Investment Solutions Acadian

Multi-Asset Class Strategies
SBAI Acadian Asset Management

Our multi-asset platform extends Acadian’s systematic investment approach across multiple markets and applies it with a macro lens. Exploiting pricing inefficiencies across and within asset classes, our multi-asset strategies seek 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

Our multi-asset capability provides a flexible platform for systematic macro investing which can readily be customized in accordance with specific investor goals. Strategies on the platform seek to exploit pricing inefficiencies across and within global markets in order to deliver diversifying return streams to investors, with a specific focus on providing a defensive profile.

The strategies employ a fully integrated process that avoids an asset-siloed approach. They are implemented via long/short positions across and within five major asset classes: Equities, Fixed Income, FX, Commodities, and Volatility. Within these asset classes, we use a broad set of factors to pursue returns from two main sources: Directional (varying risk allocation to each asset class) and Market Selection (cross-sectional, within-asset-class positioning).

Our holistic multi-asset investing approach incorporates macroeconomic and asset-specific signals. Our return models include over 300 individual return factors, which have been constructed asset class by asset class, down to each individual asset. These factors include 1) asset-specific factors – such as value, carry, quality, and momentum, down to more unique factors such as inventory surprises for the petroleum sector, and 2) macro-related factors, which capture cross-asset effects such as the impact of changing rates on equities, currencies, or precious metals.

Our multi-asset portfolios aim to be diversified (across assets and factors), dynamic (to reflect changes in the fundamental outlook and risk environment), and defensive (downside protection via diversification, protective volatility exposures, and careful calibration of return forecasts).

 

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