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 28/05/2021
Market Review and Outlook
May was a particularly volatile month for risk assets. Geopolitical headlines (most notably Russia/Ukraine war and China COVID lockdowns), expectations of accelerated monetary policy tightening and still elevated CPI prints all contributed to this. Weekly trading ranged for both iTraxx Main and CDW IG were much larger than those seen since the early stages of the pandemic with Main, in particular, trading in a +/- 10bps range, despite ending the month marginally tighter. Main traded above 100bps for the first time since Apr-20 during the height of the pandemic before ending May at 87.50bps. Both the FOMC and UK MPC raised rates as expected, although the rhetoric was deemed less hawkish on future moves. The ECB was less helpful with President Lagarde indicating QE would cease in early 3Q with the first rate rise coming at the July meeting. This was exacerbated by another new high EU CPI print of 8.1% for May. Markets ended the month pricing ~120bps of ECB rates rises by end-2022 with a few commentators even suggesting initial hikes could be as much as +50bps at a time. Sovereign yields reacted with the Bund 10Y rising above 1.00% for the first time since 2015. EU peripheral bonds underperformed with the 10Y Bund/BTPs basis going above 200bps for the first time too, since Jun-20. Risk sentiment was also impacted by mixed US retail earnings, albeit from very solid IG names. Walmart and Target both cut forward guidance citing significant margin pressure, while Macy’s and Dollar General were more supportive. The latter headlines helped SPX break a seven week-on-week decline, which had not been seen since the Tech bubble in 2001.
|Effect||Gross Performance contribution|
– The Fund was active in rolling European hedges into a number of future maturities
– The team unwound some trades that hold rolled down given the impending trade maturity
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.
ISIN: LU1769347433 Ticker: DBSI3CE LX Launch: 23 Mar 2016
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
ISIN: LU1769347359 Ticker: DBSI2CU LX Launch: 31 Jan 2020
ISIN: LU1769347193 Ticker: DPSI2CG LX Launch: 31 Aug 2022