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Overview

Share Class

NAV

Cumulative Performance (%)

Fund Inception 13 April 2018

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

Funds Strategy

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.


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. Investment approach implemented since 2006 and tested through various market cycles.

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 28/05/2021

Market Review and Outlook

Credit indices tightened and equities rallied further through August, despite increased talk of central bank tapering, especially from the FOMC. Volatility (VIX/V2X) also fell through the month, while sovereign yields in both US and Europe rose. At the end of the month Fed Chair Powell spoke at the annual Jackson Hole symposium and while he confirmed tapering talks were ongoing, he reiterated his focus on the jobs recovery with the still elevated inflation prints remaining “transitory”. Macro data points underlined the recovery with strong NFPs and initial jobless claims continuing to trend downwards. Global PMIs remained firmly in expansionary territory across the US and Europe, albeit levels do appear to be tailing off, suggesting growth may be flatlining. European credit indices largely ignored a decade high CPI print as well as more hawkish rhetoric from some ECB council members. Consensus for any ECB tapering is for a reduction in pandemic purchases (under PEPP) being mostly offset by an increase in APP buying, which includes CSPP corporate purchases. Main closed the month at YTD tights of ~44.9bps, which was also helped by a sustained, above expectation, calendar 2Q corporate earnings season.

Effect Gross Performance contribution
Credit 0.42%
Carry 0.27%
Other -0.11%
Total 0.58%

Exposure Comment:
– Throughout quiet summer markets we continued to manage our long risk by unwinding short-dated positions that have crystalised their carry
– We continue to proactively evaluate our hedge book, ensuring adequate tail hedge against any adverse significant market moves


Facts & Documents

Facts

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

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:

I3C-E
ISIN: LU1769347433   Ticker: DBSI3CE LX    Launch: 13 Apr 2018

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

Documents