Absolute Return Strategy

Nomura’s Global Fixed Income Absolute Return strategy was first launched in 2006 and has achieved 8.1% annualised alpha*, with limited downside volatility, since inception.

*as at Sep 2011

Absolute Return strategy objectives

This strategy aims to achieve 10%p.a. alpha above the benchmark using physical and future/forward positions in the world’s most heavily traded bond and currency markets. To suit the individual client’s requirements, the benchmark can be tailored.

Our team of fixed income professionals aims to understand global capital flows and thereby forecast market trends, combining a top-down approach with judgemental analysis.

Credit exposure is very limited at all times – returns are targeted through active positioning in (mainly G7) government interest rate futures and currency forwards.

As the strategy will be highly leveraged at times, it is offered on a segregated account basis to institutional clients who can incorporate it as an alpha component of a broader investment strategy.

Our unique perspective

Nomura offers a unique perspective to Global Fixed Income investing given our positioning as an Asian-based specialist. We view Asia as a region that will increasingly shape the course of global economic and market developments - hence the importance of the insight and perspective that our position gives us.

Focus on risk management

Whilst the product is constructed to reach its alpha target of 10% each year, there is an emphasis on downside risk control at all times. We adjust our risk positions to achieve consistent alpha in all market conditions, and diversify our positioning across a range of potential alpha producing strategies. Perhaps contrary to popular thinking, we view periods of “stress” in global bond and currency markets are viewed as times of particular opportunity, and we would wish our own tracking error to be at its highest.  

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