Fixed Income Management


Formulation of our strategy:

  • Monitor and analyze market conditions as well as economic and political environment to establish a mid-term view on the direction of interest rates and on the evolution of the credit cycle
  • Determine from this view a desired position on the yield curve and set a target duration range
  • +/- 10% of index duration
  • +/- 20% of the index duration in case of a very strong opinion on the direction of interest rates.

Implementation/Investment Selection:

  • Establish a list of industries/companies that should outperform in the expected investment environment
  • Conduct a thorough credit analysis for those securities whose duration matches the target and rank them on a duration/risk contribution basis
  • Select those whose spread is two standard deviations higher than the mean but has strong potential to tighten and whose creditworthiness will be, in our opinion, maintained or restored
  • Invest in special situations where our ability to capture trends early allows us to benefit from complex credit events that larger investors bypass
  • All investment decisions are jointly reviewed by the investment committee.

Execution/ Monitoring

  • Partner with top-tier Wall Street firms to work orders and get best execution
  • Monitor each position on a daily basis
  • Exit position when spread compresses less than the mean