Investment Objective
The Global Convertible strategy seeks to provide asymmetric risk-return opportunities within a daily liquidity UCITS fund. The strategy follows a unique quantitative design blended with a deep fundamental-driven investment process with the aim of generating a superior risk-adjusted return in the medium term solely from vanilla convertible instruments.
Latest Meeting Note
Meeting 15 Feb 2022
The Tyrus Capital Global Convertible Strategy has been refined since 2010 and has been adapted to the specific constraints of managing in a UCITS framework. Liquidity and convexity are the focus of the portfolio, seeking to deliver outpe...
The Tyrus Capital Global Convertible Strategy has been refined since 2010 and has been adapted to the specific constraints of managing in a UCITS framework. Liquidity and convexity are the focus of the portfolio, seeking to deliver outperformance even during periods of high volatility thanks to their innovative and systematic approach to risk taking. The strategy invests solely in pure vanilla convertible bonds and looks to deliver 2/3rd of the equity upside with 1/3rd of the downside. A unique element is that returns are entirely driven from convertible investing, with no leverage used. Quantitative analysis is at the heart of the trading strategy, with the identification of an optimal anchor point the start of a position. The PM harvests convexity by rebalancing positions back to the anchor point when the portfolio deviates due to a market fluctuation. The trading strategy follows a contrarian mechanism where the delta exposure is reduced on upward market moves and increased during corrections. This method leads to multiple smaller-sized trades per week (excluding fundamental-driven adjustments). The portfolio is well-diversified and global in nature, made up of 75-120 positions, across typically high quality, investment grade and ESG positive issuers. For idea generation and portfolio construction the book is invested across several core themes (e.g. innovation in the US, cautious on Europe, etc).
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 0.0 | 0.5 | 0.5 | 0.9 | 0.1 | 0.5 | 0.8 | 0.1 | 0.3 | 0.6 | 0.6 | 0.2 | 0.8 | |
2022 | 0.9 | 0.9 | 0.9 | 0.8 | 0.6 | 0.6 | 0.7 | 0.7 | 0.4 | 0.2 | 0.2 | 0.5 | 0.0 |