Global Macro Multi-Strategy Portfolios
These mandates take both long and short exposures to securities in all available asset classes both in South Africa and abroad. Protection of capital is emphasised while targeting low volatility, inflation-beating returns over rolling three-year periods.
To exceed CPI + 8% per annum over rolling three-year periods, while never sustaining a monthly loss in excess of 5% and maintaining volatility below a target level (being two-thirds of the volatility of the SA share market).
The portfolios are currently restricted to 20% offshore exposure, while gross derivative exposure may not exceed 40% of portfolio.
Within these mandates, clients have prioritised the requirement for a low volatility return profile and maximum monthly loss of 5%. The graph below reflects the success in restricting monthly losses to below the maximum 5% limit – even during periods of severe market stress. The requirement to maintain a low volatility return profile has been achieved, with the standard deviation of rolling one-year returns well below the target level of two-thirds of the volatility experienced by the FTSE/JSE All Share Index.
Minimum segregated account size: Negotiable from R250 million
Historic Investment Returns
The investment return information reflected below is in respect of a composite of institutional mandates managed on a segregated basis.
* SA CPI + 8% per annum