H2O Vivace: Global Macro-Aggressive Strategy

Description
An aggressive global macro strategy that aims to outperform cash through multiple alpha sources within a specified risk budget, while minimising volatility and maintaining a low correlation to risk assets.

Investment Objective
To outperform the UBS Bank Bill Index plus 7.5% p.a. (before fees and expenses) over a minimum 4-year investment horizon, with an annual ex-post volatility target of 10%.

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

Style
Absolute Return

Active Strategies
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 Global Macro-Aggressive Strategy seeks to take advantage of as many opportunities as possible in the global bond, equity and currency investment universe.

Process
The H2O Global Macro-Aggressive Strategy is managed on the basis of a highly responsive macroeconomic analysis of global bond, equity 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. The Strategy is managed to achieve a low correlation to risk assets.

Portfolio Construction
The H2O Global Macro-Aggressive 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, therefore, 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 an aggressive alpha strategy with superior transparency and liquidity to complement an alternatives portfolio.

Currency
Active source of alpha

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.