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Systematic Equity Allocation

Actualizado: may 27

Increasing return by systematically managing risk

The Systematic Equity Allocation (SEA) portfolio is a dynamically managed multi-asset portfolio. The aim of the strategy is to outperform a balanced benchmark of 67% equities and 33% bonds on a 3 year horizon and to outperform MSCI World across the full business cycle. By systematically shifting the equity allocation from zero to 100% as the outlook for financial markets changes, the strategy creates a return, which is decorrelated from equity markets when these struggle in periods like 2008, 2015-16 and 2018. At the same time, the strategy limits volatility and drawdowns.

To achieve the desired outcome, we rely on a systematic investment process where we seek to benefit from the consequences of the self-reinforcing effects of the economy and financial markets influencing each other and creating strong positive and negative trends, both when things improve and when things deteriorate. We use both qualitative and quantitative analysis in the decision-making process. To secure consistency, efficiency and speed we use decision support algorithms based on behavioural finance theory and machine learning. The inputs to these algorithms and the data processing are founded on two decades of practical experience managing billions of dollars in multi-asset portfolios.



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