Investment Vehicle: Separately Managed Account
Custodian: Interactive Brokers
Eligibility: All Registered & Non-Registered Accounts
Style: Global Tactical Asset Allocation
Investment Type: Long Only
Inception Date: Jan 2016
Volatility Mandate: 12% Target Volatility
Currency Hedge: Dynamic CAD/US
HOW THIS STRATEGY APPLIES
ReSolve Global Risk Parity methodology is applied to deliver returns in Canadian dollars using a CAD/US dynamic currency hedge . The mandate has an ambient daily volatility of around 1% (12% yearly).
What should you expect? Hills and valleys instead of mountains and canyons. Investors trade off one, three or even five years of underperformance when compared to the Global Market Portfolio benchmark for the opportunity to earn persistent gains, even during major bear markets.
AVERAGE ANNUAL RETURNS
|TIME PERIOD||RETURN ²||BENCHMARK¹|
RETURN RISK METRICS
Month-End Holdings and Risk Statistics
MONTH-END ASSET ALLOCATION
ESTIMATED MONTH-END RISK CONTRIBUTION
1 Benchmark Disclaimer
The Benchmark approximates the returns to a Global Balanced Portfolio in, CAD, dollars. It consists of the following investable universe of low-cost Exchange Traded Funds: 60% Vanguard Total World Stock Market, 20% Core US Aggregate Bond Index, 20% SPDR Barclays International Treasury Bond. Currency risk is hedged so that the benchmark maintains a constant 50% exposure to the U.S. dollar.
2 Performance Disclaimer
The performance data above represents the performance composite of all ReSolve Global Risk Parity 12% Volatility (CAD) mandates managed by ReSolve Asset Management Inc. Performance is expressed in CAD, net of applicable management fees, and includes the reinvestment of dividends and interest. Indicated returns of one year or more are annualized. Past performance is not indicative of future performance.
Past performance is not indicative of future performance. The performance data above represents the performance composite of the referenced mandate managed by ReSolve Asset Management Inc. Indicated returns of one year or more are annualized. Actual performance for individual client accounts may vary from the rate of return quoted within the documents depending on the timing of the initial investment and subsequent additions and/or withdrawals.
Risk Contribution Disclosure
Portfolio Risk Contribution is computed as the standard deviation of daily return observations. Individual asset risk is computed as the weighted marginal portfolio risk. Asset covariance is estimated using daily returns over the previous 50-days.