Alma Selwood Market Neutral Credit
Overview
Alma Selwood Market Neutral Credit is an investment grade credit long short fund.
The fund’s management is delegated to Selwood AM LLP.
Share Class
NAV
Cumulative Performance (%)
Fund Inception 23 March 2016
| Daily | Monthly | Ytd | 1Yr | 3Yr | 5Yr | Incept. | Incept.Date |
|---|
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The investment return and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Strategy & Manager
Fund Strategy
The Strategy trades a single investment strategy focused on liquid credit indices within the investment grade credit space. It implements the strategy by investing in CDX and iTraxx indices, tranches of these, index options and single name CDS.
The goal is to achieve a market neutral portfolio which has a positive carry and positive convexity. The strategy attempts to monetise the dislocation between the actual credit spread of the CDX and iTraxx index and that implied by the CDS of the underlying index components. There has been a persistent difference between these spreads since the indices were launched in 2004, largely due to the indices being used predominantly to hedge credit exposure. The team will buy CDS on the most risky single name credits in order to minimise the risk of default to the portfolio.
Investment Manager
Selwood AM LLP was founded by Sofiane Gharred in 2015. Mr Gharred is a pioneer of the synthetic credit derivatives market with 17 years of experience on both the buy side and sell side. He has gathered a team of seasoned professionals dedicated to offer investors access to unique alternative credit investments. Selwood AM LLP aims at generating superior risk-adjusted returns over a broad range of market environments.
Key Persons
Sofiane Gharred
CIO
Prior to founding Selwood AM, Mr Sofiane Gharred was a partner at Chenavari Financial Group. During Mr Gharred’s tenure, he developed and managed the liquid Corporate Credit Strategy, developed the risk management framework for the firm and significantly contributed to Chenavari winning multiple awards over his 7 years at the firm. Prior to that, Mr Gharred was Managing Director and Global Head of Structured Credit Trading at Credit Agricole CIB. He was responsible for all structured credit proprietary activities with over 20 traders reporting to him. In this capacity, he successfully managed a $200bn delta equivalent correlation book across a variety of credit markets, notably producing positive returns during the correlation crisis in 2005 and the sub-prime crisis in 2007.
Mr Gharred has a strong quantitative background, with an MSc (Hons) in Applied Mathematics in Finance graduating from Ecole Centrale Paris, and a DEA (Hons) in Mathematical modelling in economics from Sorbonne University.
Statistics & Commentary
Performance
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and the principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost.
Investment Manager's Commentary
as of 29/02/2024Market Review and Outlook
Credit indices continued to tighten throughout Feb with IG outperforming HY on idiosyncratic headlines in the higher beta space (Atos, Grifols, Intrum, to name a few). This spread performance was in spite of ongoing high levels of new issuance, in part driven by increasing M&A activity. Equities rallied on, driven by Tech (especially AI) as both SPX and Eurostoxx outperformed credit. Sovereign yields rose as markets continued to push back on early monetary loosening from the Fed, ECB and BoE. This was helped by largely hawkish central bank rhetoric and mixed macro data. Only the BoE met during the month and kept rates on hold as expected. The first full cut (-25bps) is now only being priced in Aug. Macro data corroborated the increasing divergence between the US and the EU and UK. US jobs data, while mixed, largely underpinned its strength. Weekly initial jobless claims are (only small) trending up, while Jan ADP private payrolls missed at only 107k (cons. 150k). That said Jan NFPs significantly beat (353k vs. 185k) and hourly earnings were up at 4.5% (cons. and prior 4.1%). This needs be taken in the context of a reduction of -0.2% in hours worked. Flash PMIs (Feb) saw US manufacturing at 52.5, the highest print since Sep-22 and composite remained expansionary (51.4). EU composite did rise, but remained contractionary at 48.9. Manufacturing remains the weak link with Germany, in particular, extremely poor at 42.3 (cons. 46.0). US and EU Jan CPI beat cons. with core inflation remaining sticky in both (3.9% and 3.3%, respectively). US ISM services print was ahead of cons., noticeably with prices paid at 64.0 (56.7), underlining this inflation theme. While UK CPI (Jan) was a marginal miss, it remained flat mom with services inflation actually edging up a tenth to 6.5%. Finally, we saw the UK fall into a technical recession as 4Q flash GDP contracted -0.4% after the -0.1% decline in 3Q. Not helpful for BoE.
Fund
| Effect | Gross Performance Strategy Estimates | |||||||
| Credit | 0.25% | |||||||
| Carry(12) | 0.58% | |||||||
| Other | -0.01% | |||||||
| Total | 0.82% | |||||||
Facts & Documents
Facts
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 23 March 2016
Base Currency: EUR
Depositary, Administrator, Transfert Agent: CACEIS Investor Services Bank S.A.
Dealing: Weekly with a 4-day notice
Cut-off time: 3 pm CET
Management Company: Alma Capital Investment Management
Investment Manager: Selwood Asset Management LLP
Countries where the fund is registered:
Luxembourg, Austria, Germany, France, UK, Italy, Switzerland, Singapore, Denmark, Ireland, Spain, Sweden
Sustainability-related disclosures:
The information related to the integration of sustainability risks and to the potential adverse sustainability impacts at the sub-fund level can be found in the prospectus of the Fund.
Identifiers:
I1C-E
ISIN: LU1769346898
Ticker: DPSI1CE LX
Launch: 13 Apr 2018
I1C-G
ISIN: LU1769346625
Ticker: DBSILCG LX
Launch: 6 Feb 2019
I1C-U
ISIN: LU1769346971
Ticker: DPSI1CU LX
Launch: 13 Apr 2018
I2C-E
ISIN: LU1769347276
Ticker: DBSI2CE LX
Launch: 13 Apr 2018
R1C-E
ISIN: LU1769346039
Ticker: DBSR1CE LX
Launch: 13 Apr 2018
R1C-U
ISIN: LU1769346112
Ticker: DBSR1CU LX
Launch: 13 Apr 2018
I2C-U
ISIN: LU1769347359
Ticker: DBSI2CU LX
Launch: 31 Jan 2020
I2C-G
ISIN: LU1769347193
Ticker: DPSI2CG LX
Launch: 31 Aug 2022
Documents
Subscribe to the Fund Monthly Newsletteravailable upon request