Multi-Asset Absolute Return Strategy

The strategy seeks positive returns with a similar level of volatility.*

Strategy highlights

Inception date

January 31, 2009

Benchmark

ICE BofA U.S. Treasury Bill Index

Total strategy assets

$626.2M

(as of May 2022)

Investment vehicles

  • Separate account
  • Institutional commingled

We believe that the combination of efficient beta and flexible uncorrelated alpha provides diversification by philosophy

  • Dynamically allocates between four directional (equities, credit, rates, inflation) and several non-directional strategies
  • Shifts both the composition of risk and total level of risk to maximize risk-adjusted return potential
  • Can potentially be used as a structural core strategy to help dampen overall volatility, or as a complement to more traditional strategies

 

*No assurance can be given that the investment objective will be achieved or that an investor will receive a return of all or part of his or her initial investment. Actual results could be materially different from the stated goals. Investors should carefully consider the risks involved before deciding to invest. As with any investment, there is a potential for profit as well as the possibility of loss.

Assets may include accounts that are not reflected in the composite.

Investment team

Performance

Annualized composite performance (%) as of May 31, 2022

  MTD QTD YTD 1 Year 3 Years 5 Years 10 Years
Multi-Asset Absolute Return Strategy (gross) 1.22% 1.46% 2.73% 3.99% -0.82% 0.01% 2.52%
Multi-Asset Absolute Return Strategy (net) 1.15% 1.33% 2.41% 3.21% -1.57% -0.74% 1.71%
ICE BofA U.S. Treasury Bill Index 0.06% 0.08% 0.05% 0.07% 0.71% 1.13% 0.65%

Calendar-year composite performance (%) as of May 31, 2022

  2021 2020 2019 2018 2017 2016 2015 2014 2013 2012
Multi-Asset Absolute Return Strategy (gross) 1.89% -7.17% 6.08% -8.15% 10.82% 3.95% -0.41% 7.29% 7.27% 9.19%
Multi-Asset Absolute Return Strategy (net) 1.12% -7.87% 5.28% -8.84% 9.99% 3.11% -1.26% 6.38% 6.35% 8.26%
ICE BofA U.S. Treasury Bill Index 0.05% 0.74% 2.35% 1.88% 0.81% 0.37% 0.09% 0.06% 0.09% 0.12%

Past performance is not a guarantee of future results. An investment in this strategy could lose value. Most recent month-end performance is preliminary. Returns are subject to change.

Periods less than one year are not annualized. Performance is stated in U.S. dollars and includes the reinvestment of dividends and interest.