Strategic Beta

Investment Objective

Strategic Beta is designed to deliver stable returns in a variety of market environments with an assumed Sharpe ratio of 0.6, return target of 7% and volatility target of 12% p.a.


Built to provide stable returns across a variety of different economic environments, Strategic Beta is an actively managed strategy utilizing a risk-based approach to asset allocation and invests in a full range of risk premia. It begins with a balanced allocation to drivers of long-term return, or risk premia, and then is dynamically tilted in accordance to output from our research process. The end result is a risk-managed portfolio that is adaptable to changing market conditions.  

Portfolio’s neutral position has its risk allocated equally across four categories:

  • Growth (e.g. equity and credit assets)
  • Slowdown (e.g. sovereign fixed income assets)
  • Inflation (e.g. TIPS and commodity assets)
  • Alternative (e.g. lower beta positions such as volatility, style, carry)

Active positions are taken relative to these initial weights based on our long-term views. The tilts are a result of the team purposefully utilizing more (or less) of the risk budget in each of the categories.