The strategy seeks to exploit a broad investment universe in order to achieve returns of cash plus 300bps (gross) across the credit cycle.

Strategy overview

  • Globally diversified strategy aims to be market neutral
  • Aims to generate alpha in environments of rising and falling government yield
  • Aims to generate alpha in rising and falling credit spreads

Our approach

Investment strategy

  • Invests predominantly in fixed income securities (cash and derivatives) rated investment grade and across global interest rates, sovereign and corporate credit, currencies and cash. The investment universe is essentially the Investment Grade (IG) Global Aggregate universe, but it is allowed up to 25% in below IG rated issues
  • Designed to try to generate average annual alpha over the cycle of: 65bps from Term Structure (duration and yield curve), 70bps from credit beta (top down market movement on credit spreads), 150bps from credit alpha (bottom up issuer and sector selection) and 15bps from currency risk. The main contributors to performance will vary over time as opportunities arise from the various sources of alpha depending on where we are in the cycle
  • Having no benchmark means the strategy has no embedded market risk and so any risk positions in the strategy are there to reflect high conviction investment ideas coming from the IG team′s investment process. This means that return potential is not a function of underlying market directionality.

Global investment grade expertise

  • Benchmark aware but benchmark agnostic – alpha focus
  • Very experienced team/analysts with a long/short investment mindset
  • Strong focus on capital preservation
  • Tends to perform best in negative risk markets, when issuer performance dispersion is high
  • Extensive users of credit default swaps - both index and single name - to most efficiently implement investment ideas

Additional information

Inception
May 2011
Vehicle
Separate Account, UCITS

Investment team

BlueBay Fixed Income team

Fixed income specialist providing progressive investment solutions

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