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Credit Opportunities stategy
Key facts*
| Investment objective | The strategy aims to achieve a positive return, irrespective of market conditions, by investing in a wide range of credit market instruments |
| Lead portfolio manager | Barrie Whitman |
| Benchmark | Citigroup EUR 1-Month Euro Deposit Index |
| Performance target | To outperform the benchmark by 3.5% per annum (gross of fees) |
| Investment universe | The portfolio comprises long and short positions in pan-European high yield and investment grade, as well as other areas of the credit markets. Exposure is via bonds and derivatives |
| Target VaR | Up to 1.5% (5-day, 95% confidence limit) |
| Average credit quality | Will depend on our investment outlook, currently B |
| Leverage | Typically ranges between 100% - 180% |
| Number of holdings | Typically between 120 and 180 positions |
Philosophy
We believe a flexible and multi-disciplined approach is needed to exploit the best investment opportunities across credit markets. 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 use our investment grade and high yield investment processes
to uncover the best investment opportunities across credit markets.
Portfolios are constructed using mainly bottom-up criteria, but
against the backdrop of insights that come from our macroeconomic
analysis and sector allocation preferences. We construct a
portfolio using two main building blocks, each of which delivers
different aspects of performance:
- The 'thematic core portfolio' comprises short-dated bonds and credit default swaps to provide an attractive carry with limited risk. It will be typically be long credit, although the degree and nature of market exposure will depend on prevailing conditions.
- The 'tactical investment overlay' represents the team's strong conviction ideas. It uses bonds and derivatives, seeking to exploit pricing anomalies, credit trends and 'event' opportunities by investing in directional and market neutral strategies to generate high levels of return.
*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.