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Keep Calm & Invest Systematically

The Brexit aftershocks are far from over, but below are a few early observations:

  • The performance of our core equity and multi asset strategies has been strong and stable so far post the UK referendum.
  • After peaking on Jun 24th, our market risk indicator reverted last week to levels not seen since Jun 8th (31st percentile).
  • This seems complacent to us given the various risks surrounding global markets, so close monitoring is warranted.
  • We prefer strategies with low-to-moderate or negative duration given the highly asymmetric nature of fixed income returns at these levels.
  • The case for risk-optimized strategies such as minimum variance and maximum diversification is all the stronger in these turbulent times.
  • Rather than blindly following models, we believe a man + machine approach is the optimal way to navigate choppy markets.


Chart 1 - Multi-Asset Strategies - Top 5 Performers YTD


Chart 2 - ALPIMA MASTR3 (Multi Asset Strategy – Long Only) vs Morningstar Moderately Conservative Index


Chart 3 - ALPIMA MASTR4 (Multi Asset Strategy -- Long / Short) vs Morningstar Moderately Conservative Index



Date source: ALPIMA, data as of cob Jul 5th 2016. Performance shown net of fees and transaction costs.