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MASF Insight #5

When should multi-asset styles outperform?
07 April 2020
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    MASF Insight #5

    When should multi-asset styles outperform?

    Key takeaways:

    • Although they are close to market neutral over a business cycle, the returns of Individual Style portfolios may be impacted by market regimes.
    • This publication studies the impact of different equity market, volatility and interest rates environments on style factor behaviours.
      • With respect to the equity market cycle, 3 types of styles can be identified: with a defensive bias, with a cyclical bias or hybrid styles.
      • These 3 types of styles don’t have the same behaviour across volatility regimes, while there is some overlap with interest rates regimes.
      • A consolidated portfolio in the style dimension tends to be less sensitive to market regimes than individual styles.
      • When consolidated in the style and asset class dimensions, a Multi-Asset Balanced Style portfolio barely exhibits any sensitivity to market regimes.