Our Risk-off portfolio performs well.

The investment climate has changed dramatically in the recent two years. Until mid-2018 there was significant support to our high-risk portfolio which outperformed all other sub portfolios but the portfolio for Illiquid Alternatives. Since then, our Risk-off portfolio has shown its worth. Over the last 12 months the portfolio is up almost 15% outperforming both High Risk and Low Risk. In our view there is no doubt that this performance is driven not only by investors that seek protection from the more volatile High Risk markets, but also from investors in Low Risk that seeks alternatives to the policy driven low to negative yielding government bond markets. The search for safe havens has forced investors to look towards liquid alternatives in both Factor, FX, FI and the commodities markets.

Below, we show our correlation analysis for our Risk off portfolio. Both within the portfolio and compared the other CAP-M sub-portfolios, correlations are low. Hence, the sub-portfolio is an importnat building block in the construction of our all-weather CAP-M portfolio.