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Commentaire sur les stratégies multi-actifs : Au 31 décembre 2021*

Source : Michael White, CFA | Neil Simons
Date de publication : janv. 14, 2022
Temps de lecture : 9 minutes
The most notable macroeconomic event in Q4 was the emergence of the Omicron variant and the associated uncertainty around economic activity. Interestingly, during the quarter, our economic cycle model saw an emerging probability of re-accelerating economic growth while the inflation debate has turned “tug-of war” of late. Most asset classes were slightly higher over the quarter with the stronger performance coming from equity markets, akin to the experience of 2021 in its entirety. For the most part, equity market performance was dominated by large cap US growth names, which seems all too familiar, but a certain degree of “churn” in market themes was also noteworthy. Our multi-strategy portfolio construction framework continues to offer diversification benefits during these times of transition in market themes.

Picton Mahoney Fortified Multi-Asset Fund
Picton Mahoney Fortified Multi-Asset Fund Cl. F icon  Fund profile icon


During the quarter, the Picton Mahoney Fortified Multi-Asset Fund (Class F) produced a return of 2.89%, falling slightly short of its blended benchmark return of 3.15%. The shortfall was largely attributable to portfolio hedges which were a headwind as equity markets recovered in the final days of December.
The Fund has tended to maintain a net equity exposure below the standard 60/40 balanced construct and to some extent, that shortfall translates to performance, especially when narrow equity leadership appears “the only game in town”. That said, the strategy is built with multiple tools aiming to redistribute equity risk and differentiate from traditional “balanced” funds.
While the Fund participates in equity-driven gains, the risk environment requires further confirmation of re-accelerating economic growth to allocate further to the asset class. Moreover, we believe tactical opportunities will present themselves with respect to both hedging and adding to risk assets, depending on the macro backdrop in the months ahead. Monetary tightening and fading fiscal spending growth are but a few of the macro-level headwinds for markets to navigate.
Overall, the Fund’s allocations have not changed materially in the past few months. In the face of uncertainty, diversification is a sound strategy. We continue to highlight the Fund’s optimized exposure to alternative strategies, some of which have little to no dependence on the direction of risk markets to drive returns. The Fund remains flexible and disciplined to both hedge and embrace risk as appropriate.

Picton Mahoney Fortified Multi-Strategy Alternative Fund
Picton Mahoney Fortified Multi-Strategy Alternative Fund Cl. F icon Fund profile icon


The Picton Mahoney Fortified Multi-Strategy Alternative Fund (Class F) (the “Multi-Strategy Fund”) returned 1.80% during the fourth quarter of 2021. Diversification proved once again to be an effective tool. Both Assets and Strategies were positive contributors to portfolio performance. Across Assets, Developed Equities were the largest positive contributor while Energy and Commodities contributed a significant amount of volatility. Within Strategies, PMAM proprietary Factor Risk Premia were a significant positive contributor.
The Omicron shock, centered on Friday of the US Thanksgiving weekend, was an isolated deflationary shock similar to (but much smaller in size than) that experienced during March 2020. In a deflationary shock, both the long volatility and long Government Bond components of our asset allocation model help cushion the portfolio. This episode serves as a reminder that asset allocation is more than just an examination of market exposures in isolation, but rather requires a keen understanding of the drivers and benefits of different asset classes within a portfolio. Energy commodity markets were hit the hardest in this episode, disrupting what appears to be an ongoing bull market.
Diversification across asset classes, which we believe is the best long-term approach, is expected to be rewarded over longer time horizons and provided benefits across the entire year of 2021.
In Q4, we maintained the underweight to our Tactical Asset Allocation model, relying on our more diversified Strategic Asset Allocation to provide most of our asset class exposures. In conjunction, we maintain our increased exposure to uncorrelated strategies believing that to be a better opportunity set and we are pleased with the recent performance in our proprietary Factor Risk Premia. This turned out to be a good tactical adjustment to the portfolios.
Since this strategy aims to redistribute equity risk, we highlight 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 Income Alternative Fund. Diversification of styles and approaches can reduce the impact of the poor performance within a specific style or asset class. The uncorrelated strategies (and specifically the Market Neutral strategy) contributed to positive returns during the quarter. Diversification continues to form the basis of our portfolio framework.
Overall, we are pleased with the behavior of the Multi-Strategy Fund as the current market environment continues to evolve. Our approach allows for returns to be sourced from both directional (asset classes) and non-directional (uncorrelated strategies) means. While investors reference equity benchmark returns (which are not very diversified within respective benchmarks), the performance attribution of the Multi-Strategy Fund has an important context vis-à-vis portfolio construction imperatives such as risk diversification, lower correlation and quality of returns.
 
Outlook
As markets move past worries about the Omicron variant, focus has shifted to Central Bank activity related to the tapering of asset purchases along with interest rate hikes. We remain constructive on a diversified basket of risk assets, in general, but believe market leadership and themes will continue to rotate in the months ahead. In this type of environment, portfolio hedges along with risk-budgeting will remain prudent in seeking diversification.
Indeed, as mentioned above, the majority of probability weight in our proprietary economic cycle model continues to point to a phase of decelerating economic growth. This same model has picked up on the probability of re-accelerating growth; though not an overwhelming probability weight, it is still significant (and persistent) enough to heed vis-à-vis tactical positioning in the months ahead. Also, as the inflation debate rages (“transitory” or “eventually re-emerging”), we highlight our exposure to inflation-sensitive assets which will likely continue to differentiate our multi-asset / multi-strategy funds from the typical balanced construct which appears to be quite duration-sensitive, in contrast.

Picton Mahoney Fortified Multi-Asset Fund Cl. F, Picton Mahoney Fortified Multi-Strategy Alternative Fund Cl. F, and blended benchmark performance table
This material has been published by Picton Mahoney Asset Management (“PMAM”) on July 15, 2021. It is provided as a general source of information, is subject to change without notification and should not be construed as investment advice. This material should not be relied upon for any investment decision and is not a recommendation, solicitation or offering of any security in any jurisdiction. The information contained in this material has been obtained from sources believed reliable, however, the accuracy and/or completeness of the information is not guaranteed by PMAM, nor does PMAM assume any responsibility or liability whatsoever. All investments involve risk and may lose value.

This material may contain “forward-looking information” that is not purely historical in nature. These forward-looking statements are based upon the reasonable beliefs of PMAM as of the date they are made. PMAM assumes no duty, and does not undertake, to update any forward-looking statement. Forward-looking statements are not guarantees of future performance, are subject to numerous assumptions and involve inherent risks and uncertainties about general economic factors which change over time. There is no guarantee that any forward-looking statements will come to pass. We caution you not to place undue reliance on these statements, as a number of important factors could cause actual events or results to differ materially from those expressed or implied in any forward-looking statement made.

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