Bond: Long/ Long Short/ Hedging rising interest rates
Thorough analysis of the shapes of yield curves and trends and moves of the spreads among various instruments enable us to increase the probability of achieving the targeted returns and risk profiles.
By investing in the government bonds of several countries, laddered portfolios are constructed where almost the same amount of money is invested in securities with different maturity dates and the currency fluctuations are fully hedged in principle.
By investing in the European Government bonds with seven to thirteen years to maturity, laddered portfolio is constructed (currency fluctuation fully hedged in principle) and at the same time short-term European Government bonds futures are sold short to acquire stable income gains and returns on investment while mitigating currency and interest rate fluctuation risk.
Quant Model Approach
Provides an innovative solution in this difficult time for asset management when preparedness against the risk of interest rate hikes is required while interest rates remain at low levels. Aims to earn higher income gains by investing in U.S. government bonds, while hedging against interest rate hikes and securing further returns by utilizing futures based on signs of our proprietary Quants model, which was designed with an emphasis on behavioral finance theories, as well as consistency with macro-economic models.
Invests in U.S. government bonds to build a laddered portfolio keeping investments for the respective remaining duration approximately equal (currency fluctuations fully hedged in principle). Also invests in bond futures, stock index futures, and currency futures based on the RM model.
The fund will have a laddered portfolio (keeping investments for the respective remaining duration approximately equal) investing in U.S. bonds with remaining durations of approximately five to ten years. Furthermore, in order to manage the risk of U.S. interest rates rising, the portfolio will be effectively hedged utilizing U.S. bond futures according to the signs based on the RM model; in addition, investments will be made in U.S. stock price index futures and currency futures (dollar/yen) with the goal of an additional return on the investment.