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.