Multi-Asset



Multi-Asset management was developed by CPR AM from the moment the firm was founded and has now taken its place as one of its core capabilities.

Based on a top-down approach, the process has been combined since 1996 with a proprietary asset allocation model covering a global universe. This model has been constantly enriched and is based on a probabilistic multi-scenario approach whose objective is to optimise the risk-return pairing over a given time horizon.

Over the years, these changes have allowed CPR AM to build up a robust diversified management that is adjusted and adjustable to various strategies and management frameworks.

“ACADEMIC STUDIES HAVE SHOWN THAT ASSET ALLOCATION HAS BEEN THE MAIN SOURCE OF RETURNS IN THE LAST 30 YEARS.”

Arnaud Faller, Chief Investment Officer at CPR AM



THE PILLARS OF OUR INVESTMENT MANAGEMENT philosophy

PURE ALLOCATION THAT MAXIMISES DIVERSIFICATION AND OPPORTUNITIES

FLEXIBILITY AND RESPONSIVENESS

RISK CONTROL AT EACH STAGE OF THE INVESTMENT PROCESS



ASSET ALLOCATION: THE CORNERSTONE OF OUR MANAGEMENT STRATEGY

The main approach taken by CPR AM aims to achieve the best return for a given level of risk and investment horizon. Asset allocation is at the heart of the construction of diversified portfolios. It addresses three “key” issues:



1. Establishing the best possible allocation through an optimum combination of the various eligible assets 

  • Rallying all of CPR AM’s capabilities to produce several market scenarios and their probabilities of coming to pass.
  • Determining an optimum allocation for each portfolio via our allocation model.

2. Placing risk control at the core of the strategy 

Managing a pre-set risk budget under certain restrictions (expressed as volatility, tracking error, maximum loss, etc.) and reflecting extreme market risks.

3. Focusing on active management of exposures 

Capitalising on the investment management team’s experience and implementing a responsive tactical allocation to tap into the most favourable trends and/or to hedge the risks.



Asset allocation is based on the following considerations:

  • A probabilistic multi-scenario approach to broaden the field of possibilities and come as close as possible to market risk.
  • A propriety asset allocation model to construct an optimised portfolio based on each portfolio’s scenarios, risk budget, and constraints.
  • Constant adjustment of exposures to short-term market conditions through tactical allocations, in order to tap into opportunities and hedge against risks.


THE STRONG POINTS OF OUR MULTI-ASSET MANAGEMENT STRATEGY



CONVERTIBLE BONDS, the best of both worlds

With more than 20 years of experience in convertible bonds, CPR Asset Management is a long-standing player in this asset class. The investment management of the convertible bond portfolios is entrusted to an experienced team that is fully integrated into the diversified strategy department. The two specialist managers have asset allocation tools and research available to them, along with operating circuits and synergy set up with CPR AM other managers (equities, credit), particularly to monitor issuers.

The manager’s strategy aims to optimise returns and limit risk using a model based on four performance drivers (interest rates, credit, equities, and volatility).

Past performances are not a reliable indicator of future performances of the funds and of the funds manager.