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.