L&G Multi-Asset Target Return Fund

Investment Objective

The Fund aims to provide long-term growth to achieve a total return of both income and capital of the Bank of England Base Interest Rate +5% over rolling three year periods. The Fund uses an unconstrained investment approach across all asset classes by allocating across long/short strategies, as opposed to asset classes, and is able to have short positions in instruments, long positions in instruments and relative value positions across a number of instruments.

Latest Meeting Note

Meeting 11 Nov 2021

The L&G Multi-Asset Target Return fund comprises of three macro-driven, asset agnostic underlying strategies alongside a risk mitigation sleeve that combine to create a global and diversified portfolio. There are four PMs headed by E... Read more

The L&G Multi-Asset Target Return fund comprises of three macro-driven, asset agnostic underlying strategies alongside a risk mitigation sleeve that combine to create a global and diversified portfolio. There are four PMs headed by Emiel Van den Heiligenberg, who is supported by John Roe, Willem Klijnstra and Chris Teschmacher, with all four sitting within the Asset Allocation team which combines LGIM’s economic and multi-asset research capabilities across a range of products. The fund has four major targets; a return of BoE base rate +5% annualised over 3 years rolling, a volatility between 6-10%, an equity beta lower than 0.4 averaged over 3 years and to drawdown <40% of equities during stress events. The portfolio consist of four uncorrelated sleeves that combine to create an all weather and smooth return stream. Firstly the ‘market’ component looks to earn traditional market risk premiums in a directionally long manner and is diversified across asset classes. The ‘alternative’ sleeve comprises of alternative risk premia strategies built within the asset allocation team and these target ARP factors such as carry, value, quality and momentum. Next, the ‘tactical’ sleeve comprises of alpha driven opportunities, which typically consists of relative value, long/short and outright strategies that reflect the team’s short-term views. Finally, the risk mitigation sleeve is managed holistically, focusing on overall portfolio risks and managing correlations and drawdowns. Allocations across the four sleeves is dynamic and is driven by the macro outlook and opportunity set. A collegiate research process is at the centre of idea generation, with regionally-focused economists the starting point for macro themes and outlook. Asset class strategists then derive a number of ways to capture returns from said themes, with portfolio managers deriving the best way to utilise these opportunities in the portfolio. Position sizing is based around volatility, conviction and correlation to other positions in the book, with 35-50 trades across the four sleeves.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.4 0.4 0.7 0.5 0.7 0.6 0.7 0.7 0.7 0.8 0.5 0.6 0.8
2019 0.3 0.1 0.9 0.9 0.1 0.9 0.8 0.2 0.1 0.4 0.8 0.1 0.4

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