Multi-Asset Absolute Return Strategy
January 31, 2009
ICE BofA U.S. Treasury Bill Index
Total strategy assets†
(as of December 2022)
- 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.
Annualized composite performance (%) as of December 31, 2022
|MTD||QTD||1 Year||3 Years||5 Years||10 Years|
|Multi-Asset Absolute Return Strategy (gross)||0.66%||2.40%||3.83%||-0.60%||-0.88%||2.37%|
|Multi-Asset Absolute Return Strategy (net)||0.59%||2.20%||3.05%||-1.34%||-1.62%||1.56%|
|ICE BofA U.S. Treasury Bill Index||0.39%||0.86%||1.33%||0.71%||1.27%||0.77%|
Calendar-year composite performance (%) as of December 31, 2022
|Multi-Asset Absolute Return Strategy (gross)||3.83%||1.91%||-7.17%||6.08%||-8.15%||10.82%||3.95%||-0.41%||7.29%||7.27%|
|Multi-Asset Absolute Return Strategy (net)||3.05%||1.14%||-7.87%||5.28%||-8.84%||9.99%||3.11%||-1.26%||6.38%||6.35%|
|ICE BofA U.S. Treasury Bill Index||1.33%||0.05%||0.74%||2.35%||1.88%||0.81%||0.37%||0.09%||0.06%||0.09%|
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.