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Adaptive Balanced Risk-Managed

Adaptive Balanced Risk-Managed (ABRM) is a rules-based approach to allocating tactically within a strategic asset allocation framework. ABRM allocates to some combination of underlying strategies seeking to maximize growth opportunities over a full market cycle. In periods of heightened market volatility, the strategy has the flexibility to de-risk while managing portfolio duration and aiming to protect capital.

Objective: Capture long-term growth and income by tactically allocating among various risk-managed equity strategies spanning geographic, style and size segments

Primary asset class: Risk-managed equity, listed alternatives and fixed income

Tactical ranges:

  • Equity Segment, 0%-70%
    • US
    • International
  •  Income and Alternatives Segment, 30%-100%
    • Treasuries
    • Investment grade credit
    • Risk-managed high yield
    • Listed alternatives

Target allocation: 70% equity, 30% fixed income and alternatives

Portfolio construction ideas:

  • Use as “income macro” allocation in aggressive income portfolio
  • Incorporate as rules-based total return satellite in core portfolio
  • Reduces max drawdown profile of an asset allocation portfolio allocated across equities, alternatives and fixed income



Separately Managed Account (SMA)

Resources and Materials

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