AHL Trend Inflation Defensive Equity
- Systematic, long/short
- Three sub-models, derived from trading experience and academic insight
- Aims to be robust to equity market crises, potentially resulting from inflationary pressure
- Positive performance expectation in the long term both in normal times AND in crisis periods
- Aimed at investors with traditional portfolios dominated by equities and bonds
- Extensive academic research into strategies that perform in equity crises and inflationary periods
Approach
AHL Trend Inflation Defensive Equity Programme (“TIDE”) is a systematic long/short strategy composed of three diversified models which aim to be robust to equity market crises. It is designed to perform positively during both crises and non-crisis periods, but with a higher expected return during crises.
AHL built TIDE to implement the research from two academic papers:
TIDE incorporates allocations to three strategies that these papers suggest should be robust to equity market crises, including those originating from inflationary regimes. These are:
- Trend: A univariate time series momentum strategy on around 80 futures and FX markets
- Inflation: A strategy designed to go long (short) commodities and short (long) bonds and equities when inflation is rising (falling), with timing mechanisms drawn from a number of sources
- Defensive Equity: A long/short equity quality strategy, targeting defensive equities
| Style | Defensive multi-strategy systematic |
| Investment Approach | Balanced Allocation |
| Volatility Target* | ∼ 7% |
* These risk guidelines and/or limits are provided for information purposes only and represent current internal risk guidelines. There is no requirement that the Strategy observes these limits, or that any action be taken if a guideline limit is reached or exceeded. Internal guidelines may be amended at any time without notice.
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Considerations
One should carefully consider the risks associated with investing, whether the strategy suits your investment requirements and whether you have sufficient resources to bear any losses which may result from an investment:
Investment Objective Risk - There is no guarantee that the Strategy will achieve its investment objective.
Market Risk - The Strategy is subject to normal market fluctuations and the risks associated with investing in international securities markets and therefore the value of your investment and the income from it may rise as well as fall and you may not get back the amount originally invested.
Counterparty Risk - The Strategy will be exposed to credit risk on counterparties with which it trades in relation to on-exchange traded instruments such as futures and options and where applicable, ‘over-the- counter’("OTC","non-exchange") transactions. OTC instruments may also be less liquid and are not afforded the same protections that may apply to participants trading instruments on an organised exchange.
Currency Risk - The value of investments designated in another currency may rise and fall due to exchange rate fluctuations. Adverse movements in currency exchange rates may result in a decrease in return and a loss of capital. It may not be possible or practicable to successfully hedge against the currency risk exposure in all circumstances.
Liquidity Risk - The Strategy may make investments or hold trading positions in markets that are volatile and which may become illiquid. Timely and cost efficient sale of trading positions can be impaired by decreased trading volume and/or increased price volatility..
Financial Derivatives - The Strategy will invest financial derivative instruments ("FDI") (instruments whose prices are dependent on one or more underlying asset) to achieve its investment objective. The use of FDI involves additional risks such as high sensitivity to price movements of the asset on which it is based. The extensive use of FDI may significantly multiply the gains or losses.
Leverage - The Strategy's use of FDI may result in increased leverage which may lead to significant losses.
Model and Data Risk - The Investment Manager relies on quantitative trading models and data supplied by third parties. If models or data prove to be incorrect or incomplete, the Strategy may be exposed to potential losses. Models can be affected by unforeseen market disruptions and/or government or regulatory intervention, leading to potential losses.
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