PGIM Fixed Income's Global Macro Strategy is a directional, high conviction global strategy that invests across global capital markets with a focus on interest rates, credit, and currencies as well as equities and commodities. The Strategy seeks to maximize absolute return on a risk-adjusted basis by investing across global capital markets,
utilizing a 1,500 bps risk budget .1
PGIM Fixed Income's Global Macro Strategy is based upon concentrated long and short opportunities across global capital markets implemented primarily using derivatives. The Strategy utilizes five primary investment sub-strategies focusing on top down macro themes, combining long-term market trends with short-term tactical trading opportunities. There is also a persistent focus on managing downside risk using proprietary quantitative methods.
Features of the Global Macro Strategy include:
- Capitalizes on experience managing global broad market strategies since 2002
- Designed to be nimble to quickly seize global macro opportunities
- Invested in highly liquid markets
- Primarily focused on fixed income, currencies and volatility
The Global Macro Strategy seeks investment opportunities through five trading sub-strategies:
- Rates - Outright, inter- and intra-market positioning to capitalize on changes in interest rates and inflation expectations based on top down macro views
- Credit - Outright, inter- and intra-market positioning to capitalize on trends in credit spreads based on top down macro and credit market outlook
- Currency - Directional and relative value positioning based on fundamental and quantitative market analysis
- Volatility - Delta neutral positioning in currency, rates and credit derivatives to capture volatility risk premia and skews in the market
- Cross Asset - Long and short positions across all asset classes, with a focus on equities and commodities based on fundamental and technical analysis
Sub-strategy allocations are actively adjusted to reflect market opportunities and are implemented primarily through the use of derivatives.
1 There is no guarantee that these objectives will be met.
2 On average, over a full market cycle defined as three to five years.
No risk management technique can guarantee the mitigation of elimination of risk in any market environment.
Source: PGIM Fixed Income as of June 30, 2021.