Algebris Global Credit Opportunities Fund

The Algebris Global Credit Opportunities fund is a multi-sector, macro orientated credit strategy that combines top-down macro asset allocation with bottom-up micro research to construct a portfolio of high conviction investments, with the aim of generating mid to high single digit returns over the cycle whilst seeking to control volatility (5-6% p.a.). While the strategy has the ability to invest across different asset classes (including FX, Commodity and Equity) the portfolio is built around a core ‘high value’ credit book that offer opportunities for capital appreciation. Within this bucket, the PM has the flexibility to compare investment opportunities across the entire capital structure globally: sovereign debt in hard and local currency, private sector corporates and financials. The mandate is unconstrained, with the fund’s rates/spread duration budget ranging from -/+8 years. The remainder of the portfolio includes a macro book, which trades RV rates, credit and FX. There is also a tail hedging overlay which is largely implemented via derivatives.