Our trio of active risk-management benchmarks continue edge out the passive Global Beta 16 (G.B16) benchmark on a year-to-date basis. In two cases, the alpha is substantial (see table below) while Global Managed Volatility (G.B16.MVOL) is outperforming so far in 2022 by a relatively modest degree. For details on the strategy rules and metrics in the tables below, see this summary.
Nonetheless, the fact that all three active benchmarks continue to post lesser declines than the benchmark year to date tells you a lot about how 2022 is unfolding. It’s all (still) about the war in Ukraine. Until there are convincing signs that peace is near — or at least plausible in the near term — the case for risk-off in some manner and degree remains compelling. Unfortunately, the latest reports don’t offer much hope that a release of the doves is imminent. ■