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Adaptive Multi-Asset

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Overview

The strategy seeks to dynamically allocate investments based on both potential downside (expected tail loss) and upside (expected tail gain) to lose less in declining markets, participate in the upside to capture tail gains, and earn attractive absolute or relative returns.

Investment Approach

    Designed to Maximize Compound Returns

  1. The portfolio seeks to maximize compound returns by mitigating large tail losses and by profiting from large tail gains.

    2. Forward Looking Measures of Risk

  2. We deduce forward-looking estimates of tail losses and tail gains from option market prices. We allocate towards assets that are expected to have limited tail losses and a high tail-gain-to-tail-loss ratio.

    3. Absolute Return

  3. Given the multi-asset approach and absolute return orientation, the strategy aims to exhibit lower volatility than equities and bonds.

Portfolio Management

Myron Scholes, Ph.D.

Chief Investment Strategist

Enrique Chang

Global Chief Investment Officer | Portfolio Manager

Ashwin Alankar, Ph.D.

Head of Global Asset Allocation | Portfolio Manager

Featured Insights

Performance

RETURNS

(As of 09/30/2019)
(As of 09/30/2019)
Inception: Jul 01, 2015 3M YTD 1YR 3YR 5YR 10YR Since Inception
Composite Gross 1.18% 11.69% 2.43% 4.89% - - 4.37%
Composite Net 1.00% 11.07% 1.67% 4.11% - - 3.60%
FTSE 3-Month Treasury Bill Index 0.56% 1.78% 2.36% 1.52% 0.96% 0.52% 1.12%
Inception: Jul 01, 2015 3M YTD 1YR 3YR 5YR 10YR Since Inception
Composite Gross 1.18% 11.69% 2.43% 4.89% - - 4.37%
Composite Net 1.00% 11.07% 1.67% 4.11% - - 3.60%
FTSE 3-Month Treasury Bill Index 0.56% 1.78% 2.36% 1.52% 0.96% 0.52% 1.12%
Past performance cannot guarantee future results. Investing involves risk, including the possible loss of principal and fluctuation of value. Returns greater than one year are annualized. Returns are expressed in U.S. dollars. Composite returns are net of transaction costs and gross of non-reclaimable withholding taxes, if any, and reflect the reinvestment of dividends and other earnings.
The gross performance results presented do not reflect the deduction of investment advisory fees and returns will be reduced by such advisory fees and other contractual expenses as described in the individual contract and Form ADV Part 2A.
Net performance results do not reflect the deduction of investment advisory fees actually charged to the accounts in the composite but they do reflect the deduction of model investment advisory fees based on the maximum fee rate in effect for the respective time period, adjusted for performance-based fees where applicable. Actual advisory fees may vary among clients invested in the strategy shown and may be higher or lower than model advisory fees. Returns for each client will be reduced by such fees and expenses as negotiated in any client contract as discussed in Form ADV Part 2A.
For a complete list of holdings as of the most recently available disclosure period, contact us.

Commentary & Literature

Literature