Value at Risk (VaR) is a cornerstone of risk management, celebrated for its standardisation, ease of calculation, and broad applicability across diverse investment products. In particular, its uniform application allows independent risk monitors to compare widely different investments. However, in this uniform approach lies the pitfall. In dynamic portfolios, adjusting positions during a trade can alter exposures and, consequently, the risk profile. Tailor-made portfolios thrive with tailor-made risk measures.

Luuk joined Transtrend as a researcher about 6 years ago. Before that, he worked for several years as a Quantitative Analyst in the pensions space after finishing his degree in Mathematical Sciences at Utrecht University. At Transtrend, Luuk played a key role in developing medium-term correlation measures. He contributed to modernising the order generation process, which acts as a link between portfolio construction and execution. Additionally, he develops software to enhance overall visibility into the substantial order flow of a systematic hedge fund.

Michael also joined Transtrend 6 years ago. First as an intern and later as a researcher. He acquired his degree in quantitative finance at Erasmus University Rotterdam. In his early years at Transtrend, Michael focused on developing medium-term trading models. Later, he contributed to maintaining cross-asset market risk models. Additionally, he analyses diversifying markets to improve the portfolio.