Swan Bond Enhanced SIF is the alternative version of our Fixed Income Intermediate risk profile. The strategy is focused on an highly diversified buy and hold portfolio of liquid short-term fixed income securities, in a levered format. Leverage is normally included between 50% and 150% of the NAV. Target Return is 3 months LIBOR + 350 bps. Launched on June 2013.
The fund levers our Yield Type strategy with a total long exposure expected in a 2x - 3x range of the NAV and its portfolio is mainly composed by sub-investment grade names; active strategies are not applied.
Leverage is usually applied in a range between 50% and maximum 150% of the NAV in order to get to a Total Long Exposure of maximum 3X the NAV. The position in the range depends, from time to time, on market conditions, attractiveness of the risk premiums, relevant funding terms. The number of issuers in the levered format is around 120, maintaining a high level of diversification and granularity of the underlying portfolio and the same guidelines of the unlevered strategy with regard to rating distribution and concentration. Physical bonds are normally the first choice, CDS are a useful complement to broaden the spectrum of issuers.
The target is to lever the excess spread available in the credit markets, taking advantage of attractive funding costs, while accepting higher, but still extremely reduced, mark to market risks relatively to unlevered strategy.
EUR, USD and CHF
Despite the significant volatility of reference markets, it honors its Efficiency mandate and the Golden Rule 1:1 (1% Excess Return to the client for every 1% of Downside Risk of the Fund) by delivering:
- Attractive excess returns vs LIBOR (around 3% p.a.) net to the clients.
- No negative returns in any year.
- Extremely low levels of standard deviation (average since inception: 1.18%).
- Strong asset liquidability and cash generative profile.
MINIMUM TARGET RETURN PER YEAR:
LIBOR +3 / 3.50%
AVERAGE STANDARD DEVIATION since inception (daily 1 year):
ANNUALIZED EXCESS RETURN (last 5 years):
AVERAGE SHARPE RATIO since inception (daily 1 year):