Absolute Return

The Global Alpha II strategy targets alpha generation, capitalizing on the relative valuation opportunities within and across the stock, bond and currency markets of developed countries. We shift the portfolio toward the most attractive opportunities indicated by our models. This strategy can be customized to fit client requirements or managed on an overlay basis.

Our global macro, multi-strategy portfolio invests in a number of distinct Mellon Capital strategies, including cross-country stock and bond relative value, active commodity, equity market neutral, credit relative value, and global fixed income relative value. Correlation is expected to be low among these sources of alpha.

The Active Currency strategy uses a relative value investment process that seeks alpha by exploiting inefficient pricing between the major developed currency markets. Our currency strategy seeks to satisfy clients that may prefer distinct exposure to currency, separate from global stock and bond allocations. The strategy is flexible; it can be tailored to client-specific return levels or benchmarks and can be executed on an overlay or fully funded basis.

Our Commodity Alpha strategy is a model-driven approach that combines fundamental analysis and momentum signals to determine relative attractiveness across commodities. It is designed to provide an uncorrelated alpha source to a client’s portfolio.

The Equity Market Neutral strategy takes long and short positions in U.S. stocks while seeking to maintain a beta of zero and a neutral position in terms of style, sector, industry, and dollar value. Investment decisions are based on Mellon Capital’s proprietary fundamentals-based stock ranking process.

Our Credit Relative Value strategy is an absolute return, long/short credit strategy that seeks to add value by taking long and short positions in single-name, U.S. credit default swaps while maintaining a market neutral orientation. The strategy seeks to maintain characteristics such as low correlation to major indexes, high liquidity and a low capital requirement, which adds both scalability and flexibility to the process.

Our Global Fixed Income Relative Value strategy is an absolute return, fixed income multi-strategy that takes long and short positions in a variety of fixed income and cash sectors globally. These sectors include global sovereign credit, U.S. corporates, mortgage-backed securities, TIPS, global inflation-linked securities, and currency.

The Convertible Arbitrage strategy utilizes our proprietary model to take advantage of relative mispricings of convertible bonds. The strategy takes long and short positions between a convertible bond and the underlying stock.