Credit Märkte: Abnehmende Liquidität als Herausforderung

Malie Conway, Co-CIO und Head of Global Credit, Rogge Global Partners, spricht im Exklusiv-Interview mit über den Investmentansatz der Rogge Global Multi-Asset Credit Strategien und liefert dabei konkrete Beispiele dafür, wie sich die abnehmende Marktliquidität im Credit Bereich auf das Portfoliomanagement auswirkt. Managers | 29.10.2015 11:50 Uhr
Malie Conway, Co-CIO und Head of Global Credit, Rogge Global Partners / ©  Rogge Global Partners
Malie Conway, Co-CIO und Head of Global Credit, Rogge Global Partners / © Rogge Global Partners
Archiv-Beitrag: Dieser Artikel ist älter als ein Jahr. Ms. Malie Conway, you are the fund manager of the Rogge Global Multi-Asset Credit Fund. Fund ISIN: IE00BKXP3359 (ROGGE GLOBAL MULTI-ASSET CREDIT FUND - GBP SHARES), IE00BKXP3680 (ROGGE GLOBAL MULTI-ASSET CREDIT FUND - USD HEDGED SHARES). When did you take over the responsibility of managing this fund and how long have you been in the business as a fund manager? Malie Conway: I am responsible for the overall strategy and asset allocation of the portfolio, while David Newman, Head of Global High Yield, takes primary responsibility for portfolio construction and security selection. We have been responsible for the fund since its inception in May 2014.

We are supported by the broader Global Credit Team, including three further Portfolio Managers and 13 dedicated Global Credit Analysts.

I have been working in the investment management business for almost 30 years, the last 17 of which have been at Rogge as Head of Global Credit and, more recently, as Co-CIO. My career has been spent working in fixed income. What is the current size of the fund?

Malie Conway: As at 30th September 2015 the fund was EUR 95.3 million in size, having started the year at EUR 40.5 million. Do you also manage other funds or mandates? (If yes) What is the total amount of assets you manage currently?

Malie Conway: At Rogge, one of our great strengths is our team-based approach.  As Co-CIO and a member of the investment committee, I am involved in the oversight of all mandates and funds managed by Rogge (EUR33.6 billion as at 30 September 2015). What are the main steps in your investment process and in which area is your competitive edge to add value to investors?

Malie Conway: We believe two distinctive features of our offering represent a competitive edge: first, the asset allocation between different segments of the credit universe is independent of the portfolio construction and security selection. This allows us to assign risk capital dispassionately wherever we believe it will earn the best returns. Second, our proprietary quantitative models have given us an excellent record in avoiding negative credit events, such as defaults and downgrades, at the issuer level. This is an essential condition for success in credit investing – what we call “winning by not losing”.

In addition, I would point out that this strategy is predominantly focussed on credit fundamentals and sector rotation, rather than interest rate cycles.

The investment process follows four clear steps:

First, we define a total risk budget and asset allocation across the different segments of the credit universe, based upon proprietary research on global growth and credit conditions.

We then create a portfolio structure with high level portfolio targets in terms of geography, rating, etc., which reflects our asset allocation views while respecting the overall objectives of the fund and avoiding excessive concentrations of risk.

The third step selects individual issuers through diligent micro-level analysis, with in-depth fundamental research from our analyst team as well as proprietary quantitative models. With no constraints from a benchmark in this fund, the team is free to focus on high conviction ideas.

Finally, positions are sized according to perceived risk and return and passed to a dedicated trade execution desk. We continually review the performance of each security and our strong sell discipline leads us to reallocate risk if we meet our profit targets or believe better opportunities are available elsewhere. How many positions does the portfolio usually contain and what is the average holding period of an investment?

Malie Conway: The portfolio will contain c. 70-100 issues. We size positions according to weighted duration times spread (wDTS) and percentage invested constraints given our judgement of risk tolerance. We weigh up the analysts’ upside and downside scenarios such that no position should ideally cost the portfolio more than 0.2% in a downside scenario.

Holding periods vary, depending upon why a position was purchased and how quickly we reach our profit targets; however since inception, the average position has been held for a little over a year. To what extent does fund size impact the efficiency and effectiveness of your investment strategy?

Malie Conway: At EUR 95M, the fund is large enough to achieve diversification and participate in any new issues brought to market. At the same time, with liquidity a scarce commodity in the credit markets, our size allows us to trade in and out of positions much more easily than some of our competitors. We believe we could manage EUR1.5bn in this fund before having to review our capacity. In which market environment does your investment strategy deliver the best (relative) results?

Malie Conway: The strategy is based on exploiting the credit risk premium; therefore, the performance will be strongest where dispersion of returns are greatest amongst the credit asset classes. That said, there are a number of tools we have at our disposal to protect the portfolio in weaker markets and deliver positive returns over a whole cycle. Which benchmark is most relevant and how should investors compare the fund vs. benchmarks or peer groups?

Malie Conway: This fund has an absolute return target, which allows us to choose the most attractive opportunities around the world, irrespective of their weighting in an index. We believe that there are inherent flaws in traditional fixed income benchmarks, especially with regards to credit, in that they are weighted by the value of issuance. Companies with high debt burdens, therefore, get greater weighting in the index, and investors who follow the index will be pushed towards holding these issuers in their portfolios. We believe that this fund and others like it should be judged first on whether it has achieved its stated objective, and second on how much risk (volatility) has been required to meet the objective. Market participants are increasingly worried about the liquidity within credit markets (and particularly in the high yield universe) – how do you address this issue?

Malie Conway: Liquidity within the credit markets has indeed declined materially since the financial crisis, as banks have scaled back their market-making operations. There are several consequences of the new environment for credit portfolio management: first and foremost, you must have high conviction in your portfolio holdings and be effectively willing to hold them to maturity. Second, you should take care on issue sizes and how much you are willing to hold of any particular bond. We generally avoid issues smaller than USD500m in investment grade and USD300m in high yield. Finally, a greater degree of portfolio diversification is required so that you can liquidate any particular position if needed, without any undue disruption to the overall fund. How optimistic is your view into the future and what obstacles and challenges should investors in global credit be prepared to overcome going forward?

Malie Conway: We do believe that opportunities exist for unconstrained credit investors given the benign combination of moderate global growth and accommodative central bank policy. Having said that, there are a number of challenges we face as investors: first, uncertainty over the path of central bank policy, coupled with poor liquidity, will keep volatility elevated. Second, re-leveraging and shareholder activism, particularly in the investment grade industrials sector, will be detrimental for credit fundamentals. As such, we generally prefer subordinated financial bonds in investment grade, short-dated global CMBS, and short-dated BB high yield in industrials. Finally, slowing emerging market economies and lack of visibility on China’s growth potential will continue to be a destabilising influence in markets for the foreseeable future. Thank You!

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