FondsAnbieter- GAM: Weekly Manager Views.

18. März 2015 von um 10:00 Uhr
Wie beurteilen FondsAnbieter ihre Anlagerreigionen ? Wie fällt die Analyse der Kapitalanlagegesellschaften (KAG) über Fundamentaldaten, Währungen und Kapitalflüsse aus? Informationen direkt aus dem Research Centern der FondsBranche finden SJB FondsBlogger in der Kategorie "Anbieter. Berichten."

unabhaengigkeitFondsAnbieter-GAM: Credit Suisse conducts an annual survey of the most prominent hedge fund strategies, asking managers where they are anticipating reducing and increasing their allocations. In March 2014, managed futures were at the bottom of the list, indicating the industry was broadly looking to decrease its exposure. Fast-forwarding to today, the strategy now features at number three on the list, indicating a stark turnaround in sentiment. This research supports our own views on how investor interest is resurfacing for our approach.

Improved sector performance has been a key driver of this renewed interest, and GAM Star Keynes Quantitative Strategies has appreciated accordingly, with the US dollar class returning 8.8% for 2014 and 8.9% for 2015 to-date (to 10 March). In terms of attribution, bonds were the leading contributors last year, with more modest contributions coming from currencies and equities, while interest rates were a detractor. Europe-linked exposures (currencies and government bonds) accounted for the top-five contributors, reflecting the fact that our models were looking for a downside inflation surprise in the region. We also captured performance by positioning at the ultra-long end of the US rates curve in anticipation of a re-pricing in the fixed income market on the assumption of a lower growth rate.

This year’s returns have been generated more evenly across the asset class breakdown. Currencies are to-date the leading contributor, while bonds rank in third position behind equities. Europe remains an important dynamic within the portfolio, particularly quantitative easing developments, which we gain exposure to through a euro versus US dollar currency trade, Euro Stoxx 50 futures and German Bunds. A second prominent theme is the appreciation of the Swiss franc – an outcome we had been expecting for some time: When the SNB pegged the currency back in 2011 it flagged the action as ‘temporary’. A third theme is Canada, which is a reflection of energy price changes. Countries adversely impacted by the shift in energy prices last year were always likely to adjust their monetary policy as a result – this year we have seen a surprise rate cut in Canada, which we were positioned to profit from.

Our strategy has a historic track record of following long-term performance cycles, and we seem to be entering a new positive phase. We believe this is resulting partly due to changes in correlations. In 2005, average absolute correlations were 0.2–0.3 and strategy performance was positive. As correlations surged to their peak in 2011 (a time of euro implosion worries) booking returns became much

more of a challenge. Now we are seeing a return to lower correlation levels, which should support the performance of the portfolio. In addition, typically when markets begin to fret about rate hikes volatility levels increase. Generally speaking, our strategy tends to benefits from rising volatility, and we would expect the latest Fed rate hiking cycle to increase volatility based both on historical performance and because of the dispersion of views currently in the marketplace.

While the portfolio does not have direct exposure to commodities, we can partially capitalise on the current developments in the market via currency positions. For example, we have profited from euro versus Norwegian krone crosses, as well as from shorts against the Canadian dollar. We can also compensate through long / short equity index exposures. We have been positioned short Brazil for some time now against other equity markets, such as India. Lower oil prices are benefiting the Indian economy, while Brazil, as a commodity exporter, is suffering.


Über GAM

GAM wurde 1983 als FondsTochter der UBS gegründet. Von 1999 bis 2005 gehörte die Gesellschaft zum Bankhaus Julius Bär. Seit September 2009 ist GAM selbständig. Fonds: 450. Verwaltetes Vermögen: 36,9 Mrd. Euro. Anzahl der Mitarbeiter: 760. Geschäftsführer: David M. Solo.


Kategorien: Anbieter. Berichten.

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