Polar Capital Global Absolute Return

The Polar Capital Global Absolute Return fund is managed by David Keetley (ex Vicis Capital, ORN Capital) and Steve McCormick (ex Vicis Capital, Moore Capital) and are supported by David Sugarman (Head of Credit and Convertible Research at Polar Capital) plus two analysts. David and Steve originally ran a convertible arbitrage fund at Polar from 2010 – 2016, with this providing the background for the current absolute return product. The team also run a long-only fund launched in 2013. The absolute return fund allocates across 5 sub investment categories with distinct and diversifying characteristics. The investment process is bottom-up in nature and consists of credit, convertible/convexity and equity analysis – with a focus on identifying short and medium term catalysts. The underlying strategies the fund allocates to are; equity hedged converts (typical convertible arbitrage, long convertible and short equity with frequent re-hedging), asymmetric profiles (similar to the prior but with partial or no equity hedge), put profiles (deep in the money converts, fully equity hedged), income defensive (low risk carry trades that are incremental to returns) and convertible call writing (selling short dated call against long convertible position). The fund typically holds 40-80 positions and owing to the structure of the diversifying sub-strategies, the net equity exposure stays within a range of +/- 20%. The fund targets an annual return of 10-12% with a volatility target around 6%, whilst focusing on a low correlation to other asset classes. Looking forward, the team are very constructive on the outlook for convertibles owing to their current attractive pricing despite coming off a standout year, plus convertible issuance in 2020 was from a wide variety of issuers creating a diverse opportunity set and building on this, the level of issuance remains strong, with last year the highest level seen since 2007 and many of the factors supporting issuance persisting in 2021.