Mosaic
Summary
Mosaic
| Primary Objective | Framework | Method |
|---|---|---|
| Add diversified cross-asset exposure. | Updated Permanent Portfolio architecture. | Expand balance sheet while managing risk. |
Framework Features
| Sub-Objective | Implementation |
|---|---|
| Multi-asset exposure | Portable Alpha |
| Antifragile construction with minmized path dependency | Nested ensembles. Simplify root level axioms while maximizing utility drawn from them. Diversification across assets and internal framework structure. |
| Resilience through regime shifts | Nowcasting driven asset risk weighting based on growth and inflation. |
| Adaptability and alignment with new paradigms | Trend overlays and market confirmation in series with nowcasting |
| Consensus decision hierarchy embeds emergent convexity and trend. Rebalancing between uncorrelated sleeves harvests variance and mean reversion. | Consensus decision hierarchy that embeds emergent convexity and exposure to trend. Rebalancing between uncorrelated sleeves to harvest variance and mean reversion. |
| Actively manage risk | Portfolio-level risk testing and dynamic drawdown control. |
| Modular construction | Signals, assets, and managers, can plug in to the consensus hierarchy. Open external interface for communication with outside systems. |
Benefits
| Manager Benefit | Managers do not have to consider retirement glidepath or impact of withdrawals. |
| Portfolio Benefit | Centralized coordination which manages cross-asset correlations, leverage levels, drawdown control, rebalancing, and the general array of portfolio-level maintenance. |
Meta Level Priorities
| Objective | Manage withdrawals and retirement glidepath above and beyond optimizing for geometric compounding. |
| Implementation | Risk engine that optimizes against risk of ruin, takes into account sequencing risk, and accounts for the negative reflexivity of fixed withdrawals |
Secondary Priority
Secondary Priority
Generate cash flow to blunt withdrawal impact.
Secondary Features
Income generating overlays.
- Manageable risk outlay.
- Ability to unwind within 2 minutes.
- Uncorrelated returns to market beta.
Overlay Summary
| Pod | Function | Duration |
|---|---|---|
| Pod 1 | VRP harvesting, long vega structuring | 1–2 weeks |
| Pod 2 | VRP harvesting, term structure roll-down | 2–8 weeks / medium term volatility regimes |
| Pod 3 | VRP harvesting, tactical | 1–4 weeks |
| Pod 4 | Single name front contract decay harvesting | 1–5 days |
| Pod 5 | Earnings positioning front-run, long vega structuring | 1–4 weeks |
Additional Links
Performance Summaries
Mosaic Materials