Nephila believes that our analytical framework is particularly valuable in our markets since they are opaque, inefficient and have not been subject to the rigors that transparency imposes. We have built an extensive team which is very analytically driven. The proprietary systems we have developed, which are crucial to analyze individual risks and to build portfolios based on changing market environments, are all based on internal research initiatives.
Nephila's approach is best manifested in our internal research initiatives, whereby our analytics and trading teams identify issues that warrant exploration and conduct research to advance our understanding of the particular issue. The research is formalized in a report containing: a statement of the problem, the data used in the analysis, the methodology employed and the conclusion reached. The reports are circulated internally and often made available to investors. This approach has the benefits of allowing peer review, disseminating knowledge throughout the organization, building institutional memory and providing a method for educating and training new employees or employees moving to a new position.
Our research focuses can be divided into three primary areas: 1) Risk Assessment, 2) Market Dynamics and 3) Portfolio Construction.