Building and Evaluating Better Risk-Aware Strategic Portfolios
The optimal method for constructing and evaluating strategic allocations, incorporating risk metrics that span beyond standard deviation.
Defensive Equity
PGIM Quantitative Solution’s US Market Participation Strategy (MPS) seeks to provide upside equity participation while seeking to reduce downside risk.
Table of Contents
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.
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
Downside Protection during Market Drawdowns
PGIM Quantitative Solution’s US Market Participation Strategy (MPS) seeks to provide upside market participation while reducing downside risk.
Market Protection for Turbulent Times
Learn why and how to add risk mitigation strategies to your portfolio, particularly in a market downturn.