Investment Objective
To increase the value of your investment, while seeking a positive return in any market conditions (absolute return) and capital preservation. The fund will seek exposure mainly to emerging markets (including Mainland China) through a broad range of corporate and government bonds, convertible bonds, money market instruments, currencies and/or deposits.
Reference Index
ICE LIBOR USD O/N (USD)
Latest Meeting Note
Meeting 24 Feb 2021
The fund is a high conviction, macro and relative value strategy that targets dispersion to deliver returns across all market conditions. The fund invests in a wide range of emerging market sovereign bonds, FX, rates and credit, used by ...
The fund is a high conviction, macro and relative value strategy that targets dispersion to deliver returns across all market conditions. The fund invests in a wide range of emerging market sovereign bonds, FX, rates and credit, used by the PM to build a liquid portfolio with low correlation to traditional assets and risk factors. The fund targets LIBOR 6-8% gross return with an expected volatility of 4-6% annualised and trades weekly, with the team managing c. $1bn at the strategy level with the bulk ran internally on a platform, with strategy capacity around $1.5bn. The strategy is managed by Ketan Gada (Head of Total Return EM Fixed Income) and is supported by two experienced Senior Investment Managers Rav Singh and Thibaut Nocella. The investment process starts with a top-down analysis of the global macro risk environment, looking at the expectations (GDP, FX, monetary policy) of core economies (US, China, Europe, Japan), which helps to guide how to look at emerging markets individually. Following up, the team do detailed bottom-up country analysis to understand how economies will react to these top down factors. This combination of top-down and bottom-up helps the team to identify mispricings and where opportunities exist. From here the team look at the assets best able to implement their views and capture the identified mispricing, whilst also deciding if it should be implemented directionally or in a relative value manner. The portfolio is split into four buckets. Core themes represent 50% of risk and are longer term thematic macro plays, typically held for around 9 months. The relative value book includes lower-beta trades that exhibit low directionality (eg curve, asset swap, butterfly trades), these are c. 20% of risk and are held for around 3 months. The rest of the book is constructed from dynamic opportunities (20%) which are short-term tactical trades as well as tail hedges (10%).
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 0.5 | 0.2 | 0.7 | 0.5 | 0.8 | 0.4 | 0.4 | 0.6 | 0.8 | 0.8 | 0.4 | 0.3 | 0.8 | |
2022 | 0.5 | 0.6 | 0.8 | 0.7 | 0.2 | 0.2 | 1.0 | 0.6 | 0.5 | 0.5 | 1.0 | 0.1 | 0.3 |