Alma Selwood Market Neutral Credit
Cumulative Performance (%)
Fund Inception 13 April 2018
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
The Fund provides access to a UCITS compliant version of the Selwood Market Neutral Credit Strategy managed by Sofiane Gharred and his team at Selwood Asset Management (“Selwood”). The strategy was launched in September 2015 and 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.
In addition to the core strategy supplemental alpha opportunities arise roll yield as the index rolls twice per annum to the new on-the-run series, the strategy will profit from the technical cheapening of the previous on-the-run index; the strategy also utilises derivatives such as options to create a positively convex return profile in order to try to minimise market risk.
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. Investment approach implemented since 2006 and tested through various market cycles.
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
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.
Sector Breakdown as a % of AUM
as a % of AUM
as a % of AUM
as a % of AUM
Investment Manager's Commentaryas of 31/01/2020
Market Review and Outlook
February was a month of two halves with both credit and equity indices initially rallying on better European macro data and somewhat benign geopolitical headlines. However, as COVID-19 spread globally investor sentiment turned sharply with a huge risk-off move into month end. Investment grade credit indices ended between 30-40% wider. Concerns over the virus’ impact on global growth increased markedly with developed market government bond yields tightening as investors sort safe havens. Of note, gold’s rally petered out in the last week of the month, even though the commodity outperformed other base metals and oil in particular. In single names, CDS underperformance was seen in those sectors more closely aligned with potential supply chain disruptions (autos), global growth decline (commodities and financials) and falling consumer demand (consumer and retail) related to China and the virus. Idiosyncratic headlines – (Kraft Heinz and Macy’s being downgraded to sub-investment grade) – didn’t help sentiment, and the impact was minimal in the face of increasing COVID-19 concerns.
• The gross performance of the Fund in February was -0.45%
• The performance was mainly driven by the carry of +0.17% offset by a credit loss of -0.57%
• The negative credit effect was due to the flattening of the credit curves
• We were active adding hedges
• We wait for better visibility on the pandemic evolution before adding more directionality
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 13 April 2018
Base Currency: EUR
Depositary, Administrator, Transfert Agent: RBC 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:
Austria, Denmark, France, Germany, Ireland, Italy, Luxembourg, Spain, Sweden, Switzerland, Singapore, United Kingdom
ISIN: LU1769347433 Ticker: DBSI3CE LX Launch: 13 Apr 2018
ISIN: LU1769346898 Ticker: DPSI1CE LX Launch: 13 Apr 2018
ISIN: LU1769346625 Ticker: DBSILCG LX Launch: 6 Feb 2019
ISIN: LU1769346971 Ticker: DPSI1CU LX Launch: 13 Apr 2018
ISIN: LU1769347276 Ticker: DBSI2CE LX Launch: 13 Apr 2018
ISIN: LU1769346039 Ticker: DBSR1CE LX Launch: 13 Apr 2018
ISIN: LU1769346112 Ticker: DBSR1CU LX Launch: 13 Apr 2018