Rogge Global Inflation-Linked Securities

Rogge

Investment Style: Diversified

Rogge Global Partners plc (Rogge) was founded by Olaf Rogge in 1984 and focuses predominantly on management of global fixed income portfolios. Rogge was acquired by UAM in 1996, which itself was purchased by Old Mutual in 2000. Twelve senior Rogge professionals bought back part of Rogge in 2001, and around 30.0 percent of the company is now owned by around 20 employees.

Rogge believes that financially healthy entities produce the highest returns. Rogge’s philosophy is therefore to evaluate the health and relative value of all developed and emerging market countries. Rogge believes that seeking alpha from multiple sources and using numerous risk tools at the total portfolio level enables generation of outperformance in a diversified manner.

For global inflation-linked securities portfolios this involves combining relative value positions in inflation-linked bond markets with relative value trades on nominal bonds, breakeven inflation and currencies, as well as – subject to mandate restrictions – opportunistic positions in nominal emerging market and credit securities.

Rogge’s process uses a series of quantitative checklists to evaluate various financial health and relative value measures systematically across an investment universe. Quantitative signals are combined with a qualitative overlay based on the experience and judgement of the senior investment professionals. The entire process is updated formally once a month, and intra-month as required. The approach is largely long-term-focused, although the firm allocates around 20.0 percent of risk to tactical strategies.

For developed country selection decisions, Rogge firstly assesses the financial health and relative value of countries. The product of this analysis is a relative value ranking and expected returns for each country. Rogge tends to be long duration unless yield curves appear significantly mispriced. Global duration tends to be an outcome of the individual country bets. For currencies, on top of the analysis conducted for countries and bonds, Rogge also considers momentum and mean reversion techniques (based on technical analysis).

Given the inputs from these analyses, Rogge uses an optimisation model to generate optimal country, currency, credit, and duration weightings given a target tracking error, final positions again ultimately determined judgementally.

Rogge has 31 fixed income investment professionals and a total personnel of 79, headquartered in London. The four key personnel for setting overall investment strategy are Olaf Rogge, Richard Bell, Adrian James, and John Graham. Key personnel for global inflation-linked portfolios are Adrian James, Ranjiv Mann (Global Economist), and Richard Bell.