Alma Selwood Market Neutral Credit
Cumulative Performance (%)
Fund Inception 23 March 2016
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 30/11/2022
Market Review and Outlook
‘December saw a return of quite significant spread volatility as the final central bank meetings of the year were deemed, overall, more hawkish than expected. iTraxx Main traded in a ~22bps range, again breaching the 100bps level. However, the index closed only ~1bp tighter after the early month risk rally was erased following the central bank decisions. All three of the FOMC, UK MPC and ECB raised rates by the expected +50bps. While the UK’s MPC commentary was deemed dovish, the Fed dot plot signalled rates moving above 5% through 2023 implying a higher than forecast terminal rate and levels staying higher for longer. The 2s10s UST curve remained very inverted into year-end. However, the ECB caused the biggest upset as President Lagarde signalled a more aggressive tightening cycle, also with higher rates for longer and stating that the market was not currently pricing in high enough rates. Main sold off ~13bps post-ECB, while Bund yields widened and the 2s10s curve inverted further on higher rate expectations. The 2Y Bund yield reached a post-2008 high of ~2.5% and Peripheral rates in Europe underperformed on fears that fragmentation could result from the more aggressive monetary policy stance. Macro data was mixed. US CPI missed expectations, raising hopes inflation had peaked. However, the US jobs market remained robust, which should be a key driver of Fed policy into 2023.
|Effect||Gross Performance contribution|
The Team unwound rolled down trades while adding short-dated iTraxx Main exposure and extended tail hedges to December.
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 23 March 2016
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
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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