Navigating through flexible bond funds
|
|
- Georgia White
- 8 years ago
- Views:
Transcription
1 WHITE PAPER February 2015 For professional investors Navigating through flexible bond funds Risk management as a key focus point Kommer van Trigt Winfried G. Hallerbach Navigating through flexible bond funds 1
2 Flexible bond funds Flexible bond funds have become increasingly popular. Being benchmark unaware, flexible bond funds escape from the constraining risk-reward profile of an index. Their portfolio allocation can shift quickly over time and across fixed income asset classes and sometimes beyond. The greater diversity and dynamics in the allocations of flexible funds warrant a special focus on transparency and risk management. In this paper, we present focus points that facilitate the comparison and evaluation of flexible bond funds. In addition, we evaluate Robeco s flagship total return bond fund Rorento against these focus points. Flexible bond funds: why invest in them? The global fixed income market is broad, covering many different asset classes, sectors and regions. The returns and risks differ greatly, both across asset classes and over time (see Exhibit 1). This offers great opportunities when a portfolio manager has the flexibility to attune his portfolio to the different prospects the fixed income market offers. In addition, the current low yield environment has fueled the broad desire to widen the margin to maneuver. Exhibit 1 Returns of selected fixed income classes Calendar years, source: Barclays Capital. 1 The value of your investments may fluctuate. Returns obtained in the past are no guarantee for the future. 1 For comparability, all returns (except for local currency emerging market debt) are hedged to USD. Navigating through flexible bond funds 2
3 Flexible bond funds can invest over the full spectrum of fixed income markets: across fixed income asset classes, geographical regions, sectors, tenors and seniority. As a result, they form a heterogeneous fund category and are known under various names, such as unconstrained, strategic income, diversified (income), go-anywhere, total return and absolute return. Although the landscape of flexible bond funds is very diverse, their shared target is to generate positive total return and to preserve capital while using strategies that fully exploit different opportunities in different parts of the bond market. Their flexibility in investment policy signifies an important advantage over: 1. funds dedicated to only a segment of the market (such as government bonds, investment grade or high yield credits, or emerging debt), and 2. funds that are tied to an index under a tracking error constraint. Indeed, the investment flexibility of flexible bond funds does not relate to over- and underweighting specific segments of the market but instead to the composition of the whole portfolio. Being opportunity-driven, their portfolio compositions can be very diverse and change quickly over time. This has important implications for both the scope and the complexity of the investment process. Key focus points Although we acknowledge that the investment philosophy, process and team are important considerations for any fund, we zoom in on characteristics that are especially relevant for flexible bond funds. Since flexible funds enjoy more leeway than traditional bond funds, their risk profile is markedly different. Consequently, when evaluating flexible bond funds, this risk profile warrants increased scrutiny. In addition, we argue that it is important that flexible bond funds fully integrate risk management in their portfolio decision process. We consider it equally important for flexible bond funds to provide disclosure and transparency, not only on the composition of their portfolio but also on the potential dynamics of the risk profile and on the risk management process. In this paper, we present arguments to sustain these statements as well as a list of focus points that offer guidelines when evaluating a flexible bond fund. A more extensive paper on this topic is available on request. Flexible bond funds can profit from return differences between fixed income asset classes Diversity and flexibility in investment strategies Special focus on risk management and transparency How to recognize a flexible bond fund? These funds are not linked to benchmarks so there is no default or benchmark allocation, nor is there a tracking error constraint to limit portfolio positioning. Hence, the focus is on total return instead of relative return. These funds are not committed to a single fixed income asset class. Instead, they can exploit the opportunities offered by all fixed income classes. What about Rorento? Since its inception in 1974, Rorento covers the full global bond universe. It can invest in all fixed income asset classes, including high yield bonds, inflation-linked bonds and floating rate Asset-Backed Securities (ABS). By being benchmark agnostic, Rorento has the flexibility to tailor its portfolio towards the most attractive investment opportunities across the global fixed income asset classes. The focus is on total return and not relative return. Navigating through flexible bond funds 3
4 The implications for managing a flexible bond fund The greater flexibility to allocate across the fixed income markets offers flexible bond funds more opportunities to position the portfolio towards superior risk-return trade-offs. On the flip side of the coin, it is up to the portfolio manager s skill and resources to successfully pick up the challenges implied by this broader investment scope. Holistic view The portfolio manager s focus is on the full composition of the current portfolio and hence on the portfolio s total return and risk. The target is not the return relative to the index (alpha) but instead the total portfolio return. Consequently, (1) tracking error is replaced by total portfolio return volatility as a relevant primary risk measure, and (2) risk-adjusted performance is no longer measured by the Information Ratio but by the Sharpe Ratio. Hence, the scope of risk management is broadened from the fairly limited alpha portfolio (partial) to the composition of the overall portfolio (holistic). Holistic versus partial perspective Transparency on total risk profile To evaluate the current choices of the portfolio manager in terms of risks and returns, investors may desire flexible bond funds to offer increased disclosure of the portfolio s current composition and risk profile. Because a flexible strategy has no index-based anchor for its risk profile, a relevant question is whether a flexible bond fund maintains a (downside) risk profile that investors associate with the global bond market. Portfolio shifts require more transparency The flexibility to shift the portfolio composition over time and across investment opportunities makes the risk profile of a flexible fund dynamic over time. This broader and dynamic context of total return risk poses a challenge to the risk management process. Moreover, in order to prevent negative surprises to investors, we consider it important that a flexible bond fund manager not only discloses the fund s current total risk profile but can also provide clear insight into its potential dynamics. This calls for adequate transparency about the processes and systems that monitor the risks of future portfolio shifts. Investment universe and risk exposures Being unconstrained, it can be tempting for a flexible bond fund manager to also invest in non-fixed income asset classes. Indeed, some flexible bond funds carry significant exposures to foreign currencies or venture outside the fixed income markets by investing in equities. Although some of these markets may offer attractive return and diversification opportunities, their risk profile is of a different order than that of the bond market. When adding these assets to a fixed income portfolio their risk contributions can be very large and hence change the portfolio s risk profile significantly. Large risk contributions lower the degree of portfolio diversification and they change the sources from which the return fluctuations come in a material way. So in addition to the level of portfolio risk, we also deem the composition of portfolio risk insightful when evaluating and comparing flexible bond funds. Current and potential future risk profile The level and composition of risk Navigating through flexible bond funds 4
5 Focus points: Flexible bond fund risk profile monitoring Is the fund a real bond fund or are there excessive exposures to foreign currencies, or to other asset categories outside the fixed income market, such as equities? What transparency is provided about the fund s current risk profile? What are the fund s exposures to risk factors such as interest rates and credit spreads? Regarding market risks, does the fund provide information about (ex-ante, or realized) total return volatility (as opposed to tracking error)? How is the overall risk level of the fund monitored? Does the fund provide information about additional risk measures, especially downside risk measures, such as Value-at-Risk and drawdowns? What disclosure is provided on the flexibility regarding future portfolio compositions? How is the fund s dynamic risk profile tracked over time (process) and how fast are market dynamics incorporated in ex-ante risk estimates (methodology)? What about Rorento? Rorento is a flexible bond fund but remains a bond fund. It does not invest outside the fixed income markets (e.g. no equity holdings) and it has no excessive exposures to foreign currencies. Its modified duration is limited to the range between 0 and 10. Focusing on total returns, Rorento s objective is to maximize the Sharpe Ratio. Rorento s ex-ante volatility is targeted to the range between 2% and 6%, so on an ex-post basis Rorento will offer its investors a bond-like volatility and limited downside risk. Downside risk is monitored by drawdowns and Value-at-Risk. Exhibit 2 lists Rorento s historical volatility over the period Rorento example: risk Over the 10-year period from November 2004 through October 2014, Rorento s ex-post monthly total return volatility was 3.6% per annum. During this period, the 36-month volatility moved between 2.4% and 4.8%. This is well within the targeted ex-ante range of 2%-6%, see Exhibit 2. Exhibit 2 The historical range of Rorento s 36-month volatility Source: Robeco Navigating through flexible bond funds 5
6 The need for integrated risk management Monitoring the overall risk profile as a resultant of the fund s positioning is not enough. We argue that risk management should be an integral part of the investment process. Not simply as an add-on, but instead embedded in the full decision cycle, ranging from ex-ante evaluating investment opportunities to ex-post performance evaluation and attribution. Slicing and dicing risk Capital preservation is traditionally considered one of the main objectives of a bond fund; hence, significant negative performance swings and significant drawdowns are considered undesirable. Avoiding pockets of excessive risk contributions in the portfolio ( hot spots ) will help in attaining this objective. A fund manager will therefore often walk a fine line between being outspoken and not too outspoken in his portfolio and risk allocation. It is therefore important for the portfolio manager to know where the risk sensitivities of the portfolio lie. Excessive risk concentrations can lead to large drawdowns, while over-diversification will dilute portfolio positions and their impact on portfolio return. Finally, the attribution of portfolio risk to risk factors such as interest rate risk and credit risk can provide valuable insights. and reward Risk, however, is not only a danger but also an opportunity. After all, without taking risks one cannot expect to reap rewards in excess of the risk-free rate. The trade-off between risk and reward on the overall portfolio level is measured by the Sharpe Ratio: the reward (or risk premium) divided by the standard deviation of the excess return (risk). Maximizing the portfolio s Sharpe Ratio requires aligning the contributions to risk and reward within the portfolio. The portfolio manager faces the challenge to make the overall portfolio composition consistent with perceived risk-reward trade-offs. An adequate risk tool box can support the fund manager in this complex task. Relevant questions when evaluating and adjusting the portfolio are: what are the risk contributions within the overall portfolio? Are these risk weights matched with expectations for future rewards? Is the portfolio optimally geared to reap the expected rewards? Risk management through the full decision cycle Atributing risks to positions and risk factors Balancing contributions to risk and reward Focus points integrated risk management Is the fund able to present a risk management framework? Is risk management embedded in the full decision cycle, in other words: does risk management permeate in each step of the investment process? What different types of risk measures are used (total and downside risk, risk horizon)? Is there insight into the risk contributions within the portfolio, across different dimensions (positions, sectors, regions, foreign currencies, as well as risk factors such as interest rates and credit spreads)? What tools are used to monitor risks on the overall and dissected levels? How are ex-ante risk-reward trade-offs evaluated? How is this information translated into the fund s positioning? Is the ex-post performance attribution also performed on a risk-adjusted basis? Navigating through flexible bond funds 6
7 What about Rorento? For Rorento, we developed a SMART integrated risk management framework, involving: Systematic monitoring and evaluation of risks, using a Multidimensional risk concept with complementary risk measures. Risks are Attributed to positions and risk factors and Risk-reward trade-offs are systematically evaluated. Various Tools are used to continuously monitor Rorento s ex-ante risk profile. Risk management covers the full decision cycle. Ex-ante, the risk contributions across positions and factors are evaluated and the portfolio is tilted towards risks that offer above-average attractive rewards. Dedicated quant researchers challenge the portfolio manager about his positioning. Ex-post, the success of the investment decisions is being judged by means of a risk-adjusted performance evaluation and attribution. Rorento example: money weights versus risk weights One way to assess ex-ante portfolio risk is to examine the portfolio s duration and credit spread exposures on a volatility basis. In this view, we distinguish between interest rate risk (driven by changes in government bond yields) and credit risk (driven by changes in spreads over a risk-free curve). Indeed, credits (all instruments with a spread over a risk-free curve) and government bonds do not necessarily flourish in the same economic scenarios and a major allocation decision in the fixed income markets is shifting between these asset classes. As an illustration, we consider the Barclays Capital Multiverse index (the broadest available global bond index and Rorento s reference index) as per ultimo October At that time, its total market capitalization is composed of 52% Treasuries, 13% government-related, 20% corporates and 15% securitized. So in terms of money weights, the index offers quite a balanced exposure to government bonds and credits. However, credits are not only exposed to credit risk but also to interest rate risk. Conversely, Eurozone periphery government bonds do not only carry interest rate risk but also credit risk. Hence, in terms of risk weights the picture can be completely different. Indeed, the Multiverse s risk profile was highly skewed: a whopping 104% of its ex-ante volatility is due to interest rate risk and -4% due to credit risk (see Exhibit 3). Exhibit 3 Attribution of total return volatility, as per 31-Oct 2014 Source: Robeco. All positions (except FX) are hedged to EUR. A decomposition of Rorento s ex-ante volatility (also ultimo October 2014), instead, shows that the interest rate and credit risk contributions were about equal. This is consistent with the roughly equal reward opportunities we perceived at that time for bearing interest rate risk and credit risk. Finally, in line with the aim not to have excessive exposure to foreign currencies (FX), the risk contribution from FX is indeed modest. Navigating through flexible bond funds 7
8 Summary Investing in flexible bond funds appears to have appeal. After all, their flexibility allows them to steer to those segments of the fixed income market that are most promising given the prevailing economic conditions and valuations. At the same time, however, the diversity in flexible bond funds and the dynamics in their investment strategies make it difficult to evaluate them and compare them against each other. In this paper, we listed a number of focus points that can assist when navigating through the capricious landscape of flexible bond funds. We summarize the key focus points below: Holistic view Flexible bond funds are not tied to an index. Instead, a holistic view applies and the portfolio manager can steer the full portfolio towards the areas where he sees most opportunities. The primary risk measure is total return volatility. The diversity and the dynamics in the investment strategies of flexible bond funds warrant greater demands on their risk management process and transparency. Transparency Transparency will mitigate negative surprises to investors. This transparency does not only relate to the investment universe and the current risk profile (is it bond-like?), but also to investment strategies, potential dynamics of the total risk profile, and risk monitoring systems. Integrated risk management When evaluating and comparing flexible bond funds, we also deem the composition of total portfolio risk insightful. A risk attribution reveals what asset classes or risk factors are likely to generate portfolio returns. The relative size of the risk contributions impacts the degree of portfolio diversification and reflects the relative views and convictions of the portfolio manager. The Sharpe Ratio is the risk-adjusted performance measure of total returns. Maximizing the Sharpe Ratio requires aligning the contributions to risk and reward within the portfolio. Fully integrating risk management in the investment process allows for evaluating risk-reward trade-offs within the portfolio, balancing the risk contributions of positions and controlling overall portfolio risks. Kommer van Trigt Lead portfolio manager Rorento Winfried G. Hallerbach Quant Fixed Income Research Navigating through flexible bond funds 8
9 Important information This publication is intended for professional investors. Robeco Institutional Asset Management B.V. (trade register number: ) has a license as manager of UCITS and AIFs from the Netherlands Authority for the Financial Markets in Amsterdam. This document is intended to provide general information on Robeco s specific capabilities, but does not constitute a recommendation or an advice to buy or sell certain securities or investment products. The prospectus and the Key Investor Information Document for the Robeco Funds can all be obtained free of charge at Navigating through flexible bond funds 9
Navigating through flexible bond funds
For professional investors Navigating through flexible bond funds WHITE PAPER February 2015 Kommer van Trigt Winfried G. Hallerbach ROBECO GLOBAL TOTAL RETURN BOND FUND Contents Introduction 3 Flexible
More informationManaging Risk/Reward in Fixed Income
INSIGHTS Managing Risk/Reward in Fixed Income Using Global Currency-Hedged Indices as Benchmarks In the pursuit of alpha, is it better to use a global hedged or unhedged index as a benchmark for measuring
More informationRethinking Fixed Income
Rethinking Fixed Income Challenging Conventional Wisdom May 2013 Risk. Reinsurance. Human Resources. Rethinking Fixed Income: Challenging Conventional Wisdom With US Treasury interest rates at, or near,
More informationAre Unconstrained Bond Funds a Substitute for Core Bonds?
TOPICS OF INTEREST Are Unconstrained Bond Funds a Substitute for Core Bonds? By Peter Wilamoski, Ph.D. Director of Economic Research Philip Schmitt, CIMA Senior Research Associate AUGUST 2014 The problem
More informationSeeking a More Efficient Fixed Income Portfolio with Asia Bonds
Seeking a More Efficient Fixed Income Portfolio with Asia s Seeking a More Efficient Fixed Income Portfolio with Asia s Drawing upon different drivers for performance, Asia fixed income may improve risk-return
More informationCALVERT UNCONSTRAINED BOND FUND A More Expansive Approach to Fixed-Income Investing
CALVERT UNCONSTRAINED BOND FUND A More Expansive Approach to Fixed-Income Investing A Challenging Environment for Investors MOVING BEYOND TRADITIONAL FIXED-INCOME INVESTING ALONE For many advisors and
More informationPERFORMING DUE DILIGENCE ON NONTRADITIONAL BOND FUNDS. by Mark Bentley, Executive Vice President, BTS Asset Management, Inc.
PERFORMING DUE DILIGENCE ON NONTRADITIONAL BOND FUNDS by Mark Bentley, Executive Vice President, BTS Asset Management, Inc. Investors considering allocations to funds in Morningstar s Nontraditional Bond
More informationLow-Volatility Investing: Expect the Unexpected
WHITE PAPER October 2014 For professional investors Low-Volatility Investing: Expect the Unexpected David Blitz, PhD Pim van Vliet, PhD Low-Volatility Investing: Expect the Unexpected 1 Expect the unexpected
More informationFixed Income Investing: What s an Investor to Do?
INSIGHTS Fixed Income Investing: What s an Investor to Do? July 2012 203.621.1700 2012, Rocaton Investment Advisors, LLC Executive Summary As interest rates have fallen steadily over the past 20 years,
More informationNavigating Rising Rates with Active, Multi-Sector Fixed Income Management
Navigating Rising Rates with Active, Multi-Sector Fixed Income Management With bond yields near 6-year lows and expected to rise, U.S. core bond investors are increasingly questioning how to mitigate interest
More informationNPH Fixed Income Research Update. Bob Downing, CFA. NPH Senior Investment & Due Diligence Analyst
White Paper: NPH Fixed Income Research Update Authored By: Bob Downing, CFA NPH Senior Investment & Due Diligence Analyst National Planning Holdings, Inc. Due Diligence Department National Planning Holdings,
More information3Q14. Are Unconstrained Bond Funds a Substitute for Core Bonds? August 2014. Executive Summary. Introduction
3Q14 TOPICS OF INTEREST Are Unconstrained Bond Funds a Substitute for Core Bonds? August 2014 Executive Summary PETER WILAMOSKI, PH.D. Director of Economic Research Proponents of unconstrained bond funds
More informationBond investing in a rising rate environment
Bond investing in a rising rate environment Vanguard research November 013 Executive summary. Fears of rising rates have left many investors concerned that their fixed income portfolio is poised for extreme
More informationNavigator Fixed Income Total Return
CCM-15-12-1 As of 12/31/2015 Navigator Fixed Income Navigate Fixed Income with a Tactical Approach With yields hovering at historic lows, bond portfolios could decline if interest rates rise. But income
More informationPOPULAR BOND INDEXES MAY CONTAIN SIGNIFICANT EXPOSURE TO NON-U.S. ISSUERS. Non-U.S. Exposure in the Most Popular Corporate Bond Indexes
WisdomTree ETFs STRATEGIC CORPORATE BOND FUND CRDT In the current market environment, investors have increasingly targeted corporate bonds 1 as one approach to enhance income in their portfolios. Through
More informationINTRODUCING THE WISDOMTREE WESTERN ASSET UNCONSTRAINED BOND FUND The First Truly Unconstrained Fixed Income ETF
WisdomTree Western Asset ETFs UNCONSTRAINED BOND FUND UBND For decades, declining interest rates have provided a tailwind for traditional fixed income strategies. Today, with yields near historic lows
More informationSSgA CAPITAL INSIGHTS
SSgA CAPITAL INSIGHTS viewpoints Part of State Street s Vision thought leadership series A Stratified Sampling Approach to Generating Fixed Income Beta PHOTO by Mathias Marta Senior Investment Manager,
More informationNorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com
NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment management, specializing in quantitative research
More informationNavigator Fixed Income Total Return
CCM-15-08-1 As of 8/31/2015 Navigator Fixed Income Total Return Navigate Fixed Income with a Tactical Approach With yields hovering at historic lows, bond portfolios could decline if interest rates rise.
More informationThe Fixed Income Conundrum What s your next move?
What s your next move? For some time, low yields have been a reality in the bond market, leading many investors to hail a new normal that is both persistent and uncharted. Government bond yields in North
More informationThe Role of Alternative Investments in a Diversified Investment Portfolio
The Role of Alternative Investments in a Diversified Investment Portfolio By Baird Private Wealth Management Introduction Traditional Investments Domestic Equity International Equity Taxable Fixed Income
More informationUnderstanding Fixed Income
Understanding Fixed Income 2014 AMP Capital Investors Limited ABN 59 001 777 591 AFSL 232497 Understanding Fixed Income About fixed income at AMP Capital Our global presence helps us deliver outstanding
More informationEvolving your fixed income strategy
Evolving your fixed income strategy 3Q 2015 INVESTMENT INSIGHTS NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE PLEASE VISIT jpmorganfunds.com for access to all of our Insights publications. Opportunities
More informationCovered Call Investing and its Benefits in Today s Market Environment
ZIEGLER CAPITAL MANAGEMENT: MARKET INSIGHT & RESEARCH Covered Call Investing and its Benefits in Today s Market Environment Covered Call investing has attracted a great deal of attention from investors
More informationThe active/passive decision in global bond funds
The active/passive decision in global bond funds Vanguard research November 213 Executive summary. This paper extends the evaluation of active versus passive management to global bond funds. Previous Vanguard
More informationFIXED INCOME INVESTORS HAVE OPTIONS TO INCREASE RETURNS, LOWER RISK
1 FIXED INCOME INVESTORS HAVE OPTIONS TO INCREASE RETURNS, LOWER RISK By Michael McMurray, CFA Senior Consultant As all investors are aware, fixed income yields and overall returns generally have been
More informationDiversify your global asset allocation approach by focusing on income and income growth.
Diversify your global asset allocation approach by focusing on income and income growth. Institutional investors have embraced global asset allocation (GAA) strategies as a way to pursue returns with low
More informationUnconstrained Fixed Income: One Asset Manager s Perspective HIMCO Webinar
Unconstrained Fixed Income: One Asset Manager s Perspective HIMCO Webinar October 1, 2014 14-0408 Unconstrained Fixed Income: One Asset Manager s Perspective Presenters Christopher Zeppieri, CFA Vice President
More informationRethinking fixed income. By Trevor t. Oliver
12 Rethinking fixed income By Trevor t. Oliver Summer/Fall 2012 The Participant : Issue 02 ssga.com/dc/theparticipant 13 The landscape for this asset class has changed. Our approach should too. Investors
More informationThe Case for a Custom Fixed Income Benchmark. ssga.com/definedcontribution REFINING THE AGG
The Case for a Custom Fixed Income Benchmark ssga.com/definedcontribution REFINING THE AGG For decades, the Barclays US Aggregate Index (the Agg ) has been a popular benchmark for core bond investment
More informationAbsolute return investments in rising interest rate environments
2014 Absolute return investments in rising interest rate environments Todd White, Head of Alternative Investments Joe Mallen, Senior Business Analyst In a balanced portfolio, fixed-income investments have
More information9/30/81: 15.84% Real yield average: 2.46% Real 10-year Treasury yield 12/31/15: 0.25% -5% 58 63 68 73 78 83 88 93 98 03 08 13
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE INVESTMENT INSIGHTS Building better fixed income portfolios 1Q 2016 PLEASE VISIT jpmorganfunds.com for access to all of our Insights publications. Get
More informationAMP Capital Investment Funds
AMP Capital Investment Funds Investment Statement Dated: 18 September 2015 Issued by AMP Investment Management (N.Z.) Limited Important information (The information in this section is required under the
More informationManaging Working Capital Liquidity July 29, 2012 2:00 3:15 PM
Managing Working Capital Liquidity July 29, 2012 2:00 3:15 PM Paul L. Robertson III Managing Director Edge Capital Partners, LLC 404-835-3280 probertson@edgecappartners.com Working Capital Management Process
More informationSimplifying Unconstrained Fixed Income Investing
Investment Management Fixed Income Team, July 204 Simplifying Unconstrained Fixed Income Investing Introduction Financial markets fluctuations in recent years and central banks attempts to sustain the
More informationInterest Rates and Inflation: How They Might Affect Managed Futures
Faced with the prospect of potential declines in both bonds and equities, an allocation to managed futures may serve as an appealing diversifier to traditional strategies. HIGHLIGHTS Managed Futures have
More informationdecidedly different Catalyst Mutual Funds Investor Overview
decidedly different Catalyst Mutual s Investor Overview Our Mission We strive to provide innovative strategies to support financial advisors and their clients in meeting the investment challenges of an
More informationImpact of QE on Fixed Income
Impact of QE on Fixed Income David Greene, Client Portfolio Manager Pioneer Investments Unconstrained Approaches Potential returns mean investors have to be more opportunistic 5 0 Expected return based
More informationPROTECTING YOUR PORTFOLIO WITH BONDS
Your Global Investment Authority PROTECTING YOUR PORTFOLIO WITH BONDS Bond strategies for an evolving market Market uncertainty has left many investors wondering how to protect their portfolios during
More informationdecidedly different Catalyst Mutual Funds Investor Overview
decidedly different Catalyst Mutual Funds Investor Overview Our Mission We strive to provide innovative strategies to support financial advisors and their clients in meeting the investment challenges of
More informationSTATEMENT OF INVESTMENT BELIEFS AND PRINCIPLES
STATEMENT OF INVESTMENT BELIEFS AND PRINCIPLES Investment Advisory Board, Petroleum Fund of Timor-Leste August 2014 CONTENTS Page Summary... 1 Context... 3 Mission Statement... 4 Investment Objectives...
More informationHow a thoughtful FX strategy can give Fund Managers a competitive edge
How a thoughtful FX strategy can give Fund Managers a competitive edge Executive summary Each alternative investment fund takes a different approach to its investment strategy, but the ultimate goals are
More informationQuarterly Asset Class Report Institutional Fixed Income
Quarterly Asset Class Report Institutional Presentation To: Presented By: canterburyconsulting.com September 30, 015 Role in the Canterbury Consulting recommends and communicates asset-class strategy with
More informationdecidedly different Catalyst Mutual Funds Brochure
decidedly different Catalyst Mutual Funds Brochure Our Mission We strive to provide innovative strategies to support financial advisors and their clients in meeting the investment challenges of an ever
More informationGLOBAL LISTED INFRASTRUCTURE
JUNE 2016 GLOBAL LISTED INFRASTRUCTURE A Case for Investing Jeremy Anagnos, CFA Chief Investment Officer - Infrastructure INTRODUCTION Listed appeals to investors in many ways. It has a history of attractive
More informationThe active/passive decision in global bond funds
The active/passive decision in global bond funds Vanguard research November 213 Executive summary. This paper extends the evaluation of active versus passive management to global bond funds. Previous Vanguard
More informationGovernment Pension Fund Global investment strategy for nominal bonds
Ministry of Finance Asset Management Department Boks 8008 Dep. 0030 Oslo Date: 18 March 2011 Your ref.: Our ref.: NBIM/BTa Government Pension Fund Global investment strategy for nominal bonds 1. Introduction
More informationManager Structure Presentation
Presentation to the Tobacco Settlement Investment Board May 18, 2009 Millie Viqueira Senior Vice President Jay Kloepfer Executive Vice President Callan Associates Inc. 200 Park Avenue, Suite 230 Florham
More informationRe-Assessing Multi-Strategy Hedge Funds Aaron Mirandon, Associate Portfolio Manager
Re-Assessing Multi-Strategy Hedge Funds Aaron Mirandon, Associate Portfolio Manager { Overview } The market returns from September 2008 through mid-2010 have introduced some extraordinary market movements
More informationBonds - Strategic S fixed Income Portfolio Management
OPTIMIZING YOUR BOND PORTFOLIO THROUGH RISK FACTOR MODELING FIXED INCOME INVESTMENTS SPAN A BROAD RANGE OF SENSITIVITIES TO CHANGES IN YIELDS AND CREDIT SPREADS. Understanding how different types of fixed
More informationInvestment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients
Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients www.mce-ama.com/2396 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? This
More informationRisk Control and Equity Upside: The Merits of Convertible Bonds for an Insurance Portfolio
Risk Control and Equity Upside: The Merits of Convertible Bonds for an Insurance Portfolio In a survey of insurance company Chief Investment Officers conducted by Eager, Davis & Holmes 1 in May 2009, 43%
More informationINCOME IN ALL MARKETS COLUMBIA STRATEGIC INCOME FUND Class A COSIX Class C CLSCX Class R CSNRX Class R4 CMNRX Class R5 CTIVX Class Z LSIZX
INCOME IN ALL MARKETS COLUMBIA STRATEGIC INCOME FUND Class A COSIX Class C CLSCX Class R CSNRX Class R4 CMNRX Class R5 CTIVX Class Z LSIZX NAVIGATING A CHANGING INTEREST RATE ENVIRONMENT Rise to the challenge
More informationOvercoming the Limitations in Traditional Fixed Income Benchmarks
Title: Author: Overcoming the Limitations in Traditional Fixed Income Benchmarks Clive Smith Portfolio Manager Date: October 2011 Synopsis: The last decade has seen material shifts in the composition of
More informationWealth Management Solutions
Wealth Management Solutions Invest in the Future Life has significant moments. Making sure you re prepared for them is important. But what can you do when the pace of your life leaves you little time to
More informationMutual Fund Investing Exam Study Guide
Mutual Fund Investing Exam Study Guide This document contains the questions that will be included in the final exam, in the order that they will be asked. When you have studied the course materials, reviewed
More informationA strategic, multisector approach to fixed-income investing
Alternative Solutions Forward Credit Analysis Long/Short Fund A strategic, multisector approach to fixed-income investing Is it time to adapt your fixed-income approach? Today s fixed-income investors
More informationPrinciples and Trade-Offs when Making Issuance Choices in the UK
Please cite this paper as: OECD (2011), Principles and Trade-Offs when Making Issuance Choices in the UK, OECD Working Papers on Sovereign Borrowing and Public Debt Management, No. 2, OECD Publishing.
More informationFixed Income Liquidity in a Rising Rate Environment
Fixed Income Liquidity in a Rising Rate Environment 2 Executive Summary Ò Fixed income market liquidity has declined, causing greater concern about prospective liquidity in a potential broad market sell-off
More informationUnconstrained Fixed Income
Unconstrained Fixed Income A Dynamic and Flexible Approach to Fixed Income Investing 26th ANNUAL TEXPERS CONFERENCE Global Fixed Income & Liquidity Management March 2015 This material is provided for educational
More informationThe FPA Absolute Fixed Income Strategy (including FPA New Income, Inc.) Investment Policy Statement
The FPA Absolute Fixed Income Strategy (including FPA New Income, Inc.) Investment Policy Statement Introduction The FPA Absolute Fixed Income Strategy (including FPA New Income, Inc.) is one of the longest
More informationSchroders Investment Risk Group
provides investment management services for a broad spectrum of clients including institutional, retail, private clients and charities. The long term objectives of any investment programme that we implement
More informationThe recent volatility of high-yield bonds: Spreads widen though fundamentals stay strong
Investment Insights The recent volatility of high-yield bonds: Spreads widen though fundamentals stay strong Kevin Lorenz, CFA, Managing Director, Lead Portfolio Manager of TIAA-CREF's High-Yield Fund
More informationMLC Investment Management. Constructing Fixed Income Portfolios in a Low Interest Rate Environment. August 2010
Constructing Fixed Income Portfolios in a Low Interest Rate Environment August 2010 Stuart Piper Portfolio Manager MLC Investment Management For Adviser Use Only 1 Important Information: This Information
More informationAn actively managed approach for today s fixed-income markets
Q3 2015 Putnam multi-sector fixed-income funds An actively managed approach for today s fixed-income markets D. William Kohli Michael V. Salm Paul D. Scanlon, CFA Putnam s three Co-Heads of Fixed each
More informationThe Master Statement of Investment Policies and Objectives of The Lower Colorado River Authority Retirement Plan and Trust. Amended June 16, 2015
The Master Statement of Investment Policies and Objectives of The Lower Colorado River Authority Retirement Plan and Trust Amended June 16, 2015 Introduction The Lower Colorado River Authority ( LCRA )
More informationARE YOU TAKING THE WRONG FX RISK? Focusing on transaction risks may be a mistake. Structural and portfolio risks require more than hedging
ARE YOU TAKING THE WRONG FX RISK? Focusing on transaction risks may be a mistake Structural and portfolio risks require more than hedging Companies need to understand not just correlate the relationship
More informationCitadele Eastern European Bond Fund. February 2014
Citadele Eastern European Bond Fund February 2014 Citadele Asset Management Government of Latvia EBRD Solid shareholder base Regulated by Financial and Capital Market Commission 75% 25% Citadele Bank MiFID
More informationEffect of Rising Interest Rates on Fixed Income. Dominick DeAlto, Global Head, Multi-Sector Fixed Income
Effect of Rising Interest Rates on Fixed Income Dominick DeAlto, Global Head, Multi-Sector Fixed Income Effect of Rising Interest Rates on Fixed Income I May 2015 I 2 Why Do Investors Allocate to Fixed
More informationCITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013
CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 DATED AS OF MAY 15, 2013 Table of Contents Qualitative Disclosures Basis of Preparation and Review... 3 Risk
More informationInvestment Implications for UK DC Schemes in Light of Tax and Regulatory Changes
Investment Implications for UK DC Schemes in Light of Tax and Regulatory Changes November 19, 2014 by William Allport of PIMCO With greater flexibility and choices available to DC savers in the latter
More informationThere are many ways for you to invest your money. VermögensManagement 5Invest.
There are many ways for you to invest your money. VermögensManagement 5Invest. We show you which is the best. For a choice of five investment approaches! Your assets in professional hands. Both private
More informationInvestor Blind Spots in Short-Duration Bond Funds
leadership series INVESTMENT INSIGHTS October 213 Investor Blind Spots in Short-Duration Bond Funds Extraordinary central bank intervention that followed the financial crisis produced a prolonged environment
More informationThe Dual Advantage of Long/Short Equity
July 2014 The Dual Advantage of Long/Short Equity Adding an allocation to this liquid alternative strategy can help investors boost their returns while lowering total portfolio risk. Author Charles Cook,
More informationCorporate Bonds - The Best Retirement Investment?
. SIPCO Corporate Bond Strategy The principles of SIPCO believe that bond investors are best served by primarily investing in corporate bonds. We are of the opinion that corporate bonds offer the best
More informationIntegrating ESG criteria into fixed income investments
WHITE PAPER May 2015 For professional investors Integrating ESG criteria into fixed income investments Making better informed investment decisions Edith Siermann Integrating ESG criteria into fixed income
More informationInvestor Guide Wells Fargo Advantage Absolute Return Fund. Explore a nontraditional approach to asset allocation
Investor Guide Wells Fargo Advantage Absolute Return Fund Explore a nontraditional approach to asset allocation Is it time to consider a nontraditional approach to investing? The fund s strategy has allowed
More informationWhat Investors Should Know about Money Market Reforms
What Investors Should Know about Money Market Reforms What Investors Should Know about Money Market Reforms Executive Summary Ò New SEC regulations for the $2.7 trillion money market industry may present
More informationMAKE VOLATILITY YOUR ASSET. LJM PRESERVATION & GROWTH FUND
MAKE VOLATILITY YOUR ASSET. LJM PRESERVATION & GROWTH FUND MARKETS CAN BE ROCKY. HARNESS VOLATILITY WITH LIQUID ALTERNATIVES. Liquid alternatives are mutual fund investments that derive value from sources
More informationDisclosure Document Morningstar High Growth Portfolio
Disclosure Document Morningstar High Growth Portfolio Managed Portfolio Disclosure Document for investors investing through the IDPS operated by HUB24 Custodial Services Ltd (HUB24) dated 1 December 2015,
More informationHow To Invest In High Yield Bonds
Investment Perspectives For high-yield bonds, market volatility can bring new opportunities Kevin Lorenz and Jean Lin, portfolio managers for TIAA-CREF High-Yield Fund Article Highlights: The decline in
More informationCommodities Portfolio Approach
Commodities Portfolio Approach Los Angeles Fire and Police Pension System February 2012 Summary The Board approved a 5% allocation to Commodities, representing approximately $690 million of the $13.75
More informationPorter, White & Company
Porter, White & Company Optimizing the Fixed Income Component of a Portfolio White Paper, September 2009, Number IM 17.2 In the White Paper, Comparison of Fixed Income Fund Performance, we show that a
More informationDiversified Alternatives Index
The Morningstar October 2014 SM Diversified Alternatives Index For Financial Professional Use Only 1 5 Learn More indexes@morningstar.com +1 12 84-75 Contents Executive Summary The Morningstar Diversified
More informationArizona State Retirement System Investment Committee Fixed Income Asset Class Review
Arizona State Retirement System Investment Committee Fixed Income Asset Class Review June 22, 2015 EXECUTIVE SUMMARY U.S. Equity Arizona Asset State Class Retirement Overview System Fixed Income Asset
More informationOpportunities and risks in credit. Michael Korber Head of Credit
Opportunities and risks in credit Michael Korber Head of Credit August 2009 Overview Fixed income assets, characteristics and risks Where the current opportunity is in fixed income markets How to access
More informationJupiter Merlin International Equities Portfolio
Jupiter Merlin Funds Jupiter Merlin International Equities Portfolio Jupiter Asset Management Limited Product Key Facts April 2016 Product Key Facts This statement provides you with key information about
More informationWhy Anfield s Universal Fixed Income Fund?
Why Anfield s Universal Fixed Income Fund? Disclosure Investors should carefully consider the investment objectives, risks, charges and expenses of the Anfield Universal Fixed Income Fund. This and other
More informationChanges to the OklahomaDream 529 Plan
Supplement dated December 31, 2015 to Oklahoma Dream Advisor Sold 529 Program Plan Disclosure Statement for Investors Using a Financial Advisor (Classes A and C) Dated November 3, 2014 This Supplement
More informationInvestment Risk Management Under New Regulatory Framework. Steven Yang Yu Muqiu Liu Redington Ltd
Investment Risk Management Under New Regulatory Framework Steven Yang Yu Muqiu Liu Redington Ltd 06 May 2015 Premiums written in billion RMB Dramatic growth of insurance market 2,500 Direct premium written
More informationVANDERBILT AVENUE ASSET MANAGEMENT
SUMMARY CURRENCY-HEDGED INTERNATIONAL FIXED INCOME INVESTMENT In recent years, the management of risk in internationally diversified bond portfolios held by U.S. investors has been guided by the following
More informationOpportunities in credit higher quality high-yield bonds
Highlights > > Default rates below the long-term average > > Valuations wide of historical average in BB and B rated credit > > Despite sluggish economy, high yield can still perform well > > High yield
More informationCondensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board
Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board December 31, 2015 Condensed Interim Consolidated Balance Sheet As at December 31, 2015 (CAD millions) As at December
More informationBlack Box Trend Following Lifting the Veil
AlphaQuest CTA Research Series #1 The goal of this research series is to demystify specific black box CTA trend following strategies and to analyze their characteristics both as a stand-alone product as
More informationCMG Managed High Yield Bond Program. 2015 CMG Capital Management Group, Inc.
CMG Managed High Yield Bond Program About CMG CMG is a Registered Investment Advisor located in King of Prussia, Pennsylvania founded in 1992 by Stephen Blumenthal. Since our inception, CMG has embraced
More informationMortgage and Asset Backed Securities Investment Strategy
Mortgage and Asset Backed Securities Investment Strategy Traditional fixed income has enjoyed an environment of falling interest rates over the past 30 years. Average of 10 & 30 Year Treasury Yields (1981
More informationConsiderations for a Global Approach to Property Investing
CONTRIBUTORS Emily Ulrich Analyst emily.ulrich@spdji.com Michael Orzano, CFA Director Global Equity Indices michael.orzano@spdji.com Philip Murphy, CFA Vice President North American Equities philip.murphy@spdji.com
More informationMadison Investment Advisors LLC
Madison Investment Advisors LLC Intermediate Fixed Income SELECT ROSTER Firm Information: Location: Year Founded: Total Employees: Assets ($mil): Accounts: Key Personnel: Matt Hayner, CFA Vice President
More informationBest Styles: Harvesting Risk Premium in Equity Investing
Strategy Best Styles: Harvesting Risk Premium in Equity Investing Harvesting risk premiums is a common investment strategy in fixed income or foreign exchange investing. In equity investing it is still
More informationCondensed Interim Consolidated Financial Statements of. Canada Pension Plan Investment Board
Condensed Interim Consolidated Financial Statements of Canada Pension Plan Investment Board September 30, 2015 Condensed Interim Consolidated Balance Sheet As at September 30, 2015 As at September 30,
More information