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H2O Barry Short

H2O Barry Short aims to tap value from future rises in interest rates in the G4 countries while benefiting from a carry in excess of cash in the meanwhile. This positioning relies on two beliefs :

1. It first epitomizes the bearish view on G4 government bonds;

2. Secondly, it mirrors the on-going global deleveraging process imposed by banking regulation. The disappearance of the liquidity buffer once provided by Primary Dealers should lead to high convexity when G4 govies markets turn bearish.

The main risk facing H2O Barry Short is that the main central banks cut rates again and resume QE policies, thereby pushing G4 govies rates below the level they reached in the summer of 2016.

In summary, H2O Barry Short offers a leveraged exposure when bond markets turn bearish while generating an enhanced return over cash through options when they are steady.

  • H2O Barry Short is a Sub-fund of H2O Global Strategies, an Irish Collective Asset-Management Vehicle (ICAV), governed by the Irish Central Bank.
  • The asset management company is H2O AM LLP.
  • The custodian and administrator are CACEIS Ireland Limited & Caceis Bank Luxembourg, respectively.
  • The fund qualifies as a UCITS 4.
  • H2O Barry Short will be managed within the limit of a VaR(99%, 20 days) of maximum 15% per year of the Net Asset Value of the Fund.
  • In other words, the Fund’s VaR budget will be calculated daily using a one-tailed 99% confidence level, a 20-day holding period, and an historical period of no be less than one year unless a shorter period is justified.

The fund is exposed to two asset classes:government bonds and currencies:

  • Average duration bracket: [-30;+5]
  • Average gross commitment: [500%; 1500%]
  • Max unhedged NAV exposure: 5%
  • Max borrowing exposure (temporary basis): 10%
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H2O Barry Short EONIA Capitalisé H-I (C) GBP - IE00BYVMJ610 ---
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