Starting 28/12/2018, the investment strategy, the risk profile and the benchmark have been modified. The fund has been managed since that date by Etienne de Marsac. Early in 2018, Sunny AM anticipated more volatile markets, making traditional asset allocation processes less relevant. As a bond specialist, Sunny has come to the conclusion that it had to complete its range by offering an Absolute Return Fund focused on multi bond strategies and seeking to generate positive absolute performance in uptrends, downtrends and volatile market regimes.
What are the paradigm shits for financial markets?
The gradual disappearance of risk-free rates, in Asia as in Europe, generates significant liquidity spikes, disqualifying passive bond management on sovereign debt. Thus, the German Bund is no longer a risk-free rate, but a risk without a rate.
The price of different financial assets is no longer dependent on the macroeconomy. Since 2009, the impact of regulation has largely overtaken the basic logic: Basel 3, CRD, MIFID, FRTB, CRL, NSFR: all these acronyms testify to a wall of regulation that skew behavior.
The weight of central banks has replaced that of investors by intervening directly on the markets by unconventional methods.
Global debt has tripled since 1999, making financial assets extremely sensitive to rate hikes.
In these altered markets, unstable correlations render ineffective the principles of diversification between asset classes. Adapting to this new paradigm shift, Sunny AM is proposing a new decorrelated management process, no longer based on an allocation by asset classes but on an allocation by bond strategies. Sunny Multistrategic Bonds is born.
Which performance engines ?
Carry strategies, either through a selection of international private or sovereign debt, or through currencies.
Directional strategies – “long” or “short” rates, currencies, equities (-50% +50%), commodities (10% max. via ETF). The manager gives himself the opportunity to use a wide range of sensitivity, from -6 to +10.
Arbitrage strategies seeking to monetise the relative performance of 2 assets (bonds / currencies) using a wide range of derivative instruments.
What risk management ?
Sunny AM has chosen to implement a fine risk management system, complying with the strict standards of the banking sector, with the help of Chappuis Halder. Thus, risk management, which is central to this process, will rely in particular on an innovative method for calculating probabilistic extreme losses (the CVaR), which will usefully complement Value at Risk (VaR).
Etienne de MarsacFund Manager & Head of Absolute Return Strategies
Net Asset Value (NAV) as of 26/09/2023
Net Asset Value (NAV)
– 1,56 %
CVaR 99% -1 days in %*
*Calculated on a weekly basis.
To access our latest bi-weekly reporting, click here.
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