops.
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Discretionary
A human decision at every stage, not an all-or-nothing response run by a blind algorithm.
- 04
One model, one process
Every client runs the same core discipline. Reasonable client-level adjustments (more aggressive, hedges left off, specific exclusions) are honored on top of it. Around 80% of the process is the same for everyone; the rest fits the client.
What it costs you
The strategy is ours. The fee is the firm's.
There is no management fee. I am paid a share of the excess gain above a defined threshold, quarter by quarter, above a high water mark. Below the threshold, I am not paid at all. Above it, the fee applies only to the excess.