GLG Global Macro

GLG Global Macro Strategy is an actively managed strategy that offers a flexible approach to G10 and Emerging Markets FX, rates, and aggregate credit opportunities. The strategy aims for positive absolute returns with 10% to 20% annualised volatility, and low correlation with credit spreads and duration over a 3-year investment horizon. The investment objective of the strategy is to seek to provide investors with an attractive, risk-adjusted return, independent of market conditions over the long term1.

Key Features:

  • A focus on generating strong risk-adjusted returns, and low or even negative correlation to credit, FX, equities and competitors
  • It is a levered strategy (0-3x): Aiming to offer positive absolute returns with 10%-20% volatility
  • Benchmark agnostic: Flexible approach to G10 and Emerging Markets FX, rates, and aggregate credit opportunities
 
  • Strong risk management discipline: Rigorous stress testing conducted on betas, volatility, tail-risk, drawdowns, and other risk factors, both pre-trade and on an ongoing basis
  • Managed by a seasoned portfolio management team: who have worked together for over 10 years.

Approach

The team follows a disciplined investment process which seeks to add value by combining deep fundamental research with top down and quantitative screening, complemented by a strong risk management discipline. The process consists of five stages:

  • Global Core: The team formulates a view on G10 currency exposures, duration, and credit spreads to reflect their macro views over the investment horizon.
  • Bottom-up analysis: Using proprietary models, the team aims to construct rankings of country credits, currencies and rates based on relative attractiveness and perform valuation analysis to determine if asset prices reflect their views on relative attractiveness. Much of the security selection for each country will be focused on identifying the richest / cheapest instruments across the curve.
  • Top-down analysis: The team then considers the potential effects of global developments on the fundamentals and valuations of the opportunity set and determines return and volatility expectations for the investment universe. Proprietary positioning tools are used to determine the degree of risk concentration across different assets.
  • Portfolio Construction: The best opportunities across the investible universe, as determined by the team, will be added to the model portfolio. Adjustments are then made to duration, FX exposures, and main credit group exposures within the universe in response to their expectations of returns and volatility.
 
  • Stress testing: Finally, the team assesses the sensitivity of the portfolio to different risk factors in order to ensure that the portfolio is within risk-adjusted return targets, particularly volatility and drawdown.
 
Approach Alternative
Asset Class Credit
Geographic Focus Global

1. These risk guidelines and/or limits are provided for information purposes only and represent current internal risk guidelines. There is no requirement that the Strategy observes these limits, or that any action be taken if a guideline limit is reached or exceeded. Internal guidelines may be amended at any time without notice.