Emerging Markets Debt Local Currency

Strategy description

In emerging markets local currency debt, we offer clients both a short duration and a long duration strategy. The NN Emerging Markets Debt Local - Currency strategy is benchmarked against the JPMorgan ELMI + Index and offers clients local currency denominated money market/exchange rate exposure and invests mainly in debt instruments with a remaining life of less than one year, whereas the NN Emerging Markets Debt - Local Bond (EMD LB) strategy, benchmarked against the JPMorgan GBI-EM GD Index, offers clients local currency denominated government debt exposure and invests mainly in debt instruments with a remaining life of more than one year.

Objective

Our objective is to outperform the JP Morgan ELMI+ Index on a gross basis over a three year period with a target information ratio of 0.5.

Key information

Investment Universe Debt instruments denominated in local currencies, issued by issuers from low and middle income developing countries.
Investment Instruments
  • Local bonds issued by emerging markets central governments, regional entities and municipalities.
  • Local bonds issued by emerging markets corporates.
  • Derivatives (e.g. FX forwards).
Benchmark Emerging Markets Debt Local Currency: JP Morgan ELMI+ Index
Target Tracking Error Emerging Markets Debt Local Currency: 2-5%
Target Information Ratio 0.5
Base Currency US dollar (EUR shares classes are available)
Currency Hedging Implicit USD exposure is hedged for Euro based investors
Diversification Portfolio diversification is provided at regional and individual security level
Derivatives Strict guidelines and comprehensive risk management procedures govern the usage of derivatives


NN Investment Partners

+44 (0) 207 382 1332

Key elements

  • Long term track record
  • Proven multi-site approach
  • Excellent performance through consistency
  • Consistent and transparent risk management

Documents

Our EMD investment process is characterised by discipline, transparency and efficiency. In the process, we focus on identifying value by analysing sources of alpha in four steps.

  • Top-down asset class review
    The top down review focuses on
  1. Global market environment
  2. Fundamentals
  3. Market Technicals and
  4. Valuation

The overall review is reflected in the Market Condition Score and determines our overall market risk stance

  • Local currency analysis
    Currency exposures are actively managed. Our views are based on rigorous research of currency fundamentals, combined with technical analysis as well as valuations.These are all reflected in our detailed currency score cards. Next to that, we also conduct a vulnerability analysis for EM FX.
  • Local interest rates analysis
    Our views are based on rigorous research of macroeconomic fundamentals, combined with technical analysis as well as valuations. We apply a Rates Tool to capture our views of these factors. Our duration and curve positioning and relative country positioning are largely derived from these views.
  • Instrument selection analysis
    We assess whether an issue appears attractive or expensive versus similar issues. We will amongst others take size , liquidity and other payment issues into account in this assessment.

NN Investment Partners

+44 (0) 207 382 1332

Key elements

  • Long term track record
  • Proven multi-site approach
  • Excellent performance through consistency
  • Consistent and transparent risk management

Documents

Marcelo Assalin

Marcelo Assalin

Head of Emerging Markets Debt

Experience since 1996

NN Investment Partners

+44 (0) 207 382 1332

Key elements

  • Long term track record
  • Proven multi-site approach
  • Excellent performance through consistency
  • Consistent and transparent risk management

Documents