Market Absolute Return Strategy

Objective

Seeks an absolute return investment objective of LIBOR + 18% return per annum over a full market cycle (typically 3-5 years) with 30% annualized volatility.

Concept

An absolute return strategy that seeks return through active asset allocation (at the asset class and country level) by using long and short positions, independent of a client’s underlying asset allocation, investments, or benchmark restrictions. Implementation is through derivatives, and is leveraged such that a meaningful source of incremental return can be achieved without the need to draw much capital away from the client.

Investment philosophy

An asset class fair value or its intrinsic value is derived from the present value of its long-term sustainable cash-flow generating power.
Discrepancies between market price and intrinsic value arise from market behavior and market structure providing opportunities to outperform.
A truly integrated global approach produces superior research.
Seeks to generate returns from the correction of significant discrepancies between price and fair value.

Investment process

Pure top-down asset market management unbundled from currency management and bottom-up security selection.
Employs a fundamental price to intrinsic value investment process to 23 equity markets and 13 fixed income markets.
Uses market behavior analysis to understand reasoning in the marketplace for prevailing levels of asset class markets.
Actively manages risk with the objective of achieving returns that properly compensate for risk taken.

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