Mary Murphy, Global Head of Institutional Distribution, sits down with the Pacific G10 Macro Rates team and Portfolio Managers Shayne Dunlap, Richard Marshall, and Oleg Gustap for their second Q&A session.
The team discuss how the Pacific G10 Macro Rates Strategy has performed and evolved amid shifting market dynamics. The team reflects on strong year-to-date performance, driven by volatility trades, curve steepeners, and mean-reversion opportunities. They unpack how policy shifts from aggressive tariffs to the Fed’s recent rate cut, have shaped positioning and outlook.
Video 1: Pacific g10 macro rates
update and introduction
Shayne reflects on market events since their last conversation, starting with the Trump administration’s aggressive tariffs that caused high volatility and deleveraging. April was strong for their strategy, particularly in volatility and risk-on trades. Tariffs were later moderated, leading to calmer markets in May and June, benefiting mean reversion trades. Overall, the market has experienced significant activity and shifting narratives over this period.
Video 2: Pacific g10 macro rates
what has been driving performance?
The team discusses a solid year-to-date return, driven by both strong cash yields and consistent alpha generation. Maintaining low volatility and uncorrelated returns, the team highlights a market environment that continues to support their disciplined, risk-aware approach.
Video 3: pacific g10 macro rates
are there any structural dislocations
The team highlights growing excitement around low volatility levels and curve steepening opportunities particularly in the US dollar. While remaining mindful of concentrated positioning, they’re identifying cross-currency opportunities as market inefficiencies emerge.
Video 4: pacific g10 macro rates
opportunities in japan
The team discusses Japan’s shifting landscape, a rare standout within the G10. After years of ultra-easy policy, the Bank of Japan’s gradual rate increases and sustained inflation above 2% have created fresh opportunities. Portfolio exposure to Japan has expanded significantly, transforming it into a meaningful alpha generator for the strategy.
