Edouard Laurent-Bellue - Partner and Head of Fund Solutions, LFIS
Government bonds have been a tremendous source of performance, with a low or negative correlation to equities, over the last 30 years. The current level of yields across developed markets, with the US now joining Europe and Japan, makes asset allocation much more challenging. In this context, LFIS’ proprietary C2R (carry to risk) method introduces a carry bias to improve upon standard multi asset portfolio construction. The C2R framework compares carry to risk across various equity and credit instruments and also looks to add other diversifying sources of carry, beyond interest rate duration. The result is an innovative, multi-asset allocation with a contrarian approach and limited idiosyncratic risk.
Case Study: Understand how LFIS’ approach navigated Covid-19 – the very definition of an extreme test scenario.