Absolute Return Strategy

Absolute Return Strategy

Absolute Return Strategy


The Global Multi-Asset team Absolute Return Strategy uses a global macro and thematic approach, and invests across equities, fixed income, currencies and commodities. The Strategy seeks to generate a low beta to broad asset classes by taking the majority of risk in uncorrelated, hedged positions. Directional positions are also taken, but on a tactical and opportunistic basis. Rather than individual security selection, the Strategy invests in opportunities at the asset class, country, sector and thematic levels. The research and decision-making process is fundamentally-driven and discretionary, but supported by an extensive quantitative research platform.

Target volatility1
Target beta to global equities1
Investment Approach

The Global Multi-Asset team believes that global multi-asset class investing presents opportunities to generate excess return due to structural inefficiencies such as home-country bias and the tendency for a majority of investors to focus on security selection. In addition, regions and countries have independent economic drivers, which often give rise to uncorrelated investment opportunities.  We also believe that investors have a tendency to extrapolate current trends into the future, mistaking cyclical dynamics for structural changes, and vice versa.  We therefore invest around major macro-economic turning points, where we think investors are most likely to misprice assets amid changing dynamics.

Thematic Approach to Multi-Asset Class Investing

We apply a global macro and thematic approach to multi-asset investing, focusing on major macroeconomic shifts and structural transformations which may give rise to asymmetric risk/ reward opportunities.

Seeks Low Correlation to Financial Markets

Majority of risk taken in uncorrelated, hedged positions, with directional positions taken on a tactical and opportunistic basis. The Strategy has the flexibility to respond quickly to changing market environments and the potential to perform well in a variety of investment climates.

Disciplined Risk Management

Multiple layers of risk management, including a stop-loss policy which seeks to mitigate downside risk, and independent risk monitoring at the firm level.

Investment Process


The Global Multi-Asset team offers investors access to an investment approach focusing on opportunities arising from macroeconomic changes and structural transformations that have not yet been discounted in valuations. The team’s investment process seeks to identify attractive risk/reward opportunities based on three primary criteria: valuation, fundamental dynamics, and sentiment. The team believes that these three tools are most powerful when used in combination. The team invests in opportunities at the asset class, country, sector and thematic levels, rather than concentrating on individual security selection.



This information represents how the investment team generally applies its investment process under normal market conditions. The team implements positions either directly by purchasing securities or through the use of derivatives.

Portfolio Managers  
Cyril Moulle-Berteaux
Head of Global Multi-Asset Team
30 years industry experience
Sergei Parmenov
Managing Director
25 years industry experience

1 There is no assurance that these targets will be attained.


There is no assurance that a portfolio will achieve its investment objective. Portfolios are subject to market risk, which is the possibility that the market values of securities owned by the portfolio will decline and that the value of portfolio shares may therefore be less than what you paid for them. Market values can change daily due to economic and other events (e.g. natural disasters, health crises, terrorism, conflicts and social unrest) that affect markets, countries, companies or governments. It is difficult to predict the timing, duration, and potential adverse effects (e.g. portfolio liquidity) of events. Accordingly, you can lose money investing in this portfolio. Please be aware that this portfolio may be subject to certain additional risks. In general, equity securities’ values also fluctuate in response to activities specific to a company. Investments in foreign markets entail special risks such as currency, political, economic, and market risks. The risks of investing in emerging market countries are greater than risks associated with investments in foreign developed countries. Fixed-income securities are subject to the ability of an issuer to make timely principal and interest payments (credit risk), changes in interest rates (interest-rate risk), the creditworthiness of the issuer and general market liquidity (market risk). In a rising interest-rate environment, bond prices may fall and may result in periods of volatility and increased portfolio redemptions. In a declining interest-rate environment, the portfolio may generate less income. Longer-term securities may be more sensitive to interest rate changes. High yield securities (“junk bonds”) are lower rated securities that may have a higher degree of credit and liquidity risk. Mortgage- and asset-backed securities (MBS and ABS) are sensitive to early prepayment risk and a higher risk of default and may be hard to value and difficult to sell (liquidity risk). They are also subject to credit, market and interest rate risks. Certain U.S. government securities purchased by the Portfolio, such as those issued by Fannie Mae and Freddie Mac, are not backed by the full faith and credit of the United States. It is possible that these issuers will not have the funds to meet their payment obligations in the future. Real estate investment trusts are subject to risks similar to those associated with the direct ownership of real estate and they are sensitive to such factors as management skills and changes in tax laws. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large negative impact on the Portfolio’s performance. Illiquid securities may be more difficult to sell and value than publicly traded securities (liquidity risk). By investing in investment company securities, the portfolio is subject to the underlying risks of that investment company's portfolio securities. In addition to the Portfolio's fees and expenses, the Portfolio generally would bear its share of the investment company's fees and expenses. 



Risk management implies an effort to monitor risk, but should not be confused with and does not imply low risk.





The London Interbank Offered Rate (LIBOR) is the short-term interest rate that banks charge one another and that is generally representative of the most competitive and current cash rates available.

There is no assurance that the targets presented above will be attained.


Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. Tracking error is the standard deviation of the difference between the portfolio and the benchmark returns. Volatility is a statistical measure of the dispersion of returns for a given security or market index.






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