A top-down macro analytical approach

Stephen Li Jen discusses the Eurizon SLJ Capital Emerging Markets Debt strategy

What are the key factors distinguishing Eurizon SLJ Capital strategy?

The main factors distinguishing our company are: strong top-down macro analytical capability, our fund managers having a combined 30 years of experience in trading in emerging bonds and a strict risk management policy.

Why did you decide to launch a new portfolio focused on emerging markets debt?

Emerging countries now account for 2/3 of global growth and this will increase further over time. The emerging local debt markets are becoming more mature and are a good asset class for investors to seek higher risk-adjusted returns. There will invariably be cycles, as in all assets.  But over time, emerging markets should generate outsized returns because of their outsized economic growth. This strategy is especially interesting for euro-denominated investors who face low deposit interest rates.

What is the main objective of Eurizon Fund – SLJ Local Emerging Markets Debt?

The main objective of the sub-fund is to provide growth on the invested capital in the medium term by achieving a return in excess of the return of a portfolio of debt instruments linked to local emerging markets debt and currencies, represented by the JP Morgan GBI-EM Global Diversified index.

Could you explain the pillars of the portfolio constructions?

The portfolio construction is focused on a risk allocation-based process, combining:

  • A traditional approach of a dynamic cross-country, curve and sector risk-factor allocation;
  • An alternative approach of forex-overlay and issuer-specific alpha generation with an emphasis on “special situations”.

Our process allows a robust and conviction-weighted portfolio, with daily liquidity, that improves significantly the likelihood of achieving capital appreciation over the medium term while preserving the capital during stressed times.

How do you manage the currency exposure? Do you use derivatives?

The currency exposure is managed separately, based on our top-down discretionary macro approach augmented through our bottom-up quantitative models.

We use primarily liquid forex forwards.

What is your investor target with Eurizon Fund – SLJ Local Emerging Markets Debt?

We believe the emerging market investments offer a compelling alternative to core credit fixed income markets for which valuations are becoming stretched and less supportive. The emerging market universe offers high income rates and a high capital appreciation potential, although accepting a higher volatility in the medium-term.

What is your outlook for emerging markets?

We are constructive on emerging local markets. The asset class as a whole has exhibited a good degree of resilience during recent market turbulence thanks to improved current account balances on aggregate and much lower external financing requirements. However, we do not believe in an indiscriminate rally and will continue to maintain our highly selective approach to managing different risk buckets.

Stephen Li Jen is CEO at Eurizon SLJ Capital



Eurizon SLJ Capital LTD is a London-based asset management company
established on 4 July 2016. The company provides investment and advisory
services with a particular focus on currency management as well as on
macroeconomic research.

Eurizon SLJ Capital is 65% owned by Eurizon Capital SGR – the asset
management company of the Intesa Sanpaolo Group – and the remaining 35%
stake is owned by Stephen Li Jen and Fatih Yilmaz, founding partners of SLJ
Macro Partners whose operations were incorporated into the new company.

Eurizon SLJ Capital capitalizes on the well-established expertise of Stephen Li
Jen and Fatih Yilmaz in macro research, in providing investment and advisory
services with a macroeconomic approach and in advising on active currency
management mandates (active currency overlay).


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This article is based solely on information and data by the Company acting as Investment Manager. It is exclusively addressed and intended for professional investors or industry service providers. Nothing contained in this document should be interpreted as an investment recommendation or investment advice.
A prospective investor for any product or service mentioned in on this article should independently investigate the investment manager and/or service provider and consult with independent, qualified sources before engaging in any activity with them. Investors should also be aware that historical performance is not indicative of future performance.
Before subscribing, please read the KIID (Key Investor Information Document) and the Prospectus available on the website www.eurizoncapital.lu and at distributors.
Eurizon Fund – SLJ Local Emerging Markets Debt is a sub-fund of the Luxembourg-based Eurizon Fund,established by Eurizon Capital S.A. and managed by Eurizon SLJ Capital LTD. The sub-fund has a risk/return profile of 5 on a scale from 1 to 7. No guarantee is provided to investors with regard to the sub-fund achieving its objective.
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