We follow a UCITs vehicle launched under an Irish umbrella invested in US structured credit and low duration assets. The fund implements an active and flexible approach and gives access to the US structured credit markets: RMBS, CMBS, ABS and CLOs.
Historically the focus of the strategy is on legacy Non-Agency RMBS and CMBS, for at least 2/3 of the assets. The strategy will shift over time as the managers’ macro view on the economy, credit, interest rates and capital market conditions changes.
The strategy employs a top-down approach to identify valuation dislocations within structured credit markets and a bottom-up process to manage individual security and credit risk. The portfolio managers will navigate opportunistically up and down the capital structure following a relative value mindset.
The fund exhibits interesting features to ride complex bond markets and find alternatives to traditional fixed-income funds focusing on strategies that carry both high current income and low sensitivity to interest rate movements:
- Low duration: Well positioned for rising rate environment with heavy exposure to floating rate securities (historically more than 50%)
- High current income: current yield is around 5% with monthly distribution.
- Low correlation: daily correlation of nearly 0.1 to the Barclays U.S. Aggregate Bond Index since inception.
- Downside protection: strong outperformance during periods of rising rates for the last years.
- Strong risk-adjusted returns: Sharpe Ratio superior to 2.0 versus a Global US Aggregate Index and nearly 80% of positive months since inception.