Pacific G10 Macro Rates

Investment Objective

The G10 Macro Rates Strategy is an interest rate and FX macro strategy, implemented in a relative value style, aiming to deliver positive returns with a low correlation to equity and bond markets. The strategy is managed by a highly experienced team, with an outstanding track record of managing liquid diversified strategies. The team applies an established and disciplined investment process with a focus on implementation efficiency, centred around a G10 mandate.

Latest Meeting Note

Meeting 24 Jun 2020

The Pacific G10 Macro Rates Fund aims to deliver positive returns over a rolling 12-month period, approximately in the region of cash +4-6%. The fund is managed by a team of three co-PMs who have extensive experience of running liquid di... Read more

The Pacific G10 Macro Rates Fund aims to deliver positive returns over a rolling 12-month period, approximately in the region of cash +4-6%. The fund is managed by a team of three co-PMs who have extensive experience of running liquid diversified relative value trading strategies of G10 interest rates and FX. Shayne Dunlap and Dr Richard Marshall previously worked together at Aberdeen Standard Investments (Dec-06 – July 15), where with Oleg Gustap they co-managed an absolute return government bond strategy. The Pacific G10 Macro Rates Fund trades a liquid product set of G10 Sovereign Bonds, G10 Interest Rate Derivatives and FX, in which they build a diversified and liquid portfolio of 20-30 relative value trades, which are largely mean reverting in nature. Each trade is weighted to make approximately 40-80bp at the fund level, with trades designed to have a minimum 2:1 upside ratio. On average trades are held for 3 months, with upside target and stop loss targets set at trade inception. The process starts by defining the global macro environment and evaluating the effects of global drivers on five global liquidity pools (US, Europe, Japan, UK, Australasia). Trades can be of different types: curve (the majority of what they do), duration (small portion of the portfolio), inflation, spreads, volatility, and FX. From here the team look to identify market mispricing and exploit inefficiencies using their own proprietary curve modelling framework, which allows the team to predict on a much more accurate scale the true path of rates. Trade generation occurs at the combination of macro and market analysis, to identify the best risk reward trades to express investment ideasFinally, the portfolio is constructed in the most simple, liquid and diversified manner, ensuring implementation efficiency.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.9 0.4 0.2 0.7 0.2 0.1 0.5 0.1 0.9 0.9 0.0 0.7 0.5
2018 1.0 0.3 0.6 0.8 0.5 0.1 0.6 0.6 0.6 0.2 0.6 1.0 0.6

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