The Multi-Absolute Return Strategy seeks to provide absolute return of cash +5%, and volatility of 8%, with low correlations to equities and other asset classes. It is implemented via long/short positions across and within five major asset classes: Equities, Bonds, FX, Commodities, and Volatility.
“As investors, we’ve always been interested in asset allocation and how a systematic approach could yield a competitive advantage in this space. At the same time we’ve recognized rising client demand for outcome-oriented strategies,” said Ross Dowd, Co-Chief Executive Officer at Acadian. “After careful analysis, we decided that our disciplined and empirical approach may add value in the multi-asset class space and achieve the outcomes and diversification our clients are looking for.”
Acadian’s approach to MACS seeks to be diversified, dynamic and defensive. Being able to adjust quickly to changes in market conditions, the portfolio is best positioned to mitigate the impact of equity market drawdowns.
“As new entrants to this space, we’ve been able to develop our approach from scratch, which leaves us unconstrained by existing product lines or legacy decisions, to approach multi-asset forecasting holistically and capture how assets and factors interact across the whole strategy,” said Ilya Figelman, Senior Vice President and Director, Multi Asset Strategies at Acadian. “Approaching MACS systematically enables us to model hundreds of signals, and to make cross-asset comparisons in an objective and consistent way.”
He added: “Even though asset allocations have become much more sophisticated and have moved away from the standard 60/40 equity/bond balanced funds, most investors are still materially exposed to equity and bond risk. The goal of Acadian’s Multi-Asset Absolute Return Strategy is to provide diversification to equity and bond risk, by relying on a different set of potential return sources.”
The strategy will be managed by Ilya Figelman, Senior Vice President and Director, Multi-Asset Strategies. Prior to this role, Mr. Figelman served as Research Director and Portfolio Manager for Alliance Bernstein’s Multi-Asset Solutions business.
About Acadian Asset Management LLC
Acadian Asset Management LLC invests on behalf of institutional investors such as pension funds, endowments, governments and foundations, as well as individual investors. As of March 31, 2018 the firm managed over $99 billion. The firm uses an innovative array of disciplined, quantitative investment techniques and analytical models for active investment decisions. Acadian’s strategies include multi-asset, managed volatility, emerging markets, global equity, small-cap, long/short, market neutral, and non-US equity strategies. For more information on Acadian, please visit www.acadian-asset.com.