H2O Multibonds

Description
A benchmark aware strategy that aims to outperform global bond markets through diversification, active currency management and opportunistic credit alpha, within a specified risk budget.

Investment Objective
To outperform the JP Morgan Government Bond Index Broad (AUD hedged) by 2.0% p.a. (after fees and expenses) over a minimum 3-year investment horizon, with an annual ex-post tracking error range of 6%.

Primary Investments
The Strategy may invest in sovereign debt markets, investment grade credit, high-yield securities and currencies. Within each of these asset classes, the Strategy may invest in both the developed and the emerging markets.

Style
Relative Return

Active Strategies
Beta, directional, relative value & thematic/specific strategies

Investment Philosophy
The investment philosophy of H2O is based on the conviction that diversification is a stable and robust source of alpha over time. From this perspective, the H2O Multibonds Strategy seeks to take advantage of as many opportunities as possible in the global bond, credit and currency investment universe.

Process
The H2O Multibonds Strategy is managed on the basis of a highly responsive macroeconomic analysis of global bond and currency markets. As part of their resolutely top-down approach, the Strategy will take long or short directional positions in the various asset classes, as well as relative value positions aimed at taking advantage of the trend in one market segment relative to another. These strategies are supplemented with specific overlays, involving the selection of securities within each market segment and trading positions.

Portfolio Construction
The H2O Multibonds Strategy is constructed on the basis of an allocation of the overall active risk budget across various strategies. The investment team has developed dedicated management tools to quantify, allocate and manage the active risk for each underlying strategy in near real-time. The managers favour positions which historically have the least correlation, in order to incorporate as many added-value sources as possible without increasing the Portfolio’s overall risk.

Independent second-level risk control is carried out by Natixis Asset Management.

Portfolio Fit
Suitable for investors looking for a top down, global macro biased manager to complement a traditional fixed-income portfolio, with an appetite for opportunistic credit alpha.

Currency
Client specified. Generally between 75% and 125% of the Portfolio's assets are hedged into Australian dollars with cross hedging permitted. 

Vehicle
Mandate

Investment Manager
H2O Asset Management LLP

Portfolio Team
The investment team is made up of seven investment professionals: three “architects” – Bruno Crastes, Vincent Chailley and Loic Cadiou, and four “specialists” – Jean-Baptiste Roux, Gonzague Legoff, Julio Obeso and Jeremy Touboul. The core members of H2O have an established 17 year track record in global fixed-income and global macro multi-strategy management.