Comprehensive, quantitative Investment Framework

Diversification of return sources Along THREe dimensions

In periods of financial stress, such as 2007/2008 all asset classes go to a correlation of 1 and they sell off together...because markets (betas) are usually relatively correlated. 

Looking beyond the asset class perspective and adding two more dimensions of return sources not just enhances returns but diversification:

asset classes, strategy styles and exposure to risk factors are a more viable way for private wealth clients to preserve and grow their current and future wealth.

Based on decades of academic research in finance

Asset Classes are driven by macroeconomic and monetary policy conditions around the globe

Strategy styles, such as value, carry, momentum and volatility investing have outperformed buy-and-hold investments in many asset classes.

Exposure to risk factors, e.g. shocks to growth, shocks to inflation, liquidity and tail risk, are  helpful for diversifying across economic scenarios and harvesting different return sources.

Different Times for different Dimes

Every investment has its time: stocks for harvesting growth-related premia, certain alternatives for illiquidity premia, treasuries for deflation hedging, etc.

Asset classes, strategy styles and risk factors all have their own beneficial environments. Incorporating them all and allocating them appropriately on a time-varying basis is key.  

All photography by Jared Chambers