Risk management aims to ensure that risks are identified, measured, monitored, and managed in a consistent and transparent manner, and that risk-taking remains within the limits set by the governing body.
Financial Risk Framework
The Fund’s financial risk management is integrated into the investment process and covers all asset classes and strategies. Risk is managed relative to the Fund’s investment mandate, strategic benchmark, and defined limits.
The main financial risks:
Market Risk
Market risk is the risk of losses due to movements in equity prices, interest rates, credit spreads, inflation, and other market variables. Market risk measures are assessed both on a standalone portfolio basis and relative to the strategic benchmark, and are continuously monitored:
Value-at-Risk (VaR and CVaR)
Duration
Tracking error
Volatility
Stress tests and scenario analysis
Risk reports show how different market movements would affect the Fund’s investment portfolio value and performance relative to the benchmark.
AS OF 30.06.2026 | |
|---|---|
Annual VaR* 95% | Annual CVaR* 95% |
6.2% / $4,558M | 7.8% / $5,734M |
* Calculated using Monte Carlo simulations over a weekly horizon with 3 years of data, applying a decay factor 0.97 and not considering foreign exchange rate effects.
Credit Risk
Credit risk is the risk of loss arising from a counterparty’s failure to meet its contractual obligations. Credit risk arises from fixed income investments, derivatives, and cash and money-market placements, among other sources.
Credit exposure is managed through:
Credit quality requirements
Exposure limits by issuer and counterparty
Collateral arrangements
Continuous monitoring of creditworthiness
AS OF 30.06.2026 | |
|---|---|
1.3% | A |
* Calculated based on the ratings provided by Moody’s, S&P, and Fitch.
Refer to Table 3 for related limits.
Liquidity Risk
Liquidity risk is the risk that the Fund cannot meet its payment obligations or rebalance the portfolio without incurring significant costs.
Liquidity risk management ensures that:
The Fund can meet expected and unexpected cash outflows
The portfolio can be rebalanced during periods of market stress
Liquidity is monitored at both asset-class and total-portfolio levels, including stressed market conditions. Liquidity risk is managed through:
Daily liquidity gap analysis to monitor and assess potential funding mismatches
Maintaining the investment portfolio predominantly in highly rated and liquid instruments
Establishing and monitoring minimum limits for cash and cash equivalents
AS OF 30.06.2026 | |
|---|---|
Cash and cash equivalents as % of assets under management | Cash and cash equivalents amount |
2.4% | $1,714M |
Refer to Table 3 for related limits.
Risk Limits
Risk limits defined by the Investment Guidelines, the Investment Policy and internal documents are fully aligned with the Fund’s investment objectives and risk tolerance. These limits cover, among others:
Table 1. Sub-portfolio Allocation | |
|---|---|
SUB-PORTFOLIO | LIMIT |
Fixed income | ≥30% (−10% deviation) |
Equities | ≤25% (+3% deviation) |
Real Assets | ≤10% (+3% deviation) |
Gold | ≤35% (+4% deviation) |
Table 2. Currency Limits | |
|---|---|
CURRENCY | LIMIT |
USD, Gold, EUR, GBP | ≥85% |
Others | < 15% |
Table 3. Risk Limits | ||
|---|---|---|
LIMIT TYPE | MEASURE | LIMIT |
Market Risk | Weighted average duration deviation from benchmark | no more than ±0.5y |
Tracking error (bps) | For fixed income: 100–150 | |
Credit Risk | Single issuer / exposure limit | ≤10% of the Investment portfolio |
% of fixed-income investments rated BB− or lower (B− or lower) | ≤5% (≤1%) of the Investment portfolio | |
Liquidity Risk | Minimum liquidity requirements | USD 100 million in highly liquid short-term investments |
Other limits | Total allocation to external asset managers | ≤60% of the Investment portfolio |
Single external asset manager limit | ≤5% of the Investment portfolio | |
For alternative investments | Single General Partner — ≤20% | |
Single fund — ≤10% | ||
Single asset — ≤5% | ||
Compliance with limits is monitored on an ongoing basis. Any breaches are reported, analysed, and addressed according to established procedures. These analyses support decision-making and ensure awareness of downside risks.
Stress Testing & Scenario Analysis
Stress tests and scenario analyses are used to assess how the portfolio would perform under extreme but plausible market conditions, including:
Severe equity market downturns
Sharp interest-rate changes
Credit market disruptions
Liquidity shocks
Scenario analysis is performed using two approaches: historical scenarios (market shocks from past periods) and hypothetical scenarios (those that may occur in the future).
Table 4. Stress Test Scenarios | As of 30.06.2026 | ||
|---|---|---|---|
SCENARIO TYPE | SCENARIO NAME | DESCRIPTION | MARKET VALUE CHANGE* |
HISTORICAL | Financial Crisis 2008 | Global Financial Crisis, Black Week: Oct. 3 and Oct. 10, 2008 | −2,9% |
HYPOTHETICAL | Stagflation | Inflation remains persistent and growth is sluggish in the medium term. | −8.4% |
Inflation resurgence | High inflation and interest rates weigh on growth for an extended period. | −5.8% | |
Tech sell-off — growth | Growth concerns dominate, triggering a dot-com-style yield curve steepening. | −5.0% | |
*All figures include FX movements.