Allianz Fixed Income Macro

The Allianz Fixed Income Macro fund launched in July 2018 and is run by the Allianz Macro Unconstrained team, with Kacper Brzezniak the lead-PM on the product. The strategy utilises a flexible discretionary macro process that is designed to generate uncorrelated positive returns and downside protection across different market environments. It invests globally across five main sources of alpha (rates, currencies, credit, inflation and equities) using different type of strategies: directional, relative value, cross market and option strategies. The approach is unconstrained in nature, with interest rate, inflation and credit duration all ranging between -8 and +8 years, so that the PM can ultimately express uncorrelated idiosyncratic ideas and macro views. Portfolio construction and trade implementation are central to the investment process. At any one time the portfolio includes 10-15 themes/trades which are actively managed (3 months average holding period) to maximise convexity. This is primarily achieved through the selection of fundamentally asymmetric ideas (the fund’s ‘value’ tilt) and trade implementation (primarily via options). Hedges are frequently used at the individual position level, factor level and portfolio level. The strategy also applies a rigorous drawdown protocol that ensures Var limits are reduced should the fund breach defined thresholds (-5% and -7.5%).