C8 Multi-Asset Global Opportunities August 2022 Monthly Report
The first few months of the Multi-Asset Global Opportunities certificate have been characterised by volatile markets with sharp trend reversals, as inflation concerns cause an unwinding of long-held positions. However, in August, as the inflation viewpoint becomes established, the certificate was able to capture these moves, rebounding sharply to rise by 4.6% in the month.
Looking at the component performance (see table below), systematic macro, rates and FX risk premia added to the overall gain, whilst commodity risk premia and equity ‘good governance’ had a negative impact. Note, the risk parity component has now been assigned a zero weight by C8’s proprietary Tactical Asset Allocation (TAA) algorithm.
The TAA is designed to adapt to changing trading environments, and we note the combined index has a strong long-term track record across many different market environments.