Absolute Return MBS

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This website is for informational purposes only. The content of this website, including all opinions and downloadable documents, is not intended to and should not be construed as an offer, invitation or general solicitation to buy or sell any investments or securities, provide investment advisory services or engage in any other transaction. It must not be relied upon in connection with any investment decision, and should not be construed as investment, tax, legal or other advice.

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The strategy seeks to provide an absolute return outcome by investing primarily in US government-backed fixed income securities, with a focus on agency mortgage-backed securities (MBS), a sector that historically has delivered consistent risk-adjusted returns and favorable liquidity. When combined with an investment process focused on fundamental research and capital preservation, we believe US Agency MBS offer a structurally attractive risk/reward profile to an absolute return strategy.

Our approach

  • To capture attractive risk/reward opportunities
  • Attractive to the prevailing environment where
    • Bonds offer asymmetric risk / reward.
    • Impact of today’s monetary policies is unknown.
    • Increased volatility.
    • Constrained liquidity.

Strategy differentiation

  • Does not rely on overweight credit risk.
  • Negatively correlated to stocks with low volatility.
  • Does not use negative duration.
  • Utilises liquid investments.

We believe this is a mortgage absolute return strategy well suited to the current environment.

Strategy features

Strategy performance

Philosophy and process

With diversification, liquidity and government guarantee features, MBS can be an attractive solution for an absolute return strategy

Delivering long term consistent risk-adjusted returns, exceeding the target outperformance (LIBOR +3%) since inception1

A disciplined approach to absolute return investing based on a philosophy of fundamental research and capital preservation

This strategy is available via segregated account or UCITS compliant pooled fund.

Pooled fund materials

Data Privacy Notices

Macquarie Absolute Return MBS Fund

Key Investor Information Document (KIID)

Please note that these documents must be read in conjunction with the prospectus. The prospectus is available in English or German.

  Class I USDClass I EUR HClass IF CHF HClass IF GBP HClass IF USDClass IF EUR H
Dutch KIID KIID KIID KIID KIID KIID
English KIID KIID KIID KIID KIID KIID
French KIID KIID KIID KIID KIID KIID
German KIID KIID KIID KIID KIID KIID
Italian KIID KIID KIID KIID KIID KIID
Norwegian KIID KIID KIID KIID KIID KIID
Swedish KIID KIID KIID KIID KIID KIID
Swiss KIID KIID KIID KIID KIID KIID

  Class IF
GBP H (Dist.)
Dutch KIID
English KIID
French KIID
German KIID
Italian KIID
Norwegian KIID
Swedish KIID
Swiss KIID

Total expense ratio information

1The performance data quoted represent past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate so shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted.

  • The Sub-Fund invests primary in US agency mortgage-related securities which are issued by US federal agencies, with a focus on MBS.

The value of an investment in the Sub-Fund can go up and down. When you sell your shares, they may be worth less than you paid for them. If your currency as an investor is different from the reference currency of the Sub-Fund, changes in currency exchange rates could reduce any investment gains or increase any investment losses.

The Sub-Fund is subject to the following risks:

  • Fixed income securities and bond funds can lose value, and investors can lose principal, as interest rates rise.
  • An issuer of a debt security, including a governmental issuer or an entity that insures a bond, may be unable to make interest payments and repay principal in a timely manner.
  • MBS and related securities are often subject to prepayment risk as the cash flow terms of these securities may vary and the uncertainty may affect the return of the Sub-Fund.
  • Certain derivatives could increase the Sub-Fund’s volatility or expose the Sub-Fund to losses greater than the cost of the derivatives.
  • Certain securities could become hard to value, or to sell at a desired time and price.

For full details of the Sub-Fund’s risks, please refer to the prospectus available as mentioned in section “Practical Information”.

These documents are available via the following link: http://www.macquarie.com/mgl/com/mim-emea/en/sicav