Passer au contenu principal

Commentaire sur les stratégies multi-actifs : Au 30 juin 2021*

Source : Michael White, CFA | Neil Simons
Date de publication : juil. 15, 2021
Temps de lecture : 9 minutes
Another quarter of generally positive risk markets, with reflation or reopening themes adding to gains, but cooling toward the end of the period in review. We continue to observe a great deal of “chop” or rotation as markets come to grips with peaking growth rates and what that means for policy going forward. Our multi-strategy portfolio construction framework is designed to offer diversification which can be beneficial during times when the view is less clear or evolving. As such, we continue to uphold “diversification” as the watchword.

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


The Picton Mahoney Fortified Multi-Asset Fund (Class F) produced a return of 3.60% during the second quarter of 2021, while the Fund’s blended benchmark1 returned 4.05%. As equity markets generally remain “in gear”, the Fund’s core equity component (Picton Mahoney Fortified Equity Fund) was the primary contributor to performance.

That said, the strategy aims to redistribute and manage equity risk relative to a traditional “balanced” framework and net equity exposure (long positions minus short positions) remains below the typical 60% allocation. Within equities, a preference for Developed Market exposure is responding to signals from our economic cycle model. We also believe our fixed income positioning is conservative given poor risk/reward in credit markets, peaking growth rates and stimulus conditions.

As our cycle model begins to pick up signs of decelerating economic growth (largely a function of the reopening pace being unsustainable), our asset allocation has reigned-in some of the deep cyclical and reflationary exposures, yet remains constructive on risk assets at large. During times when the near-term economic outlook is uncertain (transition, more than demise), diversification benefits from alternative assets and we believes the strategies should continue to benefit the portfolio. The Fund's budget for options-based hedges remains at the manager's disposal. Noting that the risk environment has been relatively benign for some months now, it is likely the fund could employ hedges at a relatively attractive cost. As investor sentiment and many consensus trades appear locked firmly on reopening dynamics, the cost of employing hedges against any disruption to the reopening fundamentals is viewed in a pragmatic light. While much of the options-based hedging sits within the component strategies, an additional hedge overlay, at times, could offer tactical opportunities, but protective, and risk-seeking, as conditions merit.

To be clear, the Fund’s strategy is not bearish, but merely acknowledging the healthy pace of gains year-to-date and the toolkit to manage around the risk of seeing those gains diminish in a market event.

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) returned 5.06% during the second quarter of 2021. Diversification proved once again to be an effective tool. The largest contributions to portfolio performance were attributed to asset classes contained in our Strategic Asset Allocation and Tactical Economic Cycle Model. The redistribution of equity risk relative to a standard 60/40 portfolio proved once again to be beneficial.

After their dramatic rise in Q1, longer term bond yields fell through Q2 which offered a rebound in longer duration equities relative to the more cyclical equity markets and sectors. The reflation theme continued for the first part of the quarter and then suffered a bit of a setback with mixed returns across many asset classes during the last part of Q2. The most notable event towards the end of the quarter was the confused market reaction in the aftermath of the June Federal Open Market Committee Meeting along with the release of an updated “dot plot”. Markets are attempting to process the impact of transitory inflation, supply chain bottle necks and what a post peak growth, post peak stimulus economy might look like.

While asset class returns were the largest contributor to portfolio performance via our Strategic Asset Allocation and Tactical Economic Cycle Model in Q2 we believe this is unlikely to be the case going forward. Given the increasingly uncertain outlook, we decided to reduce our overweight Tactical Asset Allocation exposure near the end of the quarter. In conjunction, we have increased exposure to uncorrelated strategies believing that to be a better opportunity set.

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 reduces the impact of the poor performance within a specific style or asset class. Diversification continues to form the basis of our portfolio framework.

Overall, we are pleased with the behavior of the Fund as the current market environment continues to evolve and become more uncertain. 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 at all within respective benchmarks), the performance attribution of the Fund has an important context vis-à-vis portfolio construction imperatives such as risk diversification, lower correlation and quality of returns.

Outlook

As noted, markets are attempting to assess what the future environment looks like after peak growth rates and peak stimulus. We remain constructive on risk assets, in general, but market leadership and themes are likely to continue to rotate in the months ahead. Indeed, our proprietary economic cycle model is beginning to point toward decelerating economic growth which would likely favour longer duration over cyclical / reflationary assets / themes.

Front and centre in the macro debate is the question of inflation. Where central bank commentary contends inflation risk is more “transitory” in nature and proxies for longer-term inflation (i.e. TIPS) have cooled, we continue to believe inflation may be more “sticky” (though not uncomfortably high, per se) given supply chain constraints as well as labour constraints which may underpin higher trending wage gains. On this basis, the biggest macro risk could very well be “data”, meaning the monthly and quarterly datapoints assessing these very conditions and what each may mean for monetary and fiscal policy.


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.

Commissions, trailing commissions, management fees, performance fees and expenses all may be associated with mutual fund investments. Please read the prospectus before investing. The indicated rates of return are the historical annual compounded total returns including changes in unit value and reinvestment of all distributions and do not take into account sales, redemption, distribution or optional charges or income taxes payable by any unitholder that would have reduced returns. Mutual funds are not guaranteed, their values change frequently and past performance may not be repeated. Alternative mutual funds can only be purchased through a registered dealer and are available only in those jurisdictions where they may be lawfully offered for sale.

There is no guarantee that a hedging strategy will be effective or achieve its intended effect. The use of derivatives or short selling carries several risks which may restrict a strategy in realizing its profits, limiting its losses, or, which cause a strategy to realize or magnify losses. There may additional costs and expenses associated with the use of derivatives and short selling in a hedging strategy.

This material is confidential and is intended for use by accredited investors or permitted clients in Canada only. Any review, re-transmission, dissemination or other use of this information by persons or entities other than the intended recipient is prohibited.

® Registered trade-marks of Picton Mahoney Asset Management.
© 2021 Picton Mahoney Asset Management. All rights reserved.