Who we are
Who we are
Fortinbras is a private investment boutique. Founded in 2004 our origins are in systematic trading strategies for the interest rate and fixed income markets. In the past we partnered with leading, global investment banks who created and distributed structured product where some cumulative €2.5 billion in assets were raised for these strategies. In 2017 we sold off the third-party asset management business and now focus on a broad range of investment themes around renewable energy production, power trading and environmental commodities.
Strategies
As a specialized investment boutique, Fortinbras designs algorithmic trading strategies in the energy and rates markets and works with global structuring partners to create customized delivery platforms for institutional investors. Here are some of our programs:
EPM: Emission Possible Model
STIRM: Short Term Interest Rate Model
STIRM: Short Term Interest Rate Model
TFM: Three Factors Model
TFM: Three Factors Model
PRISM: Proxy Inflation Selection Model
PRISM: Proxy Inflation Selection Model
Pipeline Development
Pipeline Developement
Miranda Energy GmbH
“Miranda Energy GmbH
In 2015 we set up Miranda Energy GmbH in Germany as a holding company for our solar power plants. To hedge our production against the increasing frequency of negative power prices we recently executed a day-ahead swap with a major European utility. We pay a daily fixed rate and receive a floating rate consisting of the highest hour minus the lowest hour of the day-ahead auction (a so-called TB1 spread) and settle financially. Overlaying this derivative on our portfolio of PV plants increased our overall capture rate from 50% to 66% last year.
Going forward, we believe European power price volatility will increase as renewable deployment out-paces flex investment. To monetize that phenomenon, we are now launching our Volatility Transfer, Asset-Linked (“VOLTAL”) strategy where we are building a portfolio of power price-linked derivatives like DA swaps, BESS revenue floors and flexibility purchase agreements. Such structures essentially offer flex owners a (bankable) fixed revenue off-take and thus improves their financing conditions. Using standard (ISDA) documentation makes these transactions quick and easy to execute.
In 2015 we set up Miranda Energy GmbH in Germany as a holding company for our solar power plants. To hedge our production against the increasing frequency of negative power prices we recently executed a day-ahead swap with a major European utility. We pay a daily fixed rate and receive a floating rate consisting of the highest hour minus the lowest hour of the day-ahead auction (a so-called TB1 spread) and settle financially. Overlaying this derivative on our portfolio of PV plants increased our overall capture rate from 50% to 66% last year.
Going forward, we believe European power price volatility will increase as renewable deployment out-paces flex investment. To monetize that phenomenon, we are now launching our Volatility Transfer, Asset-Linked (“VOLTAL”) strategy where we are building a portfolio of power price-linked derivatives like DA swaps, BESS revenue floors and flexibility purchase agreements. Such structures essentially offer flex owners a (bankable) fixed revenue off-take and thus improves their financing conditions. Using standard (ISDA) documentation makes these transactions quick and easy to execute.
Team
Chris Kennedy
Co-Founder
Chris Kennedy is Co-Founder and Chief Investment Officer of Fortinbras Asset Management. Chris began his career in 1990 at Citibank in Frankfurt trading foreign exchange and short term interest rate derivatives. At Fortinbras he has overall responsibility for the investment portfolios as well as the general management of the group. He received both a BA and MA from Emory University in 1990, graduating summa cum laude and Phi Beta Kappa, and his MBA from The Wharton School of the University of Pennsylvania in 1997. He enjoys classical guitar and competitive swimming.
Jochen Renz
CO-Founder
Jochen Renz was Co-Founder of Fortinbras Asset Management. Jochen began his career in 1987 at Citibank in Frankfurt where he created a systematic algorithm called the Bond Trend Model and was responsible for the quant trading and fixed income research division. At Fortinbras he was responsible for model development and risk management infrastructure. He graduated from the University of Karlsruhe with a degree in mathematics in 1987. In his youth Jochen was the junior chess champion in Germany and still maintained an ELO over 2000.
In summer of 2018 Jochen contracted cancer and passed away in December of last year. His presence and leadership is painfully missed.
Simon Crooks
partner
Simon is founding partner of Quantitative Strategic Investments (QSI) and has partnered with Fortinbras on several pipeline projects since 2016. Previously he worked as a discretionary portfolio manager at Graham Capital LLP trading a portfolio of systematic strategies. He left AHL in June 2011 to join Graham Capital, initially as a Senior Research Manager, mandated to build and manage the stand alone London research group, before becoming a PM in February 2013. Prior to this he was the portfolio manager of AHL’s flagship $30bn (at its peak) diversified program where he held senior responsibility for portfolio construction and trading system decision making, and was a member of the investment committee.
Simon was a post-doctoral researcher in the Physics Department at the University of Oxford where he worked on probabilistic-based modelling of climate change and was a member of the Nobel Prize winning Intergovernmental Panel on Climate Change. He holds a BSc in Mathematics from the University of Manchester Institute of Science and Technology, an MSc in Applied and Computational Mathematics and DPhil in Physics, both from the University of Oxford.
Lee Bostock
partner
Lee is founding partner of Quantitative Strategic Investments (QSI) and has partnered with Fortinbras on several pipeline projects since 2016. Previously Lee worked as a discretionary portfolio manager at Graham Capital LLP trading a portfolio of systematic strategies. He joined Graham Capital in June 2012, initially as a systematic strategy researcher. Prior to this he spent 3 years at AHL, the CTA arm of Man Group Plc where, as part of the fixed income group, he was responsible for the portfolio management and development of the firm’s fixed income and credit strategies (with respective allocated FUM of $17bn and $1bn at their peak).
Before joining AHL Lee worked on the structured credit desk at Barclays Capital where he traded the exotics and hybrid credit book, including quantitatively driven portfolio products, and was a member of the pricing and risk trading team for synthetic CDOs. He joined the trading desk in January 2006 having worked as a quantitative analyst supporting the same desk since 2004. Before joining Barclays Capital Dr Bostock was a quantitative analyst in the fixed income and credit research group at Citigroup. He holds a BSc in Computer Science from the University of York, an MSc in Financial Engineering and Quantitative Analysis from the ICMA Centre at the University of Reading and a PhD in Quantitative Finance from Imperial College, London.
Contact
Email: office@fortinbras.com
Telephone: +43 (1) 25 300 25 – 352
Fortinbras Asset Management GmbH
Tuchlauben 7a
A – 1010 Vienna, Austria
Fortinbras is proud to be an equal opportunity workplace. We are registered in the Austrian companies registry (Firmenbuch) under the number FN 281026z with managing director (handelsrechtlich) being Christopher John Kennedy. Our VAT ID is ATU72796218.
This website is not an offer to, or solicitation of, any potential clients or investors for the provision by Fortinbras of asset management, advisory or any other related services. No material listed on this website is or should be construed as investment advice, nor is anything on this website an offer to sell, or a solicitation of an offer to buy, any security or other instrument.
Strategies
Team
- Christopher Kennedy
- Jochen Renz
- Simon Crooks
- Lee Bostock
Contact
- +43 (1) 25 300 25 – 352
- office@fortinbras-am.com