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Absolute Return Bond Strategy
Key facts*
| Investment objective | The strategy aims to achieve a positive return over the medium-term, irrespective of market conditions, by investing in global bond and currency markets, working within a robust risk budget framework |
| Lead portfolio manager | Quentin Fitzsimmons |
| Benchmark | 3-month LIBOR |
| Performance target | To outperform the benchmark by 3% per
annum (gross of fees) over a medium-term time horizon |
| Target VaR | Up to 1% (5-day, 95% confidence limit) |
| Credit quality | Has typically averaged AA |
| Number of holdings | We hold a diversified range of securities in the portfolio |
Philosophy
We believe a flexible, dynamic and multi-disciplined approach to fixed income investment is needed to exploit the best investment opportunities. We seek to build incremental returns by allocating active risk to where our research process identifies the best sources of risk-adjusted outperformance.
Process
We blend together a wide range of fixed income instruments to
deliver the targeted return. To achieve this, we construct a
portfolio using two main building blocks, each of which delivers
different aspects of performance:
- The 'core' portfolio aims to provide security of returns, liquidity and collateral to the alpha portfolio by investing in short-dated, high grade bonds.
- The 'alpha' portfolio targets a return of 3% above 3-month LIBOR by investing predominantly in derivative strategies, delivered via an overlay to the core portfolio.
*All data as at 31 December 2011. Where references are made to portfolio guidelines or features, these may be subject to change over time and prevailing market conditions. Actual investment parameters will be agreed and set out in the prospectus or formal investment management agreement. Please note that the performance target may not be attained.