Our active approach for advising globally diversified convertible portfolios is driven by our belief that risk adjusted out-performance is achievable via superior systematic information processing and consistent portfolio construction.
Philosophy
Our active approach for advising globally diversified convertible portfolios is driven by our belief that risk adjusted out-performance is achievable via superior systematic information processing and consistent portfolio construction.
Compared to traditional equities and bonds Convertibles are not always valued efficiently and often trade below their theoretical value. We use these inefficiencies systematically, which is reflected in the long-term outperformance. We consider the whole investment universe to identify inefficiencies.
Our portfolios are not constructed around a benchmark, we use the common benchmarks ex-post, for comparison only.
Investment Style
Our fundamental investment style exhibits the following criteria:
Security selection:
- The convertible selection represents the most important factor in the performance attribution of the portfolio.
- The selection of the underlying stocks is also an important driver in the portfolio construction process.
Asset Allocation, Top down Approach:
- We do not take any large sector bets. Sector allocation, therefore, is not a big driver in the performance attribution.
- We do over/underweigh certain regions. E.g., for the past 5 years we underweight the US in favour of Europe and Asia. This is a strategic decision and might change in the future.
- Core: we overweight convertibles with high credit quality
- Satellite: we complement the core with a diversified number of yield paying convertibles. On the other side of the spectrum we add a small number of equity sensitive names where a strong conviction with respect to the underlying share exists.
Liquidity/delta policy:
- We do not maintain large cash positions (not larger than 10%)
- Moderate market timing bets resulting from our security selection and asset allocation
