PIMCO Global Multi-Asset

Discuss all general (i.e. non-personal) investing questions and issues, investing news, and theory.
Post Reply
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

PIMCO Global Multi-Asset

Post by Robert T »

.
The PIMCO Global Multi-Asset Fund is presented as follows (my highlights):
  • Strategy Overview

    In a complex and constantly evolving global economy where sudden market shocks or “black swans” occur with alarming frequency, investors need to reassess how to best achieve their investment objectives while managing downside risk. In the new investment landscape, simply investing in stocks and bonds may not be enough and investors should consider additional sources of portfolio diversification. The Global Multi-Asset strategy is a comprehensive asset allocation solution and designed to be a complete expression of PIMCO’s macroeconomic investment views across major asset classes including global equities, global bonds, diversified commodities and real estate.

    The strategy combines a differentiated “risk factor”–based approach to asset allocation with PIMCO’s strategic insight on the global macroeconomy to construct a portfolio that is highly diversified not only across asset classes, but also across global risk factors. Another key differentiating feature of the investment strategy is the use of a systematic approach to tail risk hedging that seeks to help protect the portfolio against sudden market shocks by purchasing inexpensive hedges across various liquid markets.

    The strategy offers daily liquidity to investors and obtains desired portfolio exposures through a combination of various PIMCO strategies, unaffiliated funds (e.g., Exchange Traded Funds [ETFs]) and direct security holdings. The portfolio is managed by a team of three highly experienced portfolio managers, led by Dr. Mohamed El-Erian, PIMCO’s CEO and co-CIO.

    http://www.pimco.com/EN/Solutions/Pages ... Asset.aspx
YTD returns:
PIMCO Global Multi Asset (PGMAX) = -8.2%
Stock (ACWI) = +18%,
Bonds (US TBM) = -2%

Annualized return over last 5 years (close to since inception date of 10/8/2008):
PIMCO Global Multi Asset (PGMAX) = 5.5%
iShares MSCI ACWI = 14.3%
Vanguard Total Bond Market = 5.2%

The tax cost of the PIMCO fund has been about 2% per year (higher than the Vanguard TBM) - which equates to about an after tax return of 3.5% since inception.

The fund strategy seems to be a form of marketing timing (temporal macroeconomic risk hedging) as I understand - which seems difficult to do - even for a 15 year IMF veteran, ex-manager of the Harvard Endowment, and author of the much acclaimed "When Markets Collide" book ( http://en.wikipedia.org/wiki/Mohamed_A._El-Erian ). Maybe the fund performance will improve over time, but since inception a portfolio of just stock and bonds looks fairly good in comparison. Obviously no guarantees.

Robert
.
Last edited by Robert T on Tue Nov 12, 2013 5:37 am, edited 1 time in total.
umfundi
Posts: 3361
Joined: Tue Jun 07, 2011 5:26 pm

Re: PIMCO Global Multi-Asset

Post by umfundi »

Though I don't subscribe to market timing, "temporal macroeconomic risk hedging" sounds like a good thing.

Keith
Déjà Vu is not a prediction
Levett
Posts: 4177
Joined: Fri Feb 23, 2007 1:10 pm
Location: upper Midwest

Re: PIMCO Global Multi-Asset

Post by Levett »

Hi Robert,

The first time you list the fund you write PCMAX, not PGMAX (the accurate symbol that you cite the second time).

More to the point, with an ER of 1.61 (according to Morningstar) the adjectives associated with the fund are pretty expensive!

I figure each buzzword costs about 0.25. ;-)

Lev
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Re: PIMCO Global Multi-Asset

Post by Robert T »

Levett wrote:The first time you list the fund you write PCMAX, not PGMAX (the accurate symbol that you cite the second time).
Thanks Lev. Corrected the earlier post.
User avatar
Topic Author
Robert T
Posts: 2803
Joined: Tue Feb 27, 2007 8:40 pm
Location: 1, 0.2, 0.4, 0.5
Contact:

Re: PIMCO Global Multi-Asset

Post by Robert T »

.
Saw this update today on M*.
Seeking More Focus From El-Erian, PIMCO Tightens Manager Team on PIMCO Global Multi-Asset

PIMCO this week announced that Saumil Parikh, a comanager for the past year-plus on PIMCO Global Multi-Asset (PGAIX), is stepping off the $3 billion fund as of Nov. 30.

PIMCO is making the change to try to boost the fund's performance, which has been poor. With the change, PIMCO is seeking to have the fund's lead manager, Mohamed El-Erian, focus more of his efforts on managing the fund. To do so, El-Erian will be relinquishing some of his duties managing separate accounts using the total return strategy and will take more of a hands-on role on some of the day-to-day activities on the fund that Parikh had been handling. Parikh, who has been with PIMCO since 2000, will be taking over some of the total return separate accounts that El-Erian had been handling and will retain several key responsibilities at the firm, including his participation on its investment committee.

The other comanagers on the fund are Vineer Bhansali, who oversees tail-risk hedging, and Curtis Mewbourne, who handles security selection. El-Erian historically had handled asset allocation and big-picture issues on the fund.
.
User avatar
nisiprius
Advisory Board
Posts: 52105
Joined: Thu Jul 26, 2007 9:33 am
Location: The terrestrial, globular, planetary hunk of matter, flattened at the poles, is my abode.--O. Henry

Re: PIMCO Global Multi-Asset

Post by nisiprius »

Robert T wrote:...[PIMCO says] "In the new investment landscape, simply investing in stocks and bonds may not be enough and investors should consider additional sources of portfolio diversification"....[but] since inception a portfolio of just stock and bonds looks fairly good in comparison.
Indeed. Claims that there are other investments that are far superior to the two traditional securities always leave me cold. Morningstar classes PGMAX as a "tactical asset allocation fund," and it didn't do all that badly relative to their benchmark--until this year (and aside from that, Mrs. Lincoln, how did you like the play?)

Image

But now let's throw in a dumb old fund that does its work by "simply investing in stocks and bonds." It sure looks to me as if Wellesley did better than either PGMAX or the benchmark at protecting against "sudden market shocks or 'black swans.'" Although PGMAX started when the crash was well in progress, so we aren't seeing how it would have done over the full 50% crash. Still...

Image

And, from inception to date, Wellesley did much better than either PGMAX or the benchmark. And I defy you to see any place in the record where Wellesley was showing more fluctuation than PGMAX or the benchmark.

Image

I just don't get the contempt for "simply investing in stocks and bonds" and the drumbeat of insistence that you "need" alternatives.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.
User avatar
Toons
Posts: 14459
Joined: Fri Nov 21, 2008 9:20 am
Location: Hills of Tennessee

Re: PIMCO Global Multi-Asset

Post by Toons »

Robert T wrote:.
The PIMCO Global Multi-Asset Fund is presented as follows (my highlights):
  • Strategy Overview

    In a complex and constantly evolving global economy where sudden market shocks or “black swans” occur with alarming frequency, investors need to reassess how to best achieve their investment objectives while managing downside risk. In the new investment landscape, simply investing in stocks and bonds may not be enough and investors should consider additional sources of portfolio diversification. The Global Multi-Asset strategy is a comprehensive asset allocation solution and designed to be a complete expression of PIMCO’s macroeconomic investment views across major asset classes including global equities, global bonds, diversified commodities and real estate.

    The strategy combines a differentiated “risk factor”–based approach to asset allocation with PIMCO’s strategic insight on the global macroeconomy to construct a portfolio that is highly diversified not only across asset classes, but also across global risk factors. Another key differentiating feature of the investment strategy is the use of a systematic approach to tail risk hedging that seeks to help protect the portfolio against sudden market shocks by purchasing inexpensive hedges across various liquid markets.

    The strategy offers daily liquidity to investors and obtains desired portfolio exposures through a combination of various PIMCO strategies, unaffiliated funds (e.g., Exchange Traded Funds [ETFs]) and direct security holdings. The portfolio is managed by a team of three highly experienced portfolio managers, led by Dr. Mohamed El-Erian, PIMCO’s CEO and co-CIO.

    http://www.pimco.com/EN/Solutions/Pages ... Asset.aspx
YTD returns:
PIMCO Global Multi Asset (PGMAX) = -8.2%
Stock (ACWI) = +18%,
Bonds (US TBM) = -2%

Annualized return over last 5 years (close to since inception date of 10/8/2008):
PIMCO Global Multi Asset (PGMAX) = 5.5%
iShares MSCI ACWI = 14.3%
Vanguard Total Bond Market = 5.2%

The tax cost of the PIMCO fund has been about 2% per year (higher than the Vanguard TBM) - which equates to about an after tax return of 3.5% since inception.

The fund strategy seems to be a form of marketing timing (temporal macroeconomic risk hedging) as I understand - which seems difficult to do - even for a 15 year IMF veteran, ex-manager of the Harvard Endowment, and author of the much acclaimed "When Markets Collide" book ( http://en.wikipedia.org/wiki/Mohamed_A._El-Erian ). Maybe the fund performance will improve over time, but since inception a portfolio of just stock and bonds looks fairly good in comparison. Obviously no guarantees.

Robert
.
Thanks but No Thanks :happy
"One does not accumulate but eliminate. It is not daily increase but daily decrease. The height of cultivation always runs to simplicity" –Bruce Lee
Post Reply