FondsAnbieter- GAM: Weekly Manager Views.

30. April 2013 von um 11:00 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."

Bei der FondsAuswahl zählt die Unabhängigkeit vom Anbieter!FondsAnbieter-GAM: Over the past few weeks, macro data from the three main regions – Europe, theUS andAsia – has been somewhat disappointing. Europe has seen the most notable deterioration, and it now looks likely that the ECB will announce another interest rate cut in May or June. Mario Draghi has certainly sounded more dovish in the Bank’s recent conferences and the markets are pricing in a 30– 40% chance of a rate cut. A cut would likely be negative for the euro and therefore we continue to run short positions in the currency.

Fund performance over the past month has been reasonably good. The US dollar class of GAM Star Global Rates is up 1.4% for April, with most returns coming from interest rates. The single-largest contributor to performance was our long interest rates position in Sweden. The position was initiated when markets were pricing in a Swedish rate hike during 2014, but we felt that policy conditions were not supportive of such a move given the krona’s continued appreciation relative to the euro and because the euro area is Sweden’s largest export market. In fact, we felt that the Riksbank would have to lower its projected interest rate path for that reason, which it finally did last week. This benefited our funds. The biggest contributor to performance has been our long Swedish interest rates / short Korean interest rates trade. Korea’s interest rates are at 2.75% and, until recently, the market was pricing in quite aggressive – around 50 bps – rate cuts. However, the Korean central bank surprised the market at its last meeting by not cutting rates, while we also believe that Korea’s economic backdrop does not warrant a further lowering. Thus, we continue to run the short position. We have also run our long Swedish interest rates position relative to Canada with similar logic – the market had been flirting with the idea of Canadian rate cuts.

Although the Swedish interest rates theme continues to run, we have reduced risk somewhat. We are also being more selective in our steepening trades. In general, we believe that quantitative easing (QE) is working but that front-end rates remain anchored. Further out, as the recovery comes through, the market will price in higher rates, resulting in a continued steepening of yield curves. We have become a little more cautious on this trade, especially in relation to the US, which is a crowded trade and threatened by the Fed’s apparent diminishing appetite for QE. Although we may be too early in adopting this view, we feel more comfortable with the lower exposure. We continue to run the positions in Canada and Europe, however, which have made some money for us in April. We have also seen some unusual curve movements in Japan, which have contributed to performance.

More generally on the interest rate side, we are looking for opportunities to be short UK long rates, which we find particularly fully valued, and are taking long positions in Australian long rates.

In currencies, our single-largest position is short the euro, although we also maintain a sizable long in the Mexican peso. At its most extreme, we had 60% of the fund in the long peso trade. It now represents about 35% of NAV. The euro short is now sized at just over 35% of NAV, with our confidence in the trade picking up with the deteriorating macro data and the prospect of a rate cut. The euro short is expressed versus a range of currencies, such as the US dollar and Turkish lira, and in smaller sizes versus sterling, the ruble and the Norwegian krone. We continue to run long positions in the US dollar, given that the US economy continues to lead the recovery. The recovering housing market is acting as a positive contributing factor and we feel that many may still underestimate the benefits of that. Tactically, we may add to our positions in the ruble and Norwegian krone if we see more weakness.

Risk is currently at the lower end of our typical range, with a little more in currencies than in interest rates.

The JB Local Emerging Bond Fund, our long only local currency debt fund, has around USD 8.8 billion of assets under management. The fund is up 1.5% year-to-date (to 23 April). Although this looks like a modest return in contrast to the bumper year of 2012 when the fund gained 17.2%, it is a reasonably good result. The fund is also comfortably ahead of the benchmark, the JP Morgan Emerging Market Bond Local Currency index.

Last year’s returns were mainly driven by bond price appreciation, as many central banks slashed interest rates. We believe that this year the focus will be on yield, as we cannot rely on bond price appreciation. Nevertheless, central banks remain biased towards cutting rates, which remains a supporting factor, although we are coming off a much lower base now – so the leeway for cutting rates is much more limited.

Fund flows continue to be supportive. According to JP Morgan’s analysis, inflows into our asset class last year were huge at close to USD 100 billion. So far this year, inflows are around USD 28 billion – somewhat lower than at the same time in 2012. However, these headline figures are masking a more positive picture for local currency debt, which has seen inflows of around USD 17 billion year-to-date, compared to around USD 7 billion at this time last year.

There have been concerns in the marketplace that investors are potentially starting to switch out of emerging market debt into equities. We do not share this concern, as we are seeing evidence that investors are not choosing one emerging asset class over another, rather investors are choosing to allocate between emerging and developed market debt.

On a regional level, we favourLatin Americaat around 45% of the fund’s assets. Within that, the biggest positions are in Brazil and Mexico. Additionally, we built a position in Chile earlier this year. Asia represents around 20% of the portfolio. Asia has typically been a currency play for us as the bond yields available in the region have been quite low. As Asian currencies have been quite volatile this year, we are not running very much risk here. We have a 3% position in Indonesia, which is quite low for our standards, but we are watching the country closely. At the moment, involvement by foreign investors is quite high, yields are close to their lows and much of the yield curve is offering negative real rates. However, we are prepared to add to this position if the government reduces its fuel price subsidies. Typically, bonds would react quite noticeably to a decision like that. The remainder of the fund is made up of Eastern Europe and Africa, with Turkey and South Africa being the single-largest constituents in these regions.

Major recent themes were the fall in commodity prices and the quantitative easing by the Bank of Japan. With regards to commodities, we had already lowered the fund’s position in Russia before the fall in the oil price. We believe that Russia will suffer as a result of this drop, while the country’s technicals already looked stretched. When Russian bonds became Euroclearable, there was not much price movement, contrary to what we had previously expected. It looked like anyone who wanted to get exposure to Russia already had it before that event via other instruments. However, we have decided to maintain our reasonably large position in South Africa. Most investors turn negative on South Africa when commodities weaken, but for us the association is not quite that simple. For example, crude oil is South Africa’s biggest import, while the rand has come a long way. Further, South Africa offers one of the steepest yield curves in our universe, and hence we are maintaining our long duration position there.

With regards to the yen weakness, the general view is that from a competitiveness point of view the Korean won is most exposed to that move. The fund’s risk in the won is less than 2%, which means that we are fairly relaxed about the impact. We have additional exposure to Asia via the Philippine peso and the Thai baht. Over the longer term, we believe that these two currencies should be fairly immune to the yen movements as they are supported by strong domestic growth stories.

GAM Star Emerging Market Rates had a more difficult start to the year, following a return of more than 5% last year. In terms of themes, we are running a significant short ruble position on the back of the weaker oil price, as discussed above. A short in the yen has also done very well, following the announcements by the Bank of Japan about increasing the inflation target and initiating further quantitative easing. On the negative side, our position in Brazilian bonds has detracted. We have now reduced the duration of this position and initiated an interest rate swap payer at the front end of the curve to protect us against future rate hikes. The fund was also affected by currency volatility on both the long and short side.

We continue to like emerging market bonds and long positions in the asset class remain a core exposure for this fund. The backdrop for our investments remains favourable, with strong inflows and attractive yields on offer. In order to mitigate unwanted currency impact, some of our holdings are hedged, for example in Brazil, Russia and Turkey. However, there are others that we are running unhedged, for example in Uruguay, where the central bank tightly controls the currency. Uruguay’s economy is very dependent on the US dollar, and the authorities need the currency control to limit inflation.

We hold a number of currency positions on both the long and the short side. Our favourite long is the Mexican peso, where we are seeing solid macroeconomic conditions, while the government is enacting labour and energy market reforms. Meanwhile, a short in US Treasury bonds has struggled so far this year. However, we see this trade as insurance in case of any reversal in the spread tightening, as the yield spread above Treasuries has aided flows into our asset class.

We have reduced our eurozone-related positions, recently closing long Spanish CDS protection and a short in Italian BTP futures position, as the risk of a worst-case scenario has diminished. This is one reason why emerging markets in general are more driven by their own domestic fundamentals this year, such as central bank policy, currency fluctuations and current account politics. We expect this to continue to be an interesting year with many opportunities ahead.

In the fourth quarter of 2012 we restructured GAM Trading II, defining its focus and adding selected names outside the typical global macro / CTA universe. The aim of these adjustments was to keep the portfolio’s Sharpe ratio within an attractive range, while bringing volatility levels back up towards the historic average of 5–6%. The adjustments were successful, although the increase in volatility was also influenced by the underlying managers increasing their own risk levels and delivering strong performance.

Since November 2012, when the investment environment became more supportive for macro strategies as a whole, the performance of GAM Trading II has been much more in line with investor expectations. Over the past five and a half months (28 September 2012 to 15 April 2013) the HFRX Macro / CTA index delivered flat performance, having been impacted by offsetting positioning and commodities exposure. In contrast, the US dollar class of GAM Trading II delivered a return of 4.5% for the period. This performance came from the strong returns of the underlying managers, rather than from equity beta, reflecting the fund’s lack of correlation to equity risk.

Month-to-date performance for April is also looking strong. Within the diversified macro sub-strategy our four largest holdings are leading returns, while in emerging markets macro our Asian currencies-focused manager is performing best. Among our commodities positions, managers with a global agricultural focus are posting the strongest gains.

Within our multi-strategy fund GAM Diversity, the equity hedge sub-strategy is up approximately 7.5% on the year; trading has gained over 6%, and credit and relative value has gained approximately 3.5%. The only sub-strategy currently performing below our expectation is our event driven book. While the collective of managers are positive on the year, we adjusted the line-up in both March and April, and are introducing two new managers to help improve performance. Our preferred composition for the portfolio in 2013 is around 15–20 names.



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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