TFM: Three Factors Model

Investment Thesis

Changes in the level, slope and curvature of the term structure account for the vast majority of bond portfolio returns. Studies show that up to 99% of (non-credit) fixed income performance is derived by movements in the absolute level of rates, the steepness of the term structure and the convexity or concavity of the curve. A strategy that encompasses all three of these factors offers more efficient portfolio immunization than single point during hedging.

Instruments

Changes in the level, slope and curvature of the term structure account for the vast majority of bond portfolio returns. Studies show that up to 99% of (non-credit) fixed income performance is derived by movements in the absolute level of rates, the steepness of the term structure and the convexity or concavity of the curve. A strategy that encompasses all three of these factors offers more efficient portfolio immunization than single point during hedging.

Instruments

Interest rate swaps in three maturities ( 1 year, 2 year and 5 year ) and four currencies ( USD, EUR, GBP and CHF ) on payer / receiver basis.

Investment Thesis


Interest rate swaps in three maturities ( 1 year, 2 year and 5 year ) and four currencies ( USD, EUR, GBP and CHF ) on payer / receiver basis

Implementation

2008 – 2017

Implementation

2008 – 2017

AUM

€850 million

AUM

€850 million

Structuring Partner

Credit Suisse AG, London

Structuring Partner

Credit Suisse AG, London

Delivery Platforms

Index-linked delta-one certificates, UCITIS fund, excess return swaps, options cliquets

Delivery Platforms

Index-linked delta-one certificates, UCITIS fund, excess return swaps, options cliquets

Fortinbras is proud to be an equal opportunity workplace.  We are registered in the Austrian companies registry (Firmenbuch) under the number FN 281026z with managing director (handelsrechtlich) being Christopher John Kennedy.  Our VAT ID is ATU72796218.

This website is not an offer to, or solicitation of, any potential clients or investors for the provision by Fortinbras of asset management, advisory or any other related services. No material listed on this website is or should be construed as investment advice, nor is anything on this website an offer to sell, or a solicitation of an offer to buy, any security or other instrument.

Strategies

  • STIRM
  • TFM
  • PRISM
  • Pipeline Development

Founders

  • Christopher Kennedy
  • Jochen Renz

Contact

  • +43 6645300018
  • office@fortinbras-am.com

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© 2019 Fortinbras Asset Management GmbH

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