Strategic Beta

Investment Objective

The Strategic Beta strategy targets a return of 8-10% p.a., with an assumed Sharpe ratio of 0.6 and an average volatility target of 12% p.a.

Description

The goal of Strategic Beta is to generate more consistent performance with greatly reduced drawdowns. We invest in a broad range of risk premia found in asset classes such as equities, fixed income (sovereign, inflation linked, corporate, high yield & emerging), commodities, currencies and volatility. The team employs an actively managed, risk-based asset allocation process.

Portfolio’s neutral position has its risk allocated equally across four categories:

  • Growth (equity and credit assets)
  • Slowdown (sovereign fixed income assets)
  • Inflation (TIPS and commodity assets)
  • Alternative (lower beta positions e.g. volatility, style, size, carry)

Active positions are taken relative to these initial weights based on our long-term views. The active risk budget is divided equally across the four risk categories. The tilts are a result of the team purposefully utilizing more (or less) of the risk budget in each of the categories.

Management Team

Investment Philosophy

Investment Process

Key Features

Investment Options*