Swan Bond Opportunity USD - April 2015
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Sicav Structure – Terms & Conditions Domicile: Luxembourg Inception Date: 3 November 2011 Minimum Investment: 1 share Liquidity / Reporting: Daily Fees: 1.00% Management Fee 15% Performance Fee (high water mark) Promoter / Distributor: Corner Banca SA Investment Manager: Swan Asset Management SA Custodian Bank: State Street Bank Lux Administrator Agent: State Street Bank Lux Auditor: Ernst & Young Bloomberg: classe A: CBSBAUH LX, classe B: CBSBBUH LX ISIN: classe A: LU0698400198, classe B: LU0698400271 Contacts at Swan Asset Management SA: E-mail: [email protected] - Tel: +41 91 986 31 90 Swan Bond Opportunity - USD Monthly Report – April 2015 Strategy The sub-fund aims to generate significant excess return vs 3m Libor in combination with extremely low volatility. The strategy combines the “buy and hold” investment in a highly diversified and granular portfolio of liquid short-term fixed income securities with the opportunistic allocation of the promised average spread over risk free rate to a number of interest rate and FX active strategies. Performance and Risk Measures YTD : 0.95% Fund Assets (mln) : 155.2 € Since inception : 7.66% 1 Year Std Dev : 0.91% Last 12 Months : 0.65% 1 Year Downside Risk : 0.69% NAVps : USD 107.66 % of positive months : 74% The foregoing should not to be deemed an offer or a solicitation of an offer to buy shares of Swan Bond Opportunity. Past performance is not necessarily indicative of future performance. Swan Bond Opportunity USD – Since Inception: +7.66% Sicav Exposure as of the end of the month Swan Bond Opportunity USD monthly performance is +0.44%. Performance since inception is + 7.66%. Global market picture During the month of April, three were the major themes that occurred: core government yields, after reaching new lows, in Europe in particular, bounced back sharply in an illiquid market, after better macro data in Europe and higher energy commodities; all major currencies finally appreciated versus USD, due to both disappointing macro data in US and exaggerated valuations; EM Equities and Bonds outperformed, leveraging on cheap valuations on the back of weak macro data in US. Itraxx SOVX WE (a proxy for European Sovereign risk) closed the month at 24 (CMAN source), higher compared to the end of March, with a general negative environment in the EU peripheral countries: Portugal (+19 bps), Italy (+12 bps), Spain (+4 bps) and Ireland (+2 bps); Greece was the outlier, and experienced a significant negative movement (+413 bps), as the negotiations between its government, that continued to assume an unproductive approach to talks, and European authorities still did not bring to a solution. Global Equity markets registered a divergent performance in the developed countries area (SPX: +0.85%, ESTOXX: -2.21%, NIKKEI: +1.63%), where in Europe some profit taking was in place after the sharp increase in interest rates and Euro appreciation, while market behavior in the EM area was more positive and homogeneous (CSI 300: +17.25%, BOVESPA: +9.93%, JSE T40: +4.73%, SENSEX: -3.38%, MICEX: +3.85%), with China continuing to rise and India disappointing. In Europe, the performance of national equity indexes was homogeneously negative, the only exception being UK, positive after the disappointing trend experienced in the last months; at the sector level, the performance was negative almost everywhere with Insurance, Chemicals, Retail, Real Estate and Travel & Leisure as worst performers, while Oil & Gas, Construction & Materials and Utilities were positive during the month. Commodities were strongly positive (S&P GSCI +12.34%), due to a sharp rebound in Energy (+19.40%); industrial metals were strongly positive also (+8.03%) while Precious Metals were down again (-0.36%), with higher US real interest rates; Cattle (+0.82%) and Agriculture (-1%) were divergent, again. German government bonds yields, supported by European QE, continued the downward movement during the first 20 days of the month, and rose sharply in the last part of the month, with both the 2yr yield higher to -0.22% (+3 bps), and the 10yr yield higher to 0.366% (+18.6 bps), and the 2-10y experiencing a bear-steepening to 0.587 (+15.5 bps) as a consequence. In the US, the 10y yield (at 2.0317%, +10.86 bps) was higher, more than the 2y yield at +0.5551% (+1.19 bps), with the 2-10y experiencing a bear-steepening to 1.465% (+9.67 bps). Thanks to a solid technical picture, lower implied equity volatility (VIX from 15.29 to 14.55) and positive sentiment driven by the European QE, European credit markets were positive during the month, with modest spread tightening, despite higher interest rates: EU HY credit performance was positive with tighter credit spreads (BAML H9PC +0.686%, STW from 417 to 400 bps), in contrast to the Itraxx Crossover series 22 movement (+10 bps, from 262 to 272 bps). The European IG market (ML ER00 -0.491% STW to 93) delivered a negative return with spreads not tightening enough to offset the interest rates impact, while the Itraxx Main widened (+5 bp to 61). EM markets delivered strongly positive results in HY Corporates (BAML EMHB +4.463%, STW -101 to 680), and lower albeit still very positive results in Sovereigns (JPM EMBIGD +1.63%, sovereign spread -29 bps to 340). In the FX market, currency movements reflected USD weakness, due probably to the perceived delay in Fed rate hike after disappointing 1Q15 US macro data. The Euro depreciated particularly versus NOK, after Oil rebounded, while appreciating versus USD, JPY, NZD and GBP. Among EM currencies, the RUB experienced again a fantastic performance (+11%), while COP and BRL experienced a very positive performance. Yield type strategy The bucket generated a positive contribution to the monthly performance, thanks to 93% of the positions (69 out of 74) contributing positively. Positive contributions were homogeneously distributed, the only exceptions being ODFNO 12/15 and ELPEGA 05/16, while there were not significant negative contributions. The average life of the yield-type portfolio is very short (8 months), combined with an attractive yield of 3.63% and z-spread of 367 basis points. Short term securities denominated in core currencies represent around 72% of the fund’s NAV, satellite currencies about 26%. Despite a robust tightening of credit spreads, valuations at the short end of global credit curves are still cheap at the moment; we think that those valuations, coupled with decreasing short-end default probabilities, are still creating a good opportunity to increase exposure to the Fund’s core strategy. Active Strategies The bucket generated a slightly negative performance in April due to the short position on 10yr JGB. . Conservative Risk Profile: Returns Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2015 0.21% 0.23% 0.07% 0.44% 0.95% 2014 0.17% 0.30% 0.16% 0.19% 0.39% 0.11% -0.14% 0.17% -0.17% -0.18% -0.14% -0.34% 0.53% 2013 0.35% 0.43% 0.17% 0.41% 0.31% -0.15% 0.33% 0.06% 0.32% 0.23% 0.22% 0.15% 2.86% 2012 0.98% 0.97% 0.42% 0.35% -0.01% -0.41% 0.49% 0.03% -0.33% 0.40% -0.19% 0.14% 2.86% 2011 -0.41% 0.68% 0.27% 99 100 101 102 103 104 105 106 107 108 Swan Bond Opportunity USD 3M Libor USD Net Exposure (avg) % Weight Int Dur Yie ld Spd Dur Z-sprd Total 98.23% 0.40 3.63% 0.68 367 All Corp (avg) 94.95% 0.61 3.74% 0.70 378 Govt (avg) 3.28% 0.61 2.69% 0.61 259 AAA AA A BBB TOT IG % Cash Port. 0.00% 0.00% 0.00% 50.98% 50.98% Ctb Sdur 0.00 0.00 0.00 0.35 0.35 BB B CCC <CCC/NR TOT HY % Cash Port. 11.32% 11.80% 0.58% 23.55% 47.26% Ctb Sdur 0.08 0.10 0.00 0.16 0.34 Currency Exposure: Cash ptf Active FX US D 53.47% -0.09% Core Currencies: 71.90% EUR 15.16% EUR, USD, GBP GBP 3.27% 0.00% NOK 14.48% 0.00% Satellite Currencies: 26.33% MXN 3.83% 0.00% other hard currencies CHF 2.99% 0.00% SGD 2.64% 0.00% HKD 1.49% 0.00% JPY 0.48% 0.00% CNH 0.27% 0.27% S EK 0.14% 0.00% TOT 98.23%
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Transcript of Swan Bond Opportunity USD - April 2015
Sicav Structure – Terms & ConditionsDomicile:Luxembourg
Inception Date:3 November 2011
Minimum Investment:1 share
Liquidity / Reporting:Daily
Fees: 1.00% Management Fee
15% Performance Fee (high water mark)
Promoter / Distributor: Corner Banca SA
Investment Manager:Swan Asset Management SA
Custodian Bank:State Street Bank Lux
Administrator Agent:State Street Bank Lux
Auditor: Ernst & Young
Bloomberg: classe A: CBSBAUH LX, classe B: CBSBBUH LX
ISIN: classe A: LU0698400198, classe B: LU0698400271
Contacts at Swan Asset Management SA:
E-mail: [email protected] - Tel: +41 91 986 31 90
Swan Bond Opportunity - USD
Monthly Report – April 2015Strategy
The sub-fund aims to generate significant excess return vs 3m Liborin combination with extremely low volatility. The strategycombinesthe “buy and hold” investment in a highly diversified and granularportfolio of liquid short-term fixed income securities with theopportunistic allocation of the promised average spread over risk freerate to a number of interest rate and FX active strategies.
Performance and Risk Measures
YTD : 0.95% Fund Assets (mln) : 155.2 €
Since inception : 7.66% 1 Year Std Dev : 0.91%
Last 12 Months : 0.65% 1 Year Downside Risk : 0.69%
NAVps : USD 107.66 % of positive months : 74%
The foregoing should not to be deemed an offer or a solicitation of an offer to buy shares of Swan Bond Opportunity. Past performance is not necessarily indicative of future performance.
Swan Bond Opportunity USD – Since Inception: +7.66%
Sicav Exposure as of the end of the month
Swan Bond Opportunity USD monthly performance is +0.44%. Performance since inception is +7.66%.
Global market pictureDuring the month of April, three were the major themes that occurred: core government yields, afterreaching new lows, in Europe in particular, bounced back sharply in an illiquid market, after bettermacro data in Europe and higher energy commodities; all major currencies finally appreciatedversus USD, due to both disappointing macro data in US and exaggerated valuations; EM Equitiesand Bonds outperformed, leveraging on cheap valuations on the back of weak macro data in US.Itraxx SOVX WE (a proxy for European Sovereign risk) closed the month at 24 (CMAN source),higher compared to the end of March, with a general negative environment in the EU peripheralcountries: Portugal (+19 bps), Italy (+12 bps), Spain (+4 bps) and Ireland (+2 bps); Greece was theoutlier, and experienced a significant negative movement (+413 bps), as the negotiations between itsgovernment, that continued to assume an unproductive approach to talks, and European authoritiesstill did not bring to a solution. Global Equity markets registered a divergent performance in thedeveloped countries area (SPX: +0.85%, ESTOXX: -2.21%, NIKKEI: +1.63%), where in Europesome profit taking was in place after the sharp increase in interest rates and Euro appreciation, whilemarket behavior in the EM area was more positive and homogeneous (CSI 300: +17.25%,BOVESPA: +9.93%, JSE T40: +4.73%, SENSEX: -3.38%, MICEX: +3.85%), with Chinacontinuing to rise and India disappointing. In Europe, the performance of national equity indexeswas homogeneously negative, the only exception being UK, positive after the disappointing trendexperienced in the last months; at the sector level, the performance was negative almost everywherewith Insurance, Chemicals, Retail, Real Estate and Travel &Leisure as worst performers, while Oil& Gas, Construction & Materials and Utilities were positiveduring the month. Commodities werestrongly positive (S&P GSCI +12.34%), due to a sharp reboundin Energy (+19.40%); industrialmetals were strongly positive also (+8.03%) while PreciousMetals were down again (-0.36%), withhigher US real interest rates; Cattle (+0.82%) and Agriculture (-1%) were divergent, again. Germangovernment bonds yields, supported by European QE, continued the downward movement during thefirst 20 days of the month, and rose sharply in the last part ofthe month, with both the 2yr yieldhigher to -0.22% (+3 bps), and the 10yr yield higher to 0.366%(+18.6 bps), and the 2-10yexperiencing a bear-steepening to 0.587 (+15.5 bps) as a consequence. In the US, the 10y yield (at2.0317%, +10.86 bps) was higher, more than the 2y yield at +0.5551% (+1.19 bps), with the 2-10yexperiencing a bear-steepening to 1.465% (+9.67 bps). Thanks to a solid technical picture, lowerimplied equity volatility (VIX from 15.29 to 14.55) and positive sentiment driven by the EuropeanQE, European credit markets were positive during the month,with modest spread tightening, despitehigher interest rates: EU HY credit performance was positive with tighter credit spreads (BAMLH9PC +0.686%, STW from 417 to 400 bps), in contrast to the Itraxx Crossover series 22 movement(+10 bps, from 262 to 272 bps). The European IG market (ML ER00-0.491% STW to 93) delivereda negative return with spreads not tightening enough to offset the interest rates impact, while theItraxx Main widened (+5 bp to 61). EM markets delivered strongly positive results in HY Corporates(BAML EMHB +4.463%, STW -101 to 680), and lower albeit still very positive results inSovereigns (JPM EMBIGD +1.63%, sovereign spread -29 bps to 340). In the FX market, currencymovements reflected USD weakness, due probably to the perceived delay in Fed rate hike afterdisappointing 1Q15 US macro data. The Euro depreciated particularly versus NOK, after Oilrebounded, while appreciating versus USD, JPY, NZD and GBP.Among EM currencies, the RUBexperienced again a fantastic performance (+11%), while COP and BRL experienced a very positiveperformance.Yield type strategyThe bucket generated a positive contribution to the monthlyperformance, thanks to 93% of thepositions (69 out of 74) contributing positively. Positivecontributions were homogeneouslydistributed, the only exceptions being ODFNO 12/15 and ELPEGA 05/16, while there were notsignificant negative contributions. The average life of the yield-type portfolio is very short (8months), combined with an attractive yield of 3.63% and z-spread of 367 basis points. Short termsecurities denominated in core currencies represent around 72% of the fund’s NAV, satellitecurrencies about 26%. Despite a robust tightening of creditspreads, valuations at the short end ofglobal credit curves are still cheap at the moment; we think that those valuations, coupled withdecreasing short-end default probabilities, are still creating a good opportunity to increase exposureto the Fund’s core strategy.
Active StrategiesThe bucket generated a slightly negative performance in April due to the short position on 10yr JGB..
ConservativeRisk Profile:
Returns Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2015 0.21% 0.23% 0.07% 0.44% 0.95%2014 0.17% 0.30% 0.16% 0.19% 0.39% 0.11% -0.14% 0.17% -0.17% -0.18% -0.14% -0.34% 0.53%2013 0.35% 0.43% 0.17% 0.41% 0.31% -0.15% 0.33% 0.06% 0.32% 0.23%0.22% 0.15% 2.86%2012 0.98% 0.97% 0.42% 0.35% -0.01% -0.41% 0.49% 0.03% -0.33% 0.40% -0.19% 0.14% 2.86%2011 -0.41% 0.68% 0.27%
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Swan Bond Opportunity USD 3M Libor USD Net
Exposure (avg) % Weight Int Dur Yield Spd Dur Z-sprdTotal 98.23% 0.40 3.63% 0.68 367
All Corp (avg) 94.95% 0.61 3.74% 0.70 378
Govt (avg) 3.28% 0.61 2.69% 0.61 259
AAA AA A BBB TOT IG
% Cash Port. 0.00% 0.00% 0.00% 50.98% 50.98%
Ctb Sdur 0.00 0.00 0.00 0.35 0.35
BB B CCC <CCC/NR TOT HY
% Cash Port. 11.32% 11.80% 0.58% 23.55% 47.26%
Ctb Sdur 0.08 0.10 0.00 0.16 0.34
Currency Exposure: Cash ptf Active FX
USD 53.47% -0.09% Core Currencies: 71.90%
EUR 15.16% EUR , US D , GB P
GBP 3.27% 0.00%
NOK 14.48% 0.00% Satellite Currencies: 26.33%
MXN 3.83% 0.00% o the r ha rd c urre nc ie s
CHF 2.99% 0.00%
SGD 2.64% 0.00%
HKD 1.49% 0.00%
JPY 0.48% 0.00%
CNH 0.27% 0.27%
SEK 0.14% 0.00%
TOT 98.23%
