Skip to main content
PGIM Quantitative Solutions LogoPGIM Quantitative Solutions Logo
  • About Us
    • Our Philosophy
    • Our History
    • The Team
    • Diversity, Equity & Inclusion
    • Contact Us
  • All Insights
    • ESG
    • Market Views
  • ESG Overview
    • ESG Insights
    • ESG Policy
    • Stewardship and Governance
  • Overview of Solutions
    • Quantitative Equity
    • Multi Asset
    • PGIM Wadhwani
    • PGIM DC Solutions
  • Client Log In
  • Careers
Waveform depicting patterns
Multi Asset

Defensive EquityDefensiveEquity

PGIM Quantitative Solutions' US Market Participation Strategy (MPS) seeks to provide upside equity participation while seeking to reduce downside risk.

  • Fact Sheet
  • Commentary
  • Strategy Overview
Share
  • Mail
  • LinkedIn
  • Twitter
  • Copy URL

Share

Table of Contents
Reasons To Invest
Investment Approach

Reasons To Invest

  • Seeks to Capture 60% of Market Upside With Only 30% of the Downside  
  • Utilizes Highly Liquid Instruments to Achieve Targeted Exposures
  • Provides Diversification to Traditional Asset Classes Within an Overall Portfolio

There is no guarantee that these objectives will be achieved.

Investment Approach

MPS Combines Quantitative Parameters and Portfolio Manager Judgement

The strategy dynamically adjusts factor exposures (market, volatility, and duration) using:

  • S&P 500 Index options and futures, which provide equity participation with limited risk
  • US Government bonds and futures, which seek to preserve capital and provide downside protection

Exposures Are Actively Managed In Response To Changing Market Conditions

Since the strategy’s inception on 1/1/1992, this combination of reduced maximum drawdown with significant upside capture has provided annualized returns in line with the S&P 500 Index over the long term – but with significantly less volatility.

Source: PGIM Quantitative Solutions. Shown for illustrative purposes only. There is no guarantee that these objectives will be achieved.

Meet the Portfolio Managers

  • Devang Gambhirwala
    Devang Gambhirwala

    Portfolio Manager

  • Joel M. Kallman
    Joel M. Kallman

    Portfolio Manager

  • Marcus M. Perl
    Marcus M. Perl

    Portfolio Manager

Related Insights

Building and Evaluating Better Risk-Aware Strategic Portfolios
Research

Building and Evaluating Better Risk-Aware Strategic Portfolios

Oct 12, 2021

The optimal method for constructing and evaluating strategic allocations, incorporating risk metrics that span beyond standard deviation.

Downside Protection during Market Drawdowns
Case Study

Downside Protection during Market Drawdowns

Apr 2, 2020

PGIM Quantitative Solution’s US Market Participation Strategy (MPS) seeks to provide upside market participation while reducing downside risk.

Market Protection for Turbulent Times
White Paper

Market Protection for Turbulent Times

Mar 15, 2021

Learn why and how to add risk mitigation strategies to your portfolio, particularly in a market downturn.

  • About Us

    • Overview
    • Our Philosophy
    • Our History
    • The Team
    • Inclusion & Diversity
    • Contact Us
    • Careers
  • Insights

    • Overview
    • ESG
    • Market Views
  • ESG

    • Overview
    • Insights
    • ESG Policy
    • Stewardship and Governance
  • Solutions

    • Overview
    • Quantitative Equity
    • Multi Asset
    • PGIM Wadhwani
    • PGIM DC Solutions
PGIM Quantitative Solutions Logo
  • Terms & Conditions
  • Privacy Center
  • Accessibility Help
  • Cookie Preference Center

For Professional Investors only. All investments involve risk, including the possible loss of capital.

The content and materials presented here are for informational and educational purposes only and should not be construed as investment advice or an offer or solicitation in respect of any products or services to any persons who are prohibited from receiving such information under the laws applicable to their place of citizenship, domicile or residence. PGIM Quantitative Solutions LLC (PGIM Quantitative Solutions or PGIM Quant), formerly known as QMA LLC, is an SEC-registered investment adviser and a wholly-owned subsidiary of PGIM, Inc. (PGIM), the principal asset management business of Prudential Financial, Inc. (PFI) of the United States of America. Registration with the SEC does not imply a certain level of skill or training. PFI of the United States is not affiliated in any manner with Prudential plc incorporated in the United Kingdom or with Prudential Assurance Company, a subsidiary of M&G plc, incorporated in the United Kingdom. 

In the United Kingdom, information is issued by PGIM Limited with registered office: Grand Buildings, 1-3 Strand, Trafalgar Square, London, WC2N 5HR. PGIM Limited is authorised and regulated by the Financial Conduct Authority (“FCA”) of the United Kingdom (Firm Reference Number 193418). In the European Economic Area (“EEA”), information is issued by PGIM Netherlands B.V. with registered office: Gustav Mahlerlaan 1212, 1081 LA Amsterdam, The Netherlands. PGIM Netherlands B.V. is authorised by the Autoriteit Financiële Markten (“AFM”) in the Netherlands (Registration number 15003620) and operating on the basis of a European passport. In certain EEA countries, information is, where permitted, presented by PGIM Limited in reliance of provisions, exemptions or licenses available to PGIM Limited under temporary permission arrangements following the exit of the United Kingdom from the European Union. 

These materials are issued by PGIM Limited and/or PGIM Netherlands B.V. to persons who are professional clients as defined under the rules of the FCA and/or to persons who are professional clients as defined in the relevant local implementation of Directive 2014/65/EU (MiFID II). PGIM Quantitative Solutions, PGIM Limited and/or PGIM Netherlands B.V. are indirect, wholly-owned subsidiaries of PGIM. These materials are not intended for distribution to, or use by, any person in any jurisdiction where such distribution would be contrary to local or international law or regulation.

In Japan, investment management services are made available by PGIM Japan, Co. Ltd., ("PGIM Japan"), a registered Financial Instruments Business Operator with the Financial Services Agency of Japan. In Hong Kong, information is provided by PGIM (Hong Kong) Limited, a regulated entity with the Securities & Futures Commission in Hong Kong to professional investors as defined in Section 1 of Part 1 of Schedule 1 (paragraph (a) to (i) of the Securities and Futures Ordinance (Cap.571). In Singapore, information is issued by PGIM (Singapore) Pte. Ltd. (“PGIM Singapore”), a Singapore investment manager that is licensed as a capital markets service license holder by the Monetary Authority of Singapore and an exempt financial adviser. These materials are issued by PGIM Singapore for the general information of “institutional investors” pursuant to Section 304 of the Securities and Futures Act, Chapter 289 of Singapore (the “SFA”) and “accredited investors” and other relevant persons in accordance with the conditions specified in Sections 305 of the SFA. In South Korea, information is issued by PGIM Quantitative Solutions, which is licensed to provide discretionary investment management services directly to South Korean qualified institutional investors on a cross-border basis.

PGIM, PGIM Quantitative Solutions logo and the Rock design are service marks of PFI and its related entities, registered in many jurisdictions worldwide.

© 2022 PGIM Quantitative Solutions. All Rights Reserved.
 

You are viewing this page in preview mode.

Edit Page