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Multi-Asset Min Volatility for choppy times Our Global Min Volatility multi-asset index closed up +1.52% on “Brexit Friday” in GBP terms Risk, return and correlation are always unstable, and that should be reflected in optimisation models Risk-based quant-driven investment strategies offer a lower cost alternative to hedge funds for investors looking to diversify their portfolio returns A Min Volatility approach In December 2014, we launched the Elston Strategic Beta Global Min Volatility Index, a multi-asset strategy constructed using a broad range of ETFs (Ticker  ESBGMV ).  The rationale for launching this strategy was to provide a low-cost “liquid alternative” to hedge funds. Our Global Min Vol Index continues to do what it says on the tin: provide a source of differentiated returns by combining traditional asset classes to minimise portfolio variance whilst keeping potential for returns. Once certainty about the market, as John Pierpont Morgan famously s...

UK public votes 52% to 48% to leave the EU: the exit process could take 2 to 4 years. Regional differences will create further constitutional strain on the UK Pound plunging, and expect UK Equities to follow suit. Expect flight to safety away from risk assets as the market digests the potential for structural change. Brexit it is The UK public has voted to leave the European Union after 43 years in yesterday’s referendum. Leave has 51.7% of votes so far with 71.8% turnout (higher than pervious general election) suggests a vote for Brexit by a narrow margin. The leaving process could take a minimum of two years, and even Leave campaigners don’t expect the process to complete until 2020. Opinion polls were too close to call Polling pointed to a closer result and recent momentum for the Remain campaign which had given markets an element of (false) security: the final poll put 45% Leave, 44% Remain, 11% Don’t Know.  While the binary nature of the debate suggested...

Why now is the time for Liquid Alt strategies Alternative strategies have been around for decades, but liquid versions became popular after the Global Financial Crisis (GFC) Lessons from the GFC triggered a long hard look at some of the key assumptions underpinning portfolio construction Innovation in liquid alt strategies and products (including smart beta) is driving the adoption of Liquid Alt ETPs in institutional and retail portfolios A panel session at the Inside ETFs Europe 2016 Conference examined the renewed interest in Liquid Alternatives.  This article draws out and expands on some of the key findings from the panel discussion of the same title. The role of alternatives in portfolio construction The role of “alternative” asset classes in portfolio construction has traditionally been to provide differentiated asset returns that reduce overall portfolio volatility through diversification.  Alternative asset classes can be broadly defined as ...