Who we are

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 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 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 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.

European power price volatility will increase as the growth of renewables out-paces the deployment of flexible assets. Over the past five years the spread between the highest and lowest day-ahead hourly power prices has tripled, and this trend will continue as Europe plans to add almost 4x as many gigawatts in solar and wind as in energy storage like batteries by 2030.

Paying fixed rate and receiving floating on DA swaps, BESS revenue floors and flexibility purchase agreements.

The portfolio currently consists of 60MWh of such instruments.

2025 – present.

We use our Miranda Clean Energy GmbH subsidiary as vehicle to execute our VOLTAL strategy.

BESS owners, commodity traders, energy utilities.

Directional persistence of central bank base rates creates trends in front end of the yield curve. Research shows that 80% of the time policy rates are raised or lower in the same direction as the previous move with a fluid transition mechanism of this autocorrelative behavior to tradeable instruments. Additionally, recent innovations in forward guidance term-out this momentum to further parts of the yield curve.

Global portfolio of short-term interest rate futures traded on a long / short basis according to a trend following model.

2006 – 2015

€980 million

Capital protected structured notes, UCITS fund, trading IP licensing agreement

UBS AG, London

Changes in the level, slope and curvature of the term structure account for the vast majority of bond portfolio returns. Studies show that up to 99% of (non-credit) fixed income performance is derived by movements in the absolute level of rates, the steepness of the term structure and the convexity or concavity of the curve. A strategy that encompasses all three of these factors offers more efficient portfolio immunization than single point during hedging.

Interest rate swaps in three maturities ( 1 year, 2 year and 5 year ) and four currencies ( USD, EUR, GBP and CHF ) on payer / receiver basis.

2008 – 2017

€850 million

Index-linked delta-one certificates, UCITIS fund, excess return swaps, options cliquets

Credit Suisse AG, London

Excess absolute returns can be extracted from the de- and inflationary process using surrogates that show conditional correlation with CPI. By systematically trading a portfolio of futures as proxies, the inflation risk premia offer a unique source of alpha generation with better fitting and more liquid underlying assets than break-evens. This is not an inflation hedge, but rather a systematic manner of exploiting upward and downward movements in inflationary developments.

Commodity, FX and bond futures traded with a slow moving, channel break-out momentum model.

2011 – 2016

€65 million

Structured notes, index-linked total return swaps.

Deutsche Bank AG, London.