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The views expressed herein do not constitute research, investment advice or trade recommendations and do not necessarily represent the views of all AB portfolio-management teams. Views are subject to revision over time.
Past performance does not guarantee future results.
Data through January 10, 2022
The “Stay at Home” basket is represented by the Goldman Sachs US Stay at Home basket of US-listed equities that may benefit from consumers spending more time and money at home. Stocks are equally weighted with an average daily value cap of 3% on $100 million. The “Go Out” basket is represented by the US Global Health Risk basket, which consists of US-listed equities predominantly in leisure-travel industries (including airlines, hotels, gaming, cruise lines, theme parks, restaurants and mall-based retail) that may be impacted by the perceived threat of a global health issue. The basket is optimized for liquidity and borrowing, with no name greater than 1.5 times an equal-weighted construct.
Source: Goldman Sachs and AllianceBernstein (AB)
Past performance does not guarantee future results.
Data through December 2, 2021
The COVID-19 Macro Basket is constructed from long positions in COVID-19 winners and short positions in COVID-19 losers, as identified through directional filtering, within stocks, bonds, commodities and currencies. Individual asset-class baskets are scaled to achieve 10% annualized volatility, then aggregated to form the overall basket return.
Source: AllianceBernstein (AB)
The views expressed herein do not constitute research, investment advice or trade recommendations and do not necessarily represent the views of all AB portfolio-management teams. Views are subject to revision over time.
Sharat Kotikalpudi is the Director of Quantitative Research in the Multi-Asset Solutions Group at AB, specializing in systematic macro strategies; he leads the group's quantitative research in directional and cross-sectional strategies across developed and emerging markets within equity futures, currencies, rates and commodities. He is also a Portfolio Manager of AB Systematic Macro. Kotikalpudi joined AB in 2010 as a quantitative analyst on the Dynamic Asset Allocation team, where he helped to design and develop the quantitative toolset used in the group’s asset-allocation strategies. He holds a BE in electronics and communication engineering from the Manipal Institute of Technology, India, an MA in mathematics of finance from Columbia University and a PGDM from the Indian Institute of Management Calcutta. Location: New York
Mark Gleason is a Vice President, Managing Director and Head of the Americas Multi-Asset Business Development team, where he's broadly responsible for portfolio strategy and communications. He joined AB in 2009. Previously, Gleason was a director on the Multi-Asset team, with an explicit focus on the group's alternative and risk-managed solutions. Before that, he served as a Multi-Asset product specialist and as a regional consultant in the US Retail Group. Gleason holds a BBA in business economics from Loyola University Maryland and is a CFA charterholder. Location: Nashville