Alma Selwood Euro High-Grade
Cumulative Performance (%)
Fund Inception 15 September 2021
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 is managed by Selwood Asset Management (France) SAS (“Selwood”), which seeks to implement a strategy for the Fund focusing on European investment grade credit instruments and aims to provide an alternative to traditional cash credit solutions through predominantly deploying senior tranches of CDS index-related instruments. Selwood has also sought to incorporate certain risk mitigation criteria for the Fund seeking to a lower capital consumption under Solvency II*.
*No representations or guarantees as to compliance with Solvency II are being made by the Selwood. Prospective and existing investors need to complete their own analysis of Solvency II requirements.
Selwood Asset Management group was founded in the United Kingdom by Mr Gharred in 2015 as an asset management firm, specialising in non-directional credit strategies. In 2020, Selwood Asset Management (France) SAS was incorporated under the leadership of Mr Merle and Mr Labelle.
Selwood Asset Management (France) SAS is focused on managing long bias fixed income funds and seeks to develop products which utilise credit indices and derivatives.
Mathieu is a fixed income trader with 20 years’ of industry experience. He has a broad expertise in terms of instruments having been market maker on structured credit and derivatives, government bonds and covered bonds.
Prior to joining Selwood, Mathieu was a senior trader at Credit Agricole CIB in London where he spent over 15 years.
During his tenure at Credit Agricole CIB, Mathieu developed extensive knowledge in Rates and Credit Trading, in both Flows and Structured. He gained expertise in identifying business opportunities, following and analysing market behaviour and leveraging a deep understanding of financial industry to drive account and trading success.
Mathieu holds a bachelor of Physics from University of Rouen Normandie, an ITM diploma (Master) from CFPB. He was authorised by the UK’s FCA as approved person between 2005 and 2016 (MAL01151).
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
Market Review and Outlook
The ongoing and worsening Russia/Ukraine war led to significant volatility in risk assets through March. European investment grade credit indices traded in a near 23bps range before ending the month only ~2bps wider. The iTraxx Main underperformed CDX IG. Longstanding steepener trades were progressively abandoned in this volatility, which saw European IG index curves remain illogically flat. Central banks were in the spotlight. Both the FOMC and UK MPC raised benchmark rates as expected, although the tone of the Fed action was deemed more hawkish with regards to the tightening path. Market expectations ended the month with a near 80% probability of a 50bps hike in May and upwards of 240bps of tightening through 2022 as a whole. The UST yield curve flattened aggressively, even inverting (2s10s) briefly. The ECB meeting was also more hawkish as it announced an earlier cessation of the APP bond buying, which led to sovereign yields underperforming as rate hike expectations were brought forward. The Bund curve saw positive yields from 3Y out for the first time since Nov-2014. Macro data did little to assuage fears on monetary policy tightening with a record EU CPI print of 5.8%, while US CPI hit a 40-year high at 7.9% with core inflation elevated at 6.4%. US jobs remained strong with an above consensus Feb NFPs (+678k vs. +423k) and a post-pandemic low unemployment rate of 3.8%.
European credit indices continued to be driven by technical flows as iTraxx Main and Crossover underperformed their US peers. Main closed the week at the widest level seen since Mar-20 at the height of the COVID pandemic. iTraxx Main curves also continued to flatten, in direct contrast to single name CDS curves and despite a better than expected start to the key 1Q22 earnings season. Despite Macron’s victory in the French Presidential election the remaining geopolitical backdrop largely stayed negative. The Russia/Ukraine war showed no sign of resolution. As a result commodity prices remained elevated, which continued to put pressure on global inflation. EU CPI recorded another record high in both headline and core levels. The growing COVID wave in China also put pressure on global growth expectations. Central bank rhetoric remained hawkish as more aggressive monetary policy tightening is being priced into rates. We also saw sovereign yield curve flattening in the US and Europe.
Weak GDP data and lower expectations sent sovereign rates lower (e.g. down 7.6bps in the 5Y German bond), while spreads rose 8.4bps on the week (levels last seen in Feb 2016, Dec 2018 and Mar 2020). The moves look a bit extreme with many analysts thinking the prospect of recession in Europe is a bit overpriced with flat and inverted yield curves in Europe and US respectively when looking at maturities 7Y+. Market participants acknowledge that central banks remain very supportive in absolute terms despite their recent more hawkish commentary. The yield to maturity on cash indices reached c.2.40% with the rates component comprising 0.70%. Our fund shows a 12M carry ~3% (accounting for both credit and rates) and a pull to par that is much steeper than that shown in the cash bond market. We expect ~6.25% of 12M carry and roll down (excluding options).
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 15 September 2021
Base Currency: EUR
Depositary, Administrator, Transfert Agent: RBC Investor Services Bank S.A.
Dealing: Daily with a 2-days notice
Cut-off time: 3 pm CET
Management Company: Alma Capital Investment Management
Investment Manager: Selwood Asset Management (France) SAS
Countries where the fund is registered:
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.
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