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Strategy Profile – Emerging Markets Corporate Bond Strategy
As of 30-Sep-2020
|J.P. Morgan Corporate Emerging Market Bond Index (CEMBI) Broad Diversified|
|Tracking Error (average)||100-300 bps per annum|
|Expected Value Added|
|Sovereign Debt||Max 15%|
|Local Currency-Denominated Debt||Max 10%|
Risk Management Guidelines
Exposure and Liquidity Guidelines:
- Country exposure will typically range ±20% from index.
- Industry exposure will typically range ±20% from index.
- Maximum of 3% per corporate issuer; 5% per quasi-sovereign issuer.
- Own no more than 10% of an issuer’s debt.
- Duration band target ±1 year of index.
- No leverage.
Tracking Error Guidelines:
- Expected tracking error range between 1.0%–3.0% per annum.
- No more than 20% of tracking error sourced from any one industry.
Downside Risk Management:
- Portfolio level scenario analysis.
- Empirical duration stress testing.
- Regular attribution analysis.
The above expected investment parameters and risk management guidelines are relative to the corresponding benchmark of strategy and represent anticipated ranges of exposure at the time of purchase. Market fluctuations may cause actual exposure to fall outside these ranges. Actual results may vary, and the information should not be considered or relied upon as a projection of future performance.