dpam l bonds eur corporate high yield - f

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dpam l bonds eur corporate high yield - f
DPAM L Bonds EUR Corporate High Yield - F
Institutional Factsheet | 30 June 2017
Morningstar
(*)
MANAGER COMMENT
Market comment
Performance
On June 27, Mr. Draghi’s speech at the ECB Forum in Sintra, Portugal,
rattled the markets, especially the core rate markets. The 10-year German
yield shot up from 24 basis points (bp) to 47 bp in just two days.
The fund (F share) returned 37 bp over the month, bringing the year-todate (YTD) return to 4.27%. As a result, its outperformance vs. the
Bloomberg Barclays Euro High Yield, 3%-capped, ex-financials, Index totals
18 bp for the month and 37 bp YTD. A rebound in Anglo American as well as
the good performance of the new Cerba issue were supportive, while
Schaeffler limited our advance.
The move was not lost on credit markets, although the overall effect on
high yield was relatively modest. Indeed, the Bloomberg Barclays Euro High
Yield, 3%-capped, ex-financials, Index lost a good chunk of the gains
accumulated over the month, but still ended 19 bp higher. In other words,
the heavy sell-off one might have expected did not materialize. Spreads had
tightened early in the month, but were more or less flat at the end of June
due to the volatility of government bond rates.
The political news has been increasingly supportive over the last two
months. In France, Macron convincingly won a parliamentary majority on
June 18, which fuelled optimism that the new president will be able to
implement his reform agenda. Given his track-record, this might bode well
for France and French assets going forward. The fund is well positioned to
take advantage of this trend.
The macro-economic data in Europe also continue to point to a healthy
economy. Ifo’s German business sentiment indicator for June came in at an
all-time high of 115.1 (vs. 114.6 in May). Increasingly, the outlook for
growth in Europe is strengthening. This is also helped by positive
momentum in emerging markets in general and improving global trade. The
Eurozone composite Purchasing Managers’ Index was slightly lower in June,
but this came against impressive gains in preceding months.
Over the month, some idiosyncratic news negatively affected the high yield
market. Schaeffler, the German auto-parts maker, issued a profit warning,
saying that margins and free cash flow will be lower than it had initially
forecast. The news dragged down a good part of the automotive parts
industry.
In contrast, Moody’s downgrade of Metro did not impact the retail sector
as a whole. The pressure in the retail sector seems to be mainly contained
to GBP names such as Newlook, which we do not have in our portfolio since
we must exclusively invest in EUR-denominated paper.
On the positive side, upgrades outnumber downgrades in European high
yield. CNH Industrial for instance was upgraded to investment grade by
Standard and Poor’s over the month.
Last month’s strategy
Companies continue to take advantage of lower yields and spreads to
refinance. Furthermore, issuers are also tapping other funding sources such
as the loan market and are hence exiting our investable universe. We
continued to invest in the primary market wherever we saw value.
Outlook & strategy going forward
Abundant central bank liquidity has inflated prices across many asset
classes, including high yield. This should not be taken for granted though, as
shown by the sudden increase in German core rates at the end of June.
Having said that, the path to policy adjustment remains very gradual and
this continues to favor asset classes such as high yield that offer an
interesting carry. In addition, European high yield has a low duration.
Our default expectations remain low (2%) and we currently see few bonds
trading at distressed prices in the European high yield market. Some
idiosyncratic cases pop up now and then, but the contagion to the asset
class as a whole remains limited.
Given the macro-economic backdrop, we expect the asset class to remain
well bid for the foreseeable future. High yield still has a carry and in our
view, the main risks mostly appear exogenous to the category. A strongerthan-expected slowdown in China, geopolitical risks and the unwinding of
extraordinary central bank policies all might have a negative effect on the
high yield market.
From a supply/demand point of view, the inflows in the category have
somewhat stabilized or even reversed. New issuance is relatively limited as
well, and given that coupons need to be reinvested, we do not foresee any
risk of oversupply.
The primary market is in good shape, and new deals often perform well.
Proceeds of new issuance in European high yield continue to be
preponderantly used for refinancing existing debt. For the time being, we
see little aggressive (re)leveraging of balance sheets or excessively
generous behavior towards shareholders. Covenants however, especially in
the loan market, are becoming increasingly loose.
(*) Morningstar Rating Overall
DPAM is signatory of the United Nations Principles for Responsible Investment (UN PRI).
Please read the important information at the end of this document.
1
DPAM L Bonds EUR Corporate High Yield - F
Institutional Factsheet | 30 June 2017
INVESTMENT UNIVERSE
OVERVIEW
Asset Class
Bonds
Category
High-Yield
Strategy
Active Strategy
Fund Of
DPAM L
Legal Structure
SICAV
Domicile
Luxembourg
Reference Currency
EUR
Liquidity
Daily
Sub-fund launch
23.09.2013
First NAV date
07.11.2013
Countries notified for public sale
AT, CH, DE, ES, FI, FR, IT, LU, NL
ISIN
LU0966249640
Entry Fee
Maximum 1%
Exit Fee
0.00%
Management Fee
0.40%
TER (31.12.2016)
0.55%
Minimum investment
EUR 25'000
NAV
(Capitalisation)
134.95
Assets (all classes)
mn EUR 89.89
Number of positions
105
Fund
Index
0.37
4.27
10.23
7.31
-
0.19
3.90
9.86
5.34
-
Fund
Index
3.59
4.13
4.03
2.52
2.86
72
3.08
3.39
3.31
2.26
2.80
199
PERFORMANCES (%)
1 month
YTD
1 year
3 years annualised
5 years annualised
10 years annualised
The fund principally invests in fixed or floating rate, short, medium and/or long term bonds and/or
other debt securities (including, but not limited to, perpetual notes, subordinated bonds,
zerocoupon bonds and bonds whose interest may be capitalised or paid in kind by the issue of new
bonds ("PIK bonds"), denominated in euro issued by companies (outside the financial sector) from
any part of the world and which offer a high yield.
INDEX
Barclays Euro High Yield 3% Capped ex Fin
BREAKDOWNS (%)
Sectors
Industrials
Consumer Cyclicals
Communication
Consumer Non-Cyclicals
Utilities
Technology
Gov. & Gov Related
Energy
Other
Cash
Modified Durations
< 3%
3 - 5%
5 - 7%
7 - 10%
10 - 15%
> 15%
Cash
PORTFOLIO CHARACTERISTICS
Maturity (Years)
Duration (Years)
Modified Duration (%)
Yield to Worst (%)
YTW (ModDur Weighted) (%)
Number of Issuers
DPAM is signatory of the United Nations Principles for Responsible Investment (UN PRI).
Please read the important information at the end of this document.
Fund
36.8
25.1
22.3
11.2
2.7
0.7
0.5
0.4
0.0
0.3
Index
36.4
19.9
23.0
12.1
5.6
1.0
0.0
2.1
0.0
0.0
Credit Ratings (Scale S&P)
Fund
27.0
39.6
27.1
4.4
1.6
0.0
0.3
Index
48.5
28.0
19.5
2.8
0.7
0.5
0.0
Countries
BBB
BB
B
C-Category
Not Rated
Cash
France
United Kingdom
United States
Italy
Germany
Spain
Luxembourg
Switzerland
Netherlands
Belgium
Greece
Other
Cash
Fund
0.5
61.6
33.5
3.0
1.1
0.3
Index
0.2
66.7
27.7
5.2
0.2
0.0
Fund
27.6
10.2
9.6
8.7
8.2
6.6
6.3
2.8
2.6
1.8
1.0
14.4
0.3
Index
16.2
10.1
10.6
14.1
14.5
8.7
6.2
1.8
4.0
1.4
1.1
11.4
0.0
2
DPAM L Bonds EUR Corporate High Yield - F
Institutional Factsheet | 30 June 2017
Reference Currency EUR | Since Inception (07.11.2013)
Fund
DISTRIBUTION OF MONTHLY RETURNS
Index
CUMULATIVE PERFORMANCE
135%
8
130%
125%
6
120%
115%
4
110%
2
105%
100%
0
2013
-3.5 -2.8 -2.1 -1.4 -0.7 0 0.7 1.4 2.1 2.8 3.5 %
STATISTICS
Volatility
Sharpe Ratio
Downside Deviation
Sortino Ratio
Positive Months
Maximum Drawdown
2014
2015
2016
2017
12-MONTH ROLLING RETURNS
%
%
%
%
Fund
Index
4.46
1.94
1.89
4.57
68.18
-3.22
4.15
1.49
1.99
3.10
65.91
-4.20
15%
10%
5%
0%
Risk-Free Rate -0.11%
2013
FUND VERSUS INDEX
Correlation
R²
Alpha
Beta
Treynor Ratio
Tracking Error
Information Ratio
2014
2015
2016
2017
2014
2015
2016
2017
MONTHLY RETURNS
0.973
0.947
0.17
1.046
8.26
1.04
2.250
%
%
%
Index: Barclays Euro High Yield 3% Capped ex Fin
4%
2%
0%
-2%
2013
MONTHLY RETURNS IN %
2013
Fund
January
February
March
April
May
June
July
August
September
October
November
December
Year
0.59
0.75
1.34
2014
2015
2016
2017
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
0.44
1.61
0.58
0.80
0.57
0.78
-0.00
0.61
-0.61
0.05
0.93
-0.21
5.66
1.69
2.70
0.26
0.24
-0.12
-1.78
1.66
-0.66
-2.31
3.31
0.92
-0.80
5.06
1.25
2.05
-0.11
0.43
-0.05
-1.73
1.02
-1.00
-2.46
2.84
0.46
-1.43
1.12
-1.17
-0.07
4.07
1.79
0.58
-0.24
2.45
2.01
-1.26
1.01
-0.57
2.00
10.99
-1.02
-0.25
3.93
1.92
0.21
-0.34
2.39
1.75
-0.59
0.94
-0.73
1.88
10.43
0.54
1.21
-0.33
1.16
1.27
0.37
0.69
1.20
-0.12
1.00
0.88
0.19
0.53
0.64
1.17
0.62
1.89
1.15
1.80
0.89
1.19
-0.09
0.59
-0.47
-0.14
1.48
0.26
9.52
4.27
3.90
DPAM is signatory of the United Nations Principles for Responsible Investment (UN PRI).
Please read the important information at the end of this document.
3
IMPORTANT INFORMATION - FOR AUTHORIZED USE ONLY
The information contained in this document and attachments (hereafter the ‘documents’) is provided for pure information
purposes only.
Present documents do not constitute investment advice nor do they form part of an offer or solicitation for the purchase of
shares, bonds or mutual funds, or an invitation to buy or sell the products or instruments referred to herein.
Applications to invest in any fund referred to in these documents can only validly be made on the basis of the Key Investor
Information Document (KIID), the prospectus and the latest available annual and semi-annual reports. These documents can be
obtained free of charge at Degroof Petercam Asset Management sa or on the website funds.degroofpetercam.com.
All opinions and financial estimates herein reflect a situation at the date of issuance of the documents and are subject to change
without notice. Indeed, past performances are not necessarily a guide to future performances and may not be repeated.
Degroof Petercam Asset Management sa (“DPAM”) whose registered seat is established Rue Guimard, 18, 1040 Brussels and
who is the author of the present document, has made its best efforts in the preparation of this document and is acting in the
best interests of its clients, without carrying any obligation to achieve any result or performance whatsoever. The information is
based on sources which DPAM believes are reliable. However, DPAM does not guarantee that the information is accurate and
complete.
Present documents may not be duplicated, in whole or in part, or distributed to other persons without prior written consent of
DPAM. These documents may not be distributed to private investors and their use is exclusively restricted to institutional
investors.

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