The Systematic Alternative Fixed Income (SAFI) strategy is an alternative markets CTA. The strategy applies modern CTA technology to a diversified set of fixed income markets which consist mostly of OTC and cash instruments, spread across developed and emerging markets. These markets are driven by idiosyncratic factors and tend to decouple from global interest rates during periods of financial stress, funding stress, and are also impacted by trends in cross-border issuance. As we do for our Alternative Commodity Absolute Return (ACAR) strategy, we focus on this market universe based on one of the core tenets of our investment thesis: expected returns from trend-following should be higher, and correlations lower, across markets in which there is less capital competing for the same source of return.
- Portfolio Diversification
- A high degree of structural and geographical heterogeneity across about 50 markets yields a significant number of independent factors and portfolio diversification.
- Low Correlation to CTAs
- A singular focus on alternative fixed income markets translates into lower correlations to traditional managed futures programs.
- Robust Framework
- Gresham’s framework allows the inclusion of instrument types marked by ample variety and uncommonly employed in typical trend-following strategies.
- Alternative Market Pioneers
- SAFI shares the trend-following framework and technology as Gresham’s ACAR strategy, developed by the GreshamQuant team who helped pioneer the application of trend following systems to alternative commodity markets.
- Extensive Experience
- Together with its original parent company, The Falconwood Corporation, Gresham has more than 30 years’ experience in trading and operational aspects of implementing and risk-managing investment portfolios.
- Institutional Infrastructure
- Clients can rely on Gresham’s operational experience and blue-chip systems and controls to alleviate barriers to entry.
The SAFI team believes that this can be accomplished by operating in a wider fixed income segment which is inherently more diversified and less saturated with trend-following capital, creating robust alpha-generating opportunities while presenting higher barriers to entry.