Rasmala GCC Fixed Income Fund - Rasmala Investment Bank

The Fund Investment Process
Selection Criteria
Credit Analysis / Rating Issue Size & Liquidity Interest rate profile Duration and Convexity
Focus on Risk
The Investment Manager utilises its expertise in fixed income investing to select the most appropriate securities.
Analysing the underlying Verifying the issue size Selecting the appropriate Modified duration and
credit of the issuer and liquidity interest rate profile convexity
Focus on risk adjusted
return
The investment process
requires a detailed analysis
of the underlying credit risk
of an issuer. The credit
process is multi faceted and
employs a combination of
proprietary credit analysis,
third-party credit intelligence
and external credit rating
reports released by the
major rating agencies.
Secondary market liquidity
impacts directly on the
performance of an actively
managed portfolio. The
investment process therefore
includes an evaluation of the
expected secondary market
liquidity of instruments to be
held in the portfolio, with a
liquidity rating applied. This
liquidity rating is regularly
reviewed and plays an
important part in the asset
allocation process.
A fixed income portfolio is
exposed to both changes in
the absolute level of interest
rates and the shape of the
yield curve. These risks are
continuously monitored and
regularly reviewed to ensure
that the portfolio is
appropriately positioned for
both the prevailing interest
rate environment and any
expected changes.
Modified duration is a broad
measure of the price
sensitivity of bonds or
portfolios to small parallel
shifts in the interest rate
curve. Convexity quantifies
bond or portfolio price
changes due to larger
parallel shifts in the interest
rate environment. Both
measures are employed to
assist in the management of
interest rate sensitivity of the
portfolio.
A matrix of both quantitative
and qualitative factors are
considered when analyzing
potential investments
opportunities. Existing
investments are dynamically
managed to profit from
anticipated changes in the
macro environment,
envisaged shifts in interest
rate curves and expected
improvements or otherwise
in the underlying credit
quality of investments.
Relative value strategies are
also employed to maximize
the risk adjusted return to
investors.
Rasmala GCC Fixed Income Fund
13