MGIM implements a systematic strategy with the potential to invest in multiple asset classes. Our portfolio is comprised of an active long/short commodity component and strategic bond and equity exposure components
This component yields a portfolio of global liquid instruments and strategies that historically have performed in periods of stress for equities. The active long/short spot and futures positions in currency, fixed income, stock index and commodity instruments are determined by statistical-learning-based "quantitative multi-factor" strategies combined with complementary trend-following, which respond to different market conditions.
This component yields a relatively passive portfolio of global and U.S. exchange traded funds ("ETFs"). The equity and fixed income positions generally consist of relatively passive buy and-hold strategies with the goal of maximizing diversification as determined primarily by correlation and risk analysis.
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