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The core global product takes advantage of opportunities in all major bond and currency markets and across all the main dimensions of potential added return. A "risk unit" approach to portfolio construction makes the process highly flexible and adaptable to most client requirements.

Philosophy

• Search for consistent, incremental, risk adjusted excess returns
• Focus on identifying diversified sources of alpha
• Long/short interest rate/currency; credit
• Macro-driven investment process based on segregated analysis of 3 uncorrelated market drivers
• Fair value model, cyclical view, tactical
• Transparent risk-budgeting portfolio construction process
• Small focused team with rapid, flexible decision-making and reaction abilities

Objectives

To achieve an annualised alpha of 100 bps above the benchmark with a tracking error of 2%, resulting in consistent 1st quartile performance over rolling 3 years periods.

Investment Process 

Research and Analysis:

The investment process is founded on the analysis of three independent macro-market drivers, which we term “value”, “cyclical” and “tactical”. Each of the three drivers is distinguishable from the others in terms of its effect on the magnitude of associated expected returns and the expected time required for realisation of those returns. Our analytical approach is to isolate those drivers and use the combination of
subjective and objective analysis we think is most appropriate to the driver and value-adding factor (market direction, market allocation, yield curve positioning, credit and currency) under consideration.

Analysis is supported by a combination of internal and third party research and by extensive, local credit resources in WMAM Germany.

Portfolios are managed within the context of strict risk control such that portfolio risk is accurately measured, diversified across a number of active positions and individually tailored to each client’s risk and return objectives.

Influence of Macro-Market Drivers on Market Direction:

Construction and Implementation:

Model portfolio positions are developed through a transparent scoring process that assigns “risk units” to the various components of return.  Monthly strategy meetings provide an opportunity to carry out a comprehensive review of market research and analysis. In these meetings the strategic direction for the coming month is set. In addition weekly tactical meetings and informal intra-day discussions may lead to the
implementation of more opportunistic positions.  Risk is measured and controlled on ex-ante and ex-post bases for both individual positions and the portfolio as a whole.

Construction of each client portfolio follows the risk unit allocations of the model portfolio, adjusted where necessary for the client’s investment universe, benchmark, risk tolerance and performance target.  Risk positions for each portfolio are individually analysed, using a combination of internal and third-party risk management  tools.

Verification:

On-going portfolio monitoring ensures that each portfolio remains consistent with client requirements and with team policy.

London Investment Team 

Key Strengths

• Investment Approach – powerful and diversified investment process which   clearly differentiates between short, medium, and long-term views
  
• Flexibility in the Process – tactical overlays enhance alpha generation in bonds  and currencies
  
• Experiend Team – highly experienced team that can make rapid, flexible decisions and reacts quickly to new information
  
• Team structure – the team is structured to make the best use of the specialised   skills available. Team roles are split according to geographical specialities
  
• Risk philosophy – risk is quantified and controlled for each client portfolio, and  dedicated by individual risk and return objectives
  
• Proprietary quantitative models – using internally developed models where   they are proven to add value to the forecasting process

Flagship Product
Within the Luxembourg-based Compass Fund range, the Global Bond Fund is actively managed with the objective of providing long-term capital appreciation, and out-performing the JPM Global Broad Total Return Index.

Additional Information

For additional information on Global Fixed Income and Currency, please contact Ernst Osiander: Tel +44 20 7020 7347 or Avi Hooper:  Tel +44 20 7020 7346,  Fax +44 20 7020 7350.