To optimise the trade-off between risk and return, investors need to master the art of correlation management. With correlations between equities and government bonds varying significantly over time, do they still represent the core of any multi-asset portfolio, or do investors need to take more active and more risky directional bets?
Speaker:Daniel Seiler, chief investment officer, Vescore Solutions
Moderator: Alex Proimos, head of institutional content, Investment MagazineVIEW DANIEL’S PRESENTATION SLIDES HERE[vc_empty_space]
When aggregated over each decade we see that the correlation between US equities and sovereign bonds vary over time and that most recently we see a negative correlation.
In creating a robust multi-asset portfolio, investors are looking to draw upon the risk premia associated with currencies, volatility, commodities, equities and bonds.
Whilst there is a desire for smooth capital growth the reality is that alpha varies over time and produces lumpy distributions.
Poll results
[vc_empty_space height=”10px”]What is your expected return target for your multi-asset fund:[vc_line_chart x_values=”” values=”%5B%7B%22title%22%3A%22CPI%20%2B%201%25%22%2C%22y_values%22%3A%220%22%2C%22color%22%3A%22blue%22%7D%2C%7B%22title%22%3A%22CPI%20%2B%202%25%22%2C%22y_values%22%3A%2214%22%2C%22color%22%3A%22pink%22%7D%2C%7B%22title%22%3A%22CPI%20%2B%203%25%22%2C%22y_values%22%3A%2236%22%2C%22color%22%3A%22chino%22%2C%22custom_color%22%3A%22%236ab165%22%7D%2C%7B%22title%22%3A%22CPI%20%2B%204%25%22%2C%22y_values%22%3A%2250%22%2C%22color%22%3A%22mulled-wine%22%2C%22custom_color%22%3A%22%23ff675b%22%7D%5D”][vc_empty_space height=”10px”]What is the objective of your multi-asset fund?[vc_line_chart x_values=”” values=”%5B%7B%22title%22%3A%22What%20is%20the%20objective%20of%20your%20multi-asset%20fund%3F%22%2C%22y_values%22%3A%223%22%2C%22color%22%3A%22blue%22%7D%2C%7B%22title%22%3A%22Drawdown%20protection%22%2C%22y_values%22%3A%2217%22%2C%22color%22%3A%22pink%22%7D%2C%7B%22title%22%3A%22Diversification%22%2C%22y_values%22%3A%2277%22%2C%22color%22%3A%22chino%22%2C%22custom_color%22%3A%22%23fe6c61%22%7D%2C%7B%22title%22%3A%22Liquidity%20sleeve%22%2C%22y_values%22%3A%220%22%2C%22color%22%3A%22mulled-wine%22%2C%22custom_color%22%3A%22%23555555%22%7D%2C%7B%22title%22%3A%22Liquid%20market%20beta%20exposure%22%2C%22y_values%22%3A%223%22%2C%22color%22%3A%22sky%22%2C%22custom_color%22%3A%22%235aa1e3%22%7D%5D”]
The $125 billion industry fund says that while it doesn’t make sense for younger members, retirement age members can benefit from tailored tail-risk hedging strategies as proxy guards against sequencing risk.
Leave a Comment
You must be logged in to post a comment.