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Using Regime-Based Analysis to Develop a Resilient Canadian Glide Path

September 2018

Being aware of extended and cyclical market environments can help inform the ongoing development and evaluation of a glide path.

Highlights

  • As Central Banks reduce liquidity and global economies move to late cycle, the importance of having a resilient strategic asset allocation combined with a flexible investment process becomes more prominent.
  • Examining Canadian and global financial markets since 1952, and using modern artificial intelligence and proprietary machine learning tools, our research has identified three distinctive structural states that have taken place in the history of Canadian financial markets. These “regimes” have influenced the risk and return characteristics of the major asset classes of Canadian investors (i.e., Canadian stocks, foreign stocks, Canadian investment-grade bonds, and Canadian short-term investments).
  • Understanding the impact of these states and regimes – and the transitions between different market environments – can provide insights that inform the ongoing development of a Canadian glide path, the major driver of a target date strategy’s return and risk over time.
  • This research helps provide investors in our Canadian target date strategy with a portfolio that seeks to be resilient to different market environments, and yet flexible enough to evolve with the dynamic nature of the markets.

The history of the financial markets can be categorized into three distinctive states, each of which has often lasted for multiple years.

Authors

author portrait
Srinivas Maloor Senior Research Analyst
Srinivas Maloor is a senior research analyst in Target Date Strategies, within the Global Asset Allocation (GAA) division of Fidelity Investments. He works with the target date portfolio management team, and leads the team’s strategic asset allocation research and design. Additionally, he conducts investment research for multi-asset class strategies investment decision-making in areas including active asset allocation, portfolio construction, and risk management. Mr. Maloor joined Fidelity in 2012 and has been part of the target date strategies team since then.
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Brett Sumsion Lead portfolio co-manager
Brett Sumsion is a portfolio manager in the Global Asset Allocation group at Fidelity Investments. In this role, he is responsible for co-managing Fidelity’s U.S. and Canadian target date portfolios.

Before joining Fidelity in 2014, Mr. Sumsion held various positions at DuPont Capital Management, Inc., including that of managing director of asset allocation and portfolio manager. Previously, Mr. Sumsion worked at Strategis Financial Group, Inc., where he was chief executive officer and vice-president of asset allocation research. He has been in the investments industry since 2001.