Our Multi-Asset Class strategies (MACS) extend Acadian’s systematic investment approach across multiple markets. Exploiting pricing inefficiencies across and within asset classes, MACS seeks to deliver diversifying absolute returns, with particular focus on achieving a defensive return profile during equity bear markets. The process is fully integrated and holistic, aiming to capture market interactions across asset classes.
Attributes & Approach
MACS provides a flexible platform of multi-asset class investing capabilities, which can readily be shaped in accordance with specific investor goals. Portfolios are implemented via long/short positions across and within five major asset classes (Equities, Bonds, FX, Commodities, and Volatility), using multiple instrument types, with an investment universe comprising over 100 different markets. The strategy seeks returns at the broad asset-class level via long-term beta exposures and dynamic allocation; and within asset classes via market selection.
Like Acadian’s core capabilities, a systematic process comprises five key steps, which, taken together, translate fundamental data into tradable portfolios:
Universe Definition ● Factor-Based Return Forecasts ● Adaptive Risk Model
Portfolio Construction ● Implementation
Our holistic MACS approach incorporates macroeconomic and asset-specific signals. As such, MACS return models use intrinsic factors (e.g., Value, Carry, Quality) and cross-asset factors which incorporate macro themes (e.g., Growth, Inflation, Stimulus).
MACS portfolios aim to be diversified (in terms assets and factors); dynamic (to reflect changes in fundamental outlook and risk environment); and defensive (via diversification, protective volatility exposures, and careful calibration of return forecasts).