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Multi-Asset Absolute Return Strategy

Diversification|Multi-Asset

Acadian’s Multi-Asset Absolute Return Strategy seeks to exploit inefficiencies across and within global markets to deliver a diversifying stream of returns, with low correlations to equities and other asset classes, while maintaining a prudent level of risk. The strategy is implemented via long/short positions across and within five major asset classes: Equities, Bonds, FX, Commodities, and Volatility. It uses a broad set of factors to extract returns from asset allocation and market selection.

Strategy Profile

Objectives

The strategy is implemented via long/short positions across and within five major asset classes: Equities, Bonds, FX, Commodities, and Volatility. Specifically, we aim to deliver:

  • Return target: Cash + 5%
  • Volatility target: 8%
  • Low correlations to equity and bond markets

Overview

A typical portfolio seeks to incorporate diverse sources of returns in a risk-balanced fashion.  We distinguish three fundamental sources of return in terms of the types of positions we can hold:

  • Long-Term Allocation: returns from holding broad asset class betas.
  • Dynamic Allocation: returns from dynamically adjusting these betas.
  • Market Selection: returns from going long/short markets within an asset class, zero net asset class exposure.
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