Macro uncertainty afecting equity exposure

Heightened risks owing to an uncertain global scenario have led the asset manager of Grupo Novo Banco to favour credit strategies, such as high yield and emerging market debt, as well as absolute return funds which invest in different asset classes like currencies, credit markets or equities.

GNB Gestão de Ativos, with assets under management of about €8bn (excluding real estate mandates) manages assets mainly on behalf of pension funds, discretionary mandates for private clients and active managed mutual funds domiciled in Portugal and in Luxembourg.

The Portuguese asset manager can use third party funds across all these mandates, and the selection is conducted mainly on an ad hoc basis, according to the asset allocation and risk budget for each portfolio, rather than in response to client requests.


This year’s macro uncertainty has pushed the asset manager to favour credit versus equity, especially on more conservative mandates.

“Uncertainty concerning the macro context, namely a China slowdown, Fed monetary policy and ECB quantitative easing, have led us to be more cautious with our equity exposure, especially on the portfolios with lower value at risk, versus the credit exposure, where the risk budget is filled by high yield and emerging market debt credit, rather than equities,” says Susana Vicente (pictured), investment director at GNB Gestão de Ativos.

Currently, GNB Gestão de Ativos prefers active managers on the equity side, especially those with a good track record at the alpha level, higher tracking error and concentrated portfolios.

“Dispersion and volatility in the markets can allow these managers to generate interesting risk adjusted performances, but they do require a more cautious allocation,” she says.

Regarding absolute return funds, the focus is on strategies that can play a value-added role and can provide diversification effects to the overall portfolios of specific mandates.


GNB Gestão de Ativos relies solely on Luxembourg, or Dublin registered funds that are Ucits compliant, as it prefers regulated liquid funds and strategies.

“Our selection process begins as a quantitative process to filter as many as possible funds according to performance/ risk objectives. For this selection we would use different quant indicators, namely absolute performance and volatility data, alongside their combination of Sharpe and information ratios, and downside deviation,” Vicente says.

“Risk return matrixes are very useful for us to visually identify the portfolios, across different periods, and quantitatively analyse the behaviour of these funds under evaluation versus each other, versus its benchmarks and versus our risk/reward objectives,” she explains.


When selecting a fund, GNB Gestão de Ativos prefers teams that are not too dependent on just one portfolio manager to make decisions.

“We would prefer to identify a fund that relies on team work, and that has been together for some time,” Vicente says.

Another key aspect is consistency at the performance level, so fund selectors at the Portuguese asset manager can rapidly see an outperformance or underperformance “simply because the fund is delivering what it is expected according to its strategy and past behaviour”.

A red flag would be exactly the opposite of this – facing behaviour that has nothing to do with expectations, Vicente explains.

“A big change in the management team would also be a red flag and probably a strong reason to redeem, until we further understand how the new investment team will act,” she says.

Alicia Villegas
Alicia Villegas speaks Spanish and Italian and is Iberia Correspondent for InvestmentEurope. She was shortlisted for the Rising Star Award at the British Media Awards 2017 and Writer of the Year at the PPA Independent Publisher Awards 2016. Previously, she worked for almost three years at the seafood business website Undercurrent News as a market reporter. In Spain, she also worked for more than five years for several media outlets.

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