Longchamp Patrimoine Fund

Investment rationale

LONGCHAMP PATRIMOINE FUND is a French UCITS FCP designed to deliver a regular return stream that is intended to be weakly correlated with traditional asset classes through discretionary multi-strategy fund selection. Its objective is to outperform capitalised €STR + 1.085% net of fees over a recommended minimum investment horizon of more than five years, which positions it as a diversification or satellite allocation rather than a plain-vanilla core equity or bond holding. The fund is aimed at investors seeking a low-correlation investment profile and regular performance over time; share classes are split between Sanso Longchamp Asset Management and its employees (S), institutional and larger private investors (I), and all subscribers (A). What makes it distinct is its focus on allocating mainly to absolute-return OPCs across equity, rates, convertible arbitrage, merger arbitrage, special situations, quantitative trading and global macro strategies.

How the strategy works

The fund’s objective is to achieve, through discretionary management, an annualised net performance above capitalised €STR + 1.085% for share classes S, I and A over a recommended minimum holding period of five years. It can invest up to 100% of net assets in French or foreign UCITS and up to 30% in eligible European AIFs open to non-professional clients; strategy buckets include equities (0%-60%), rates (0%-60%), convertible bond arbitrage (0%-40%), merger arbitrage and special situations (0%-30%), quantitative trading (0%-20%) and global macro (0%-20%). Direct holdings may also include ETFs up to 20%, OECD-member equities up to 15%, EMTN/BMTN/warrants up to 35%, subordinated securities including AT1/CoCos up to 20%, government bonds of OECD countries up to 100%, corporate bonds up to 20%, convertibles up to 20%, and money-market/short-term debt instruments up to 100%; interest-rate sensitivity is targeted between 0 and 5 and non-euro currency exposure is capped at 30%. The benchmark is capitalised €STR + 1.085%, used as a reference rather than for index tracking, so performance may diverge materially; the fund has no direct derivative positions but may use embedded derivatives for exposure, hedging or arbitrage, with hedging applied discretionarily. All distributable income and realised gains are fully capitalised for all share classes, and the fund is valued weekly on Friday closing prices plus an additional month-end NAV.

Investment philosophy

• The investment universe is primarily a selection of French or foreign OPCs, including up to 30% in eligible European AIFs, with the portfolio mainly allocated to absolute-return funds spanning equity, rates, convertible arbitrage, merger arbitrage, special situations, quantitative trading and global macro.

• Portfolio construction combines a top-down macro approach—covering growth expectations, industry and geographic themes, and identification of the most promising strategies in the prevailing market context—with a bottom-up review of management companies and funds.

• Bottom-up due diligence focuses on the management firm’s strengths and weaknesses, strategic positioning, team quality and experience, fee structure, quality of track record, assets under management, operational robustness and risk management quality; the manager may also seek seeding opportunities and/or negotiate fees.

• Allocation changes are intended to be more strategic than tactical and usually gradual; each underlying fund is capped at 20% of the portfolio, and the manager seeks to keep annualised historical NAV volatility below 6% over the recommended holding period by adjusting total look-through exposure.

• The fund is monitored daily for risk and may temporarily shift more substantially into OECD sovereign or bond-market instruments rated at least BBB at purchase, according to the management company’s analysis, in order to manage volatility constraints and periods of market stress.

Distinctive features

A distinguishing feature of the fund is its explicit multi-strategy absolute-return architecture, implemented mainly through specialist underlying funds rather than through direct long-only exposure to traditional asset classes. The fund has detailed exposure bands across several hedge-fund-like strategy families, while also capping any single underlying OPC at 20% and targeting annualised historical NAV volatility below 6% over the recommended horizon. Structurally, the fund combines this broad strategy set with additional flexibility to hold ETFs, OECD equities, convertibles, subordinated debt and structured instruments such as EMTNs, BMTNs and warrants. It also includes liquidity management tools—gates above a 10% net redemption threshold and swing pricing with a trigger threshold—to protect remaining unitholders during significant flows.

Risks

The fund is exposed to capital loss risk, discretionary management risk, equity market risk, small-cap risk, emerging-market risk, interest-rate risk, credit risk, high-yield/speculative securities risk, currency risk, liquidity risk, derivatives risk, AT1/subordinated securities risk, convertible bond risk and sustainability risk. These risks stem from the fund’s ability to allocate across equity, rates and alternative strategy funds worldwide, including emerging markets and small caps, and from direct holdings in corporate bonds, convertibles, subordinated debt including AT1/CoCos, ETFs and structured instruments such as EMTNs, BMTNs and warrants. Currency risk may arise from up to 30% exposure to non-euro currencies, while rate risk is framed by a sensitivity band of 0 to 5; liquidity risk may also be amplified by certain less liquid instruments or underlying strategies. The fund is not classified under SFDR Article 8 or 9, does not integrate sustainability factors systematically into investment decisions, and underlying investments do not take account of EU Taxonomy criteria for environmentally sustainable activities.

Asset manager

The fund is managed by Sanso Longchamp Asset Management, a management company authorised by the AMF on 19/10/2011 under approval number GP-11000033. Its registered office is at 17 rue de Chaillot, 75116 Paris. Sanso Longchamp Asset Management is the management company and distributor, and the fund may invest in OPCs managed by Sanso Longchamp or a related company.