Investment Objective
The Algebris Macro Credit Fund aims to generate attractive risk-adjusted returns across sovereign, bank and corporate debt globally, hedging macro risks and optimising diversification and liquidity. The Fund targets +6% to +7% annualised returns with ~5% volatility over an investment cycle. It adopts a multi-strategy, flexible approach, and has the ability to take long and short positions, employ prudent leverage and use derivatives where appropriate.
Latest Meeting Note
Meeting 15 Sep 2020
The Algebris Global Credit Opportunities fund is a multi-sector, macro orientated credit strategy that combines top-down macro asset allocation with bottom-up micro research to construct a portfolio of high conviction investments, with t...
The Algebris Global Credit Opportunities fund is a multi-sector, macro orientated credit strategy that combines top-down macro asset allocation with bottom-up micro research to construct a portfolio of high conviction investments, with the aim of generating mid to high single digit returns over the cycle whilst seeking to control volatility (5-6% p.a.). While the strategy has the ability to invest across different asset classes (including FX, Commodity and Equity) the portfolio is built around a core ‘high value’ credit book that offer opportunities for capital appreciation. Within this bucket, the PM has the flexibility to compare investment opportunities across the entire capital structure globally: sovereign debt in hard and local currency, private sector corporates and financials. The mandate is unconstrained, with the fund’s rates/spread duration budget ranging from -/+8 years. The remainder of the portfolio includes a macro book, which trades RV rates, credit and FX. There is also a tail hedging overlay which is largely implemented via derivatives.
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 1.0 | 0.1 | 0.9 | 0.7 | 0.3 | 0.6 | 0.3 | 0.1 | 0.3 | 0.7 | 1.0 | 0.3 | 0.7 | |
2022 | 0.9 | 0.0 | 0.5 | 0.0 | 0.7 | 0.3 | 0.3 | 0.9 | 0.0 | 0.7 | 0.4 | 0.1 | 1.0 |