Multi-management: how can several voices sing in harmony?

In The Marriage of Figaro's Act III sextet, six voices reach harmony while singing their individual part. We find a parallel with the multi-manager’s mandate: aiming to select the best performers in each category, knowing each fund inside out including the conditions in which they may perform best, and building a unique portfolio seeking to deliver alpha in any given market regime.

Auditioning candidates to select the best soloists in their category

Just like auditions are a crucial initial step in building a harmonious ensemble, building a multi-strategy portfolio starts with selecting quality expertise. We believe a good level of diversification is achieved through a selection of 30 to 35 managers. In order to build an all-weather portfolio aiming to perform in all market regimes, we think investors should select several underlying strategies within each asset class, each one exhibiting a specific risk/return profile:

  • Within fixed income, relative value strategies at the micro level and macro level. While the first ones aim to exploit dislocations within the same yield curve so as to deliver regular returns over time, the latter aim to benefit from directional positions via options
  • Global macro strategies aim to capture market trends in volatile markets. We like to select managers with skills in one or several asset classes: fixed income, equities, currencies.
  • Equity long-short: we tend to favor sector specialists with neutral or low market exposure. They aim to generate alpha on both long and short positions; their favorite environment to perform is directionless markets with sector dispersion.
  • Quantitative strategies: we select managers with various investment techniques: equity statistical arbitrage, volatility arbitrage, trend following
  • Credit strategies are usually sized up when the strategy offers unlevered equity-like returns with a better asymmetry
  • Event-driven has a more opportunistic role in the portfolio as the strategy is highly dependent on market environments such as strong M&A cycle and stable regulation.

The due diligence process should be highly disciplined and fine-tuned over the years. Beyond the usual operational aspects (solidity of the structure of the partnership, operational structure, quality of the team, risk management), it should include an in-depth understanding of the strategy: in which conditions will the strategy deliver its best returns, or, on the contrary, struggle? We believe we should try to spend as much time as possible with managers, analyzing financial as well as soft skills: personality, communication, temper. We need to understand how the manager will respond in tough markets, and if he is here for a home-run or for the long term. As Duke Ellington said, 'the wise musicians are those who play what they can master’. Like a conductor selects the best voice for each part, we need to know, for each given market environment, which managers will perform at their best.

The best soloists do not always make the best ensemble. It is key to understand how they interact

Hiring the best individual talents is not a guarantee of success; making them work well together is more important. Like the composer would select this soprano and that baritone to create alchemy for a specific part, the multi-manager aims to select the best combination of managers to deliver the target risk/return objective.

Among the tools available for portfolio construction and monitoring, stress-testing and correlation analyses are instruments to check risk diversification, and monitor strategies’ contributions to risk and return across time; while also monitoring thematic exposure. An absolute return approach aims to deliver stable returns in all market conditions. Stability is obtained through diversification, aiming to avoid over-concentrated bets and hidden correlations. In our portfolio, two thirds of strategies exhibit a correlation to each other below 0.25[1].

For example: on the fixed income side, global macro strategies tend to perform best in dislocated markets with trends, while macro relative value funds offer a very convex profile able to capture market changes, even sudden and violent. On the equity side: we will look for dispersion across sectors, hence select sector-specialised long/short managers with small directional biases to the market.

6-month rolling P&L of two underlying strategies

Our key success factor: experience

Across the past 20 years we were able to build a proprietary database that is difficult to replicate. Experience is key to navigate all market environments. We are convinced this is the only way for investors to deliver consistent performance over the years, outperforming the market and indices in down years and navigating market events such as the sell-off in growth against value in Q2 and Q3 2021, and the inflation fears during Q4 21 which materialized with the Ukraine war in February 2022.

What makes a great musician? Talent accounts for 20 per cent, and work and experience for 80 per cent. With our twenty years of investing experience and our very stable team we have built an ensemble able to play the most challenging operas.


All investment strategies involve risks, including the risk of loss of capital. The main risks associated with our strategy are: Risk of capital loss, Equity risk, Interest rate risk, Commodity risk, Credit risk, high Yield risk, Currency risk, Liquidity risk, Derivative risk, Counterparty risk, Model risk, Arbitrage risk, Volatility risk, Emerging market risk, Leverage risk, Index provider risk, Sustainability risk.

The sustainability risk refers to any event or situation in the environmental, social or governance domain that could affect the performance and/or the reputation of the issuers in the portfolio. The sustainability risk may be specific to the issuer, depending on its activities and practices, but it may also be due to external factors.

Past performance of a given financial instrument or index or an investment service or strategy, or simulations of past performance, or forecasts of future performance does not predict future returns.


[1] Source Candriam, CWA Alphamax cross correlation strategies end of November 2022.

  • Maïa Ferrand
    Maïa Ferrand
    Co-Head of External Multi-Management
  • Jean-Gabriel Nicolay
    Jean-Gabriel Nicolay
    Co-Head of External Multi-Management

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