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.
Investment Solutions
Man offers a comprehensive suite of investment solutions and formats that can be tailored and optimised to meet specific client needs.
Our investment solutions offer optionality including: liquidity, control, investment restrictions, investor customisations and transparency.
UCITS
Alternative investment funds
US 40 ACT
Regional funds
Separate accounts
Advisory mandates
Managed accounts
Access to investment products and mandate solutions are subject applicable laws and regulations including selling restrictions and licensing requirements. Investment solutions listed above may not be compatible for all investment strategies and may be subject to minimum subscription requirements. Regional Funds: In additions to UCITS and AIFs registered across the EEA, a number of investment strategies are available in vehicles registered in Chile, Netherlands, Hong Kong, Japan, Singapore, South Korea and Switzerland.
Considerations
One should carefully consider the risks associated with investing, whether the strategy suits your investment requirements and whether you have sufficient resources to bear any losses which may result from an investment:
Investment Objective Risk - There is no guarantee that the Strategy will achieve its investment objective.
Market Risk - The Strategy is subject to normal market fluctuations and the risks associated with investing in international securities markets and therefore the value of your investment and the income from it may rise as well as fall and you may not get back the amount originally invested.
Counterparty Risk - The Strategy will be exposed to credit risk on counterparties with which it trades in relation to on-exchange traded instruments such as futures and options and where applicable, ‘over-the- counter’("OTC","non-exchange") transactions. OTC instruments may also be less liquid and are not afforded the same protections that may apply to participants trading instruments on an organised exchange.
Currency Risk - The value of investments designated in another currency may rise and fall due to exchange rate fluctuations. Adverse movements in currency exchange rates may result in a decrease in return and a loss of capital. It may not be possible or practicable to successfully hedge against the currency risk exposure in all circumstances.
Liquidity Risk - The Strategy may make investments or hold trading positions in markets that are volatile and which may become illiquid. Timely and cost efficient sale of trading positions can be impaired by decreased trading volume and/or increased price volatility..
Concentration Risk - The Strategy invests in a limited number of investments may be held which can increase the volatility of performance.
Financial Derivatives - The Strategy will invest financial derivative instruments ("FDI") (instruments whose prices are dependent on one or more underlying asset) to achieve its investment objective. The use of FDI involves additional risks such as high sensitivity to price movements of the asset on which it is based. The extensive use of FDI may significantly multiply the gains or losses.
Leverage - The Strategy's use of FDI may result in increased leverage which may lead to significant losses.
Emerging Markets - The Strategy may invest a significant proportion of its assets in securities with exposure to emerging markets which involve additional risks relating to matters such as the illiquidity of securities and the potentially volatile nature of markets not typically associated with investing in other more established economies or markets.
Non-Investment Grade Securities - The Strategy may invest a significant proportion of its assets in non-investment grade securities (such as “high yield” securities) are considered higher risk investments that may cause income and principal losses for the Strategy. They are instruments which credit agencies have given a rating which indicates a higher risk of default. The market values for high yield bonds and other instruments tend to be volatile and they are less liquid than investment grade securities.
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