Our objective is to achieve a total return in excess of the Bloomberg Global Aggregate Bond Index from a globally diversified portfolio of investment grade rated fixed income securities. We will aim to achieve our targeted annual return in all market conditions and with a limited overall level of risk, maintaining a strong focus on capital preservation.
Strategy overview
- Our proprietary credit analysis identifies underlying trends and market themes, which we express by taking active overweight and underweight positions relative to the benchmark.
- We use credit default swaps as one of a number of techniques designed to deliver absolute-style returns and provide protection against downside risk.
- While we are benchmark aware, we are ultimately benchmark agnostic and will invest in off-benchmark securities if we believe the opportunity to generate returns is favourable.
Our approach
Investment strategy
- The strategy invests predominantly in fixed income securities issued by global investment grade sovereigns and corporates with some modest flexibility to allocate to high yield and select emerging markets to capture alpha
- We are benchmark aware but not constrained, with the flexibility to exploit investment opportunities outside the benchmark.
- The main performance drivers are Term structure, Credit Alpha, Credit Beta and to a lesser extent active FX positions up to 10%
- The strategy has a bottom-up portfolio construction process that implements our strongest conviction ideas, tweaked to reflect the desired top down macro view with regards to duration and spread duration
- The strategy actively makes use of liquid derivative instruments to hedge or implement outright investment ideas. These include government bond futures, CDS (both indices and single name), swaps, options and FX forwards.
- The strategy has flexibility to be long or short relative to its benchmark in order to generate positive excess returns in all market conditions However, it′s important to remember that there will always be embedded credit and interest rate risk in this product.
- The BlueBay Fixed Income Team believes that taking into account environmental, social and governance (ESG) factors is an important aspect of the investment process. As such, ESG integration – the systematic review of material ESG investment risks – is applied across all our strategies.
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
- Track record of performing 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
- Hedge fund skills and tools within a disciplined investment process