Adaptive Multi-Asset

Utilizing forward-looking estimates of tail risk from the options market, the strategy seeks to maximize compound returns by mitigating tail losses and profiting from tail gains

Overview

ABOUT THIS STRATEGY

The strategy seeks to dynamically allocate investments based on both potential downside (expected tail loss) and upside (expected tail gain) to lose less in declining markets, participate in the upside to capture tail gains, and earn attractive absolute or relative returns.

INVESTMENT APPROACH

Designed to Maximize Compound Returns
The portfolio seeks to maximize compound returns by mitigating large tail losses and by profiting from large tail gains.

Forward Looking Measures of Risk
We deduce forward-looking estimates of tail losses and tail gains from options market prices. We allocate towards assets that are expected to have limited tail losses and a high tail gain-to-tail-loss ratio.

Absolute Return
Given the multi-asset approach and absolute return orientation, the strategy aims to exhibit lower volatility than equities and bonds.

Featured Insight

January 2020 | Global Perspectives | Investment Outlooks | Tail Risk

Tell Tail Signs: Inflation Potential Shows Little Sign of Abating

Each month, the Adaptive Multi-Asset Solutions Team provides an asset class outlook using options market prices to infer expected tail gains and tail losses.

Featured Insight

April 2020 | Global Perspectives | Investment Outlooks | Tail Risk

Tell Tail Signs: The Post-Crisis Recovery -- V or a W?

Each month, the Adaptive Multi-Asset Solutions Team provides an asset class outlook using options market prices to infer expected tail gains and tail losses.

PORTFOLIO MANAGEMENT

Ashwin Alankar, Ph.D.

Head of Global Asset Allocation | Portfolio Manager

Industry since 2001. Joined Firm in 2014.

Performance

RETURNS (%) (As of 06/30/2020)
Composite Gross Composite Net FTSE 3-Month Treasury Bill Index
 
3M YTD 1YR 3YR 5YR Since Inception
(07/01/2015)
Composite Gross 11.56 -4.09 1.24 3.20 3.72 3.72
Composite Net 11.36 -4.45 0.49 2.43 2.95 2.95
FTSE 3-Month Treasury Bill Index 0.14 0.52 1.56 1.72 1.15 1.18
RETURNS (%) (As of 08/31/2020)
Composite Gross Composite Net FTSE 3-Month Treasury Bill Index
 
3M YTD 1YR 3YR 5YR Since Inception
(07/01/2015)
Composite Gross 12.70 5.96 11.06 6.26 6.50 5.61
Composite Net 12.50 5.43 10.24 5.48 5.71 4.83
FTSE 3-Month Treasury Bill Index 0.03 0.55 1.18 1.68 1.15 1.12

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