GS Cross Asset Carry
GS Cross Asset Carry
GS Cross Asset Carry
Goldm an Sachs
Cross Asset Carry Strategy
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This material is not independent advice and is not a product of
Global Investment Research.
This material is a solicitation of derivatives
business generally, only for the purposes of,
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to, CFTC Regulations 1.71 and 23.605.
Q4 2019
Goldman Sachs
Cross Asset Carry Strategy
Introduction
Backtested Performance
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Equities and bonds are often considered reliable sources of returns, but investors can
benefit by diversifying to other sources of return, such as a market-neutral carry strategy.
Research has identified carry as the tendency for high-yielding assets of providing higher
returns than lower-yielding assets in normal market conditions.
An example of a carry strategy would be to borrow money in a low interest rate currency
(e.g. EUR) and invest in a high interest rate currency (e.g. MXN). This strategy could
generate positive returns unless there is an unexpected price change.
The Goldman Sachs Cross Asset Carry strategy is a systematic and rule-based
strategy aiming to harvest the carry risk premium to provide positive performance in
different market scenarios.
The strategy is constructed to deliver efficient, diversified exposure, reflecting the
interdependencies between the assets, to target enhanced returns.
The strategy will take a long or short position on 73 different underlying assets.
The strategy is not live and is subject to GS internal approval.
Source: Goldman Sachs Securities Division, October 31, 2019. For illustrative purposes only.
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Carry
Literature:
Decomposing the Yield Curve – Cochrane, Piazzesi 2008
Carry – Koijen, Moskowitz, Pedersen, Vrugt 2012
Literature
Source: Goldman Sachs Securities Division, October 31, 2019. For illustrative purposes only.
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Risk Management
Translate carry exposure into weights per underlier
Cooperation: leveraging internal expertise on risk management and
portfolio construction
Risk Leverage
Target portfolio volatility of 10%, taking into Maximum and minimum weight for each
account both volatility and correlations underlier, and gross weight by asset classes
10y GBP EQ DE 0.6 0.26 0.71 -0.09 -0.13 -0.13 -0.25 10y GBP
EQ Spain 0.49 0.26 0.71 -0.2 -0.21 -0.11 -0.27
10y EUR 10y EUR
10y EUR -0.08 0.06 -0.09 -0.2 0.79 0.67 0.69
EQ Spain 10y GBP -0.08 -0.02 -0.13 -0.21 0.79 0.67 0.69 EQ Spain
10y CAD -0.15 0.04 -0.13 -0.11 0.67 0.67 0.71
EQ DE EQ DE
10y US -0.3 0.03 -0.25 -0.27 0.69 0.69 0.71
EQ Thai EQ Thai
Execution
Execute exposure in the market
Cooperation: working closely with Trading desk
In order to minimize path dependency, market impact, and pin risk, the Goldman Sachs Cross
Asset Carry Strategy is executed using the below features:
Daily Rebalancing
Smooth execution over 22 days with a view of limiting turnover and transaction costs
Centralized Trading capabilities in order to protect information barriers and prevent front
running
Source: Goldman Sachs Securities Division, October 31, 2019. For illustrative purposes only.
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The exposure to the Cross Asset Carry Strategy is adjusted on a daily basis following a Volatility
Target mechanism, the objective being to maintain the volatility of the basket around the Volatility
Target level of 10%.
The Volatility Target mechanism decreases the exposure to the Cross Asset Carry Strategy
when the realized volatility is above a 10%, and increases the exposure to the Cross Asset Carry
Strategy, subject to a cap of 125%, when the realized volatility is below 10%.
Source: Goldman Sachs Securities Division, October 31, 2019. For illustrative purposes only.
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Backtested Performance
2000
1600
1400
1200
1000
800
600
400
200
0
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
GS Securities Division as of October 31, 2019. Data ranging from 6Jan00 to 28Oct19. Performance data is backtested for GS Cross Asset Carry
Strategy. Performance figures are net of transaction costs. Backtesting analysis/simulated results are for illustrative purposes only. GS provides
no assurance or guarantee that the strategy will operate or would have operated in the past in a manner consistent with the above backtesting
analysis. Backtested performance Mai use slightly different data sources, approximation and limited differences in methodology to those 8
prescribed in the strategy disclosure document. Backtested and/or past performance figures are not a reliable indicator of future result
Confidential
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Return Vol Sharpe
2000 -0.3% -1.9% -1.2% 1.2% -1.8% 0.7% 1.0% -2.3% -1.4% 0.0% 0.4% 0.7% -4.7% 7.1% Neg.
2001 2.9% 1.8% 0.5% -2.7% 1.5% 1.2% 2.5% 0.0% -1.4% 6.6% -3.0% -0.1% 9.9% 9.3% 1.06
2002 0.1% 3.6% -2.1% 3.1% 0.7% -0.9% 2.6% 5.6% 7.0% 1.1% 2.6% 5.7% 32.6% 9.1% 3.60
2003 -0.8% 3.6% 1.7% 8.7% 2.7% -1.1% -3.5% -1.1% 3.1% -1.7% 0.3% 1.0% 13.3% 9.4% 1.42
2004 4.5% 6.3% -1.9% -3.3% -1.8% 0.3% 4.9% 3.0% 4.7% 0.3% 1.7% 4.0% 24.7% 9.4% 2.62
2005 5.9% -1.2% 1.2% 4.7% 3.6% 5.3% -3.3% 2.6% 4.3% -0.7% 5.7% 0.0% 31.4% 8.4% 3.74
2006 0.8% 3.0% -5.1% 1.1% -0.9% -0.3% 3.6% 3.5% 0.6% 1.5% -3.6% 5.4% 9.4% 9.9% 0.95
2007 0.4% -0.4% 2.1% 1.2% -0.5% 3.3% -0.3% -4.6% -1.5% 0.5% -1.4% 3.3% 1.9% 11.0% 0.17
2008 0.7% 0.5% 1.6% 1.4% 2.8% 4.1% 5.1% -0.1% -4.2% -4.9% 4.4% 3.2% 15.0% 11.1% 1.35
2009 0.0% 1.8% 1.5% 4.1% -0.4% 2.8% 3.7% 2.4% 3.0% 1.2% 4.5% -0.3% 27.2% 7.7% 3.53
2010 3.4% 0.8% 2.8% 3.4% -0.2% 2.2% 0.8% 6.1% 3.1% 1.0% -2.8% 1.2% 23.9% 9.8% 2.43
2011 -1.3% 3.5% -1.7% 2.6% 3.4% 1.9% 2.3% -3.5% -1.8% 3.4% -1.8% 4.2% 11.3% 9.1% 1.25
2012 6.9% 3.4% 0.6% -1.4% -3.2% 2.4% 4.2% 3.1% 3.7% 1.8% 4.1% 1.1% 29.7% 7.4% 4.01
2013 4.3% 5.7% 2.7% 7.1% -6.2% -3.2% 0.4% -2.1% 1.8% 3.5% -0.3% -2.1% 11.4% 9.1% 1.26
2014 1.6% 1.6% 2.8% 1.1% 6.4% 2.4% 0.6% 5.9% -1.4% 4.2% 4.0% 0.9% 34.4% 9.0% 3.84
2015 3.9% 1.2% 0.5% -2.1% -0.8% -4.3% 3.0% -3.2% -0.3% 3.6% 2.5% 0.7% 4.2% 8.3% 0.51
2016 5.2% 3.9% 2.7% -1.1% -0.3% 8.4% 4.4% -1.6% 0.7% 0.1% -3.9% 2.9% 22.6% 9.4% 2.41
2017 -2.7% 5.3% 0.6% 1.9% 1.7% -3.2% -0.1% 4.0% -0.4% 4.2% 0.0% -0.9% 10.7% 8.3% 1.30
2018 -4.3% -1.8% 3.5% 1.1% -4.9% 1.4% 2.9% -5.2% 2.7% -0.4% 2.9% -3.0% -5.5% 10.3% Neg.
2019 7.7% 2.6% 5.5% 3.7% -3.1% 6.2% 4.5% -0.7% 1.4% 0.2% 31.3% 8.2% 4.77
GS Securities Division as of October 31, 2019. Data ranging from 6Jan00 to 28Oct19. Performance data is backtested for GS Cross Asset Carry
Strategy. Performance figures are net of transaction costs. Backtesting analysis/simulated results are for illustrative purposes only. GS provides
no assurance or guarantee that the strategy will operate or would have operated in the past in a manner consistent with the above backtesting
analysis. Backtested performance Mai use slightly different data sources, approximation and limited differences in methodology to those 9
prescribed in the strategy disclosure document. Backtested and/or past performance figures are not a reliable indicator of future result
Confidential
50% 50%
25% 25%
0% 0%
(25)% (25)%
(50)% (50)%
(75)% (75)%
12m Rolling Correlation Average = 7.4% 12m Rolling Correlation Average = 32.5%
(100)% +/- 1 Standard Deviation Current = 45.8% (100)% +/- 1 Standard Deviation Current = -26.5%
00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19
100% 100%
12m correlation vs. Hedge Funds 12m correlation vs. Commodities
75% 75%
50% 50%
25% 25%
0% 0%
(25)% (25)%
(50)% (50)%
(75)% (75)%
12m Rolling Correlation Average = 16.3% 12m Rolling Correlation Average = 0.0%
(100)% +/- 1 Standard Deviation Current = 53.7% (100)% +/- 1 Standard Deviation Current = 39.4%
00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19
100%
Equity
80%
Fixed Income
60%
Credit
40%
Commodity
20%
FX
0%
2011
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2012
2013
2014
2015
2016
2017
2018
2019
Goldman Sachs Securities Division, as of October 31, 2019. Data ranging from 6Jan00 to 28Oct19. Correlation is calculated on 5b returns.
Backtesting analysis/simulated results are for illustrative purposes only. GS provides no assurance or guarantee that the strategy will operate or
would have operated in the past in a manner consistent with the above backtesting analysis. Backtested and/or past performance figures are
not a reliable indicator of future results. US Equity: S&P 500 TR (SPXT) is a live index published by S&P Dow Jones Indices. US Fixed Income:
Bloomberg Barclays US Treasury 7-10y (LT09TRUU) is a live index published by Bloomberg. Commodities: Bloomberg Commodity Index
(BCOM) is a live index published by Bloomberg. Hedge Funds: HFRX Global Hedge Fund index (HFRXGL) is a live index published by Hedge 10
Fund Research, Inc. The indices are made Excess Return by subtracting Fed Funds to make it comparable.
Confidential
Appendix
Appendix
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Appendix
Volatility Target Mechanism
The Volatility Target Mechanism decreases the exposure to the Cross Asset Carry Strategy when the realized
volatility is above a 10%, and increases the exposure to the Cross Asset Carry Strategy, subject to a cap of
125%, when the realized volatility is below 10%*.
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Volatility Target
is similar to Long
Upside Volatility Target is Reduced
Only
Participation Defensive upside
(with potential
participation
leverage)
Volatility Target No
is similar to Long additional
Volatility Target is
Only protection Downside
(with potential Potential leverage
Defensive
protection
leverage) on downside
*The exposure is computed as the ratio of the predefined target volatility of 10% versus the realized volatility, subject to a cap of 125%.
Source: Goldman Sachs Securities Division as of October 31, 2019. For illustration purposes only. Please refer to official strategy
documentation for exact calculations of the Volatility Target Strategy. Goldman Sachs does not provide tax, accounting, regulatory or legal
advice to our clients, and all clients are advised to consult with their own advisers regarding any potential investment/ transaction. This material 12
is for discussion purposes only, and does not purport to contain a comprehensive analysis of the risk/rewards of any idea or strategy
Confidential
Appendix
Disclaimer
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Disclaimer
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Systematic Trading Strategies
SECURITIES DIVISION
Confidential