Multi-Asset Strategies Commentary: As at September 30, 2020 Source: Michael White, CFA | Neil Simons Publish Date: Oct 23, 2020 Picton Mahoney Fortified Multi-Asset Fund The Picton Mahoney Fortified Multi-Asset Fund (Class F) produced a return of 5.93% during the third quarter of 2020. An ongoing focus on portfolio construction and more tools at work to achieve solid risk-adjusted returns continues to differentiate the strategy from traditional balanced mandates. Whether it is the embedded options-based hedges in our equity sleeves to monetize market volatility, our interest rate and market hedges to produce sustainable income in our credit strategy, or the dedicated shorting of securities we believe will underperform, these tools are squarely aimed at mitigating volatility and steering the portfolio away from market risks in a typical long-only “balanced” portfolio. We continue to highlight the importance of holdings in alternative assets like precious metals and volatility hedges help to manage risk and to drive differentiated returns and reduce a portfolio’s dependence on pure equity risk in a world where yields are so low. Our holdings in alternative strategies managed by Picton Mahoney Asset Managment such as our Picton Mahoney Fortified Arbitrage Alternative Fund, Picton Mahoney Fortified Active Extension Alternative Fund and Picton Mahoney Fortified Long Short Alternative Fund continue to drive uncorrelated/lower-volatility returns and/or provide a means of tactically dialing risk up or down as may be warranted in the current market environment. As is the mantra in our multi-asset strategies, we not only believe, but demonstrate diversification opportunities beyond the widely utilized 60/40 model and that a more “fortified” portfolio can be achieved. Relative to balanced peers on both short and longer-term measures, we remain very pleased with relative performance, but more notably, the lower volatility and market risks taken to achieve it. We maintain a nimbleness to adjust to market conditions that may be disadvantageous to traditional balanced portfolios (namely interest rate risk) and will continue to seek opportunities to diversify with exposures aimed at garnering an improved quality of return. Picton Mahoney Fortified Multi-Strategy Alternative Fund The Picton Mahoney Fortified Multi-Strategy Alternative Fund (Class F) returned 3.05% during the third quarter of 2020. It was a very interesting quarter for the strategy as we continued to see improving diversification benefits. Some of the exuberance in technologyrelated equity themes started to subside with increased volatility throughout September. The high concentration/valuation dynamic of these themes in the market is a risk worth noting and diversifying. Since this strategy aims to redistribute equity risk, we highlight continued solid returns from the uncorrelated strategies we manage here at Picton Mahoney Asset Management, namely the Picton Mahoney Fortified Market Neutral Alternative Fund and the Picton Mahoney Fortified Arbitrage Alternative Fund as well as the value-add and tactical credit exposure of the Picton Mahoney Fortified Income Alternative Fund. The redistribution of equity risk also extends to growth asset class exposures (i.e. commodities) which continue to rise. Whether it’s an inflation story, or the birth of a new cycle, we believe this will prove a very differentiated part of the portfolio. Overall, we are pleased with the behavior of the portfolio since the volatility witnessed earlier in the year, largely because returns are being sourced from both directional (asset classes) and non-directional (uncorrelated strategies) means. While investors reference equity benchmark returns (which are not very diversified at all within respective benchmarks), the performance attribution of the Fund has an important context vis a vis portfolio construction imperatives such as risk diversification, lower correlation and quality of returns. For the funds’ full performance, visit www.pictonmahoney.com.