Fixed Income Philosophy
Our investment approach leverages risk-adjusted returns and outperformance of three key investment principles:
+ Risk Consideration
+ Investment Diversification
+ Consistent Generation of Accretive Alpha (Outperformance)
Defined key returns or alphas will come from the following four aspects:
+ Relative Modified Duration Positioning
+ Relative Yield Curve Positioning
+ Credit Exposure
+ Securities/Instruments Selections & Relative Value Trading
We constantly monitor and assess the macroeconomic landscape in terms of risk. When the paradigm shifts, we calibrate our position.
FIXED INCOME INVESTMENT PROCESS
Our investment process focuses on targeting various sources of alpha. This forms the basis from which we form our fundamental top-down, qualitative, bottom-up and quantitative research. Our fundamental research process is concentrated on analysing sectors from expected issuance, potential macro-economic drivers, and other “technical” challenges.
We manage liquidity and exposure away from sectors with prevailing challenges into those more favourably suited to the forecast environment.
We avoid credit where ESG issues have been raised by our team’s internal ESG reviews.
To achieve consistent alpha, we believe in:
+ Aggregating the PMs’ skills to analyse and exploit a wide-ranging opportunity set to ensure a diversified portfolio.
+ Allocating risk accordingly based on our team’s convictions across these different alpha opportunities. This is crucial in achieving our goal of consistency of outperformance (mandated benchmark) over different market cycles.
+ Allocating risk accordingly based on our team’s convictions and the degree of their convictions.
+ Ultimately, we seek to create an optimised portfolio that seeks to maximise expected active return- while minimising volatility. The optimised portfolio demonstrates an efficient allocation of risk, cognisant of mandate limits across the global opportunity sets. We believe this approach is repeatable and gives us the best chance to achieve our goal of superior risk-adjusted returns over different market cycles. Our main objective is to maximise the Information ratio.
Ultimately, we seek to maximise the Information Ratio through maximizing alpha and minimising volatility.
We achieve this through achieving a low tracking error. We create an optimized portfolio using a technique which is repeatable and gives us the best chance to achieve our goal of superior risk-adjusted returns over different market cycles.
The optimised portfolio demonstrates an efficient allocation of risk, cognisant of mandate limits across the global opportunity set.