Fixed Income Management

Formulation of our strategy:

Monitor and analyze market conditions as well as economic and political environment to establish a mid-term view on the direction of interest rates and on the evolution of the credit cycle
Determine from this view a desired position on the yield curve and set a target duration range
+/- 10% of index duration
+/- 20% of the index duration in case of a very strong opinion on the direction of interest rates.

Implementation/Investment Selection:

Establish a list of industries/companies that should outperform in the expected investment environment
Conduct a thorough credit analysis for those securities whose duration matches the target and rank them on a duration/risk contribution basis
Select those whose spread is two standard deviations higher than the mean but has strong potential to tighten and whose creditworthiness will be, in our opinion, maintained or restored
Invest in special situations where our ability to capture trends early allows us to benefit from complex credit events that larger investors bypass
All investment decisions are jointly reviewed by the investment committee.

Execution/ Monitoring