Single Manager Solutions:

G10 macro rates

The Pacific G10 Macro Rates Strategy is an interest rate and FX macro strategy, implemented in a relative value style, aiming to deliver positive returns with a low correlation to equity and bond markets.

The strategy is managed by a highly experienced team, with an outstanding track record of managing liquid diversified strategies. The team applies an established and disciplined investment process with a focus on implementation efficiency, centred around a G10 mandate.

The specialist G10 interest rates and FX team

The investment team comprises of highly experienced portfolio managers, Shayne Dunlap and Dr Richard Marshall, alongside co-portfolio manager Oleg Gustap. Prior to joining Pacific Asset Management in 2018 the team worked most recently together at Aberdeen Standard Investments.

Dr Richard Marshall, Shayne Dunlap and Oleg Gustap

Previous to this Shayne and Richard worked together for over 15 years at Mizuho on the bank’s proprietary trading desk. The team specialise in relative value trading of G10 interest rates and FX. Shayne Dunlap and Dr Richard Marshall have worked together for over 20 years since 2000.

Outstanding track record of producing uncorrelated, positive returns

Shayne Dunlap and Dr Richard Marshall were managers of a G10 Rates & FX strategy between December 2006 and July 2015, before managing an ARGBF strategy from September 2015 to December 2017 with Oleg Gustap.

Over this period the strategy achieved positive net returns every year, including 2008.

317.3

Simple perf. %

11.9

Ann perf. %

8.8

Ann. Std. Dev.

G10 Macro Rates team historical track record

Performance from 31 Dec 2006 to 31 Dec 2020

Past performance is not indicative of future performance. Performance is provided net of fees. *Fees calculated using following structure = 0.8% OCF (0.3% AMC + additional charges) and 10% performance fee. **Fees calculated using OCF of 0.89%. Source: Bloomberg, Pacific Asset Management as at December 2020

G10 Rates & FX strategy*
31 Dec 06 to 31 Jul 15
Shayne Dunlap
Dr Richard Marshall

ARGBF*
30 Sep 15 to 22 Dec 17
Shayne Dunlap
Dr Richard Marshall
Oleg Gustap

PAM G10 UCITS**
08 Mar 19 to date
Shayne Dunlap
Dr Richard Marshall
Oleg Gustap

Investment philosophy

G10 Macro three major investment principles:

1

Craft investing not forecasting investing

Data has become industrialised. Macro investing should not be about guess work but a process of crafting a well researched portfolio of asymmetric trades with disciplined risk management.

2

Focus on implementation efficiency

We use common pricing data and focus on implementation efficiency. Our proprietary curve model generator provides superior analysis to identify market (mis)pricing and exploit inefficiencies.

3

Positively
convex
returns

We constantly search for value forms of proxy volatility and asymmetric trades, prioritising capital preservation. Historically proven to deliver uncorrelated returns in extreme market conditions.

Liquid and diversified portfolio

Liquidity

Liquidity is of vital importance

The team only trade the most liquid G10 instruments and monitor them on a daily basis to ensure the portfolio remains within expected parameters.

Diversification

Diversification is key in portfolio construction

New trades are tested for additional risk contribution. Stop-loss limits and profit targets are set for all individual trades and complemented by active VAR management.

Risk Models

Risk models and framework are run daily, automated and independent from the fund management team

Why Invest?

G10 macro relative value, interest rates and FX fund with a focus on delivering positive returns with low correlation to equity and bond markets

Highly experienced team, with outstanding track record managing liquid diversified strategies

Established and disciplined investment process with focus on implementation efficiency

Proprietary curve model generator –accurate forward curve models compared to standard methods

Risk management discipline enforced at every level of decision-making

Diversified, liquid portfolio of 20-30 trades, highly uncorrelated to traditional markets

We specialise in a solution which delivers a portfolio with superior asymmetric returns that are uncorrelated to traditional markets.
Shayne Dunlap, Co-Portfolio Manager of Pacific G10 Macro Rates
As Portfolio Managers we able to focus on our core skill – investing. Pacific has a very clear idea of what being a craft manager means and how to deliver differentiated outcomes to clients.
Dr Richard Marshall, Co-Portfolio Manager of Pacific G10 Macro Rates
Clients continuously tell us they are looking for liquid diversifying strategies for their portfolios. In today’s industrialised world of asset management this is another excellent example of a differentiated solution we can offer clients.
- Nick Lemis, Head of UK Wholesale

Portfolio managers

Shayne Dunlap

Portfolio Manager - G10 Macro Rates

Shayne Dunlap is a Founding Portfolio Manager of Pacific’s G10 Macro Rates team. Prior to joining, Shayne worked as the Lead Fund Manager at Standard Life Investments. He has worked in fund management and investment banking for 29 years and has actively managed portfolios since 1999 with an excellent track record in G10 government bonds, interest rates and FX.
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Dr Richard Marshall

Portfolio Manager - G10 Macro Rates

Richard is a Founding Portfolio Manager of Pacific’s G10 Macro Rates team. Previously having worked as a Named Fund Manager at Standard Life Investments. Richard has actively managed portfolios since 2006 and has an excellent track record of trading G10 government bonds, interest rates and FX with over 18 years’ experience in fund management and investment banking.
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Oleg Gustap

Portfolio Manager - G10 Macro Rates

Oleg is a Founding Portfolio Manager of Pacific G10 Macro Rates team. Prior to joining, Oleg worked at Standard Life Investments for 5 years, most recently in the Liquid Alternatives team that managed Absolute Return Government Bond Fund and was responsible for the non-linear strategies in G10 Interest Rates and FX.
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