MACS Overview


The objective of Acadian’s Multi Asset Class Strategy is to deliver positive absolute returns, with a low correlations to equities and other asset classes, while maintaining a prudent level of risk.  The strategy is implemented via long/short positions across and within five major asset classes: Equities, Bonds, FX, Commodities, and Volatility. Specifically, we aim to deliver:

  • Return target: Cash + 5%
  • Volatility target: 8%
  • Low correlations to equity and bond markets

A typical portfolio seeks to incorporate diverse sources of returns in a risk-balanced fashion.  We distinguish three fundamental sources of return in terms of the types of positions we can hold:

  1. Long-Term Allocation: returns from holding broad asset class betas.
  2. Dynamic Allocation: returns from dynamically adjusting these betas.
  3. Market Selection: returns from going long/short markets within an asset class, zero net asset class exposure.

For more information on MACS:

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