Swan Long Short Credit SIF is the alternative version of our Fixed Income High Reward risk profile. Depending on market conditions, the strategy combines an highly diversified buy and hold portfolio of liquid short-term fixed income securities, in a levered format, with an opportunistic allocation to longer dated securities in Global HY markets. Leverage is normally included between 0% and 150% of the NAV. Target Return is 3 months LIBOR + 450 bps.
It combines a buy and hold global portfolio of short duration debt instruments ( < 18 months - Yield Type Portfolio), mainly sub-investment grade, with a long short global credit portfolio ( > 18 months - Active Portfolio), that invests mainly in High Yield and Emerging Markets corporate securities.
The target credit exposure on the Active portfolio is determined on a weekly basis by a multi-factorial analytical framework (CAS - Credit Allocation Scoring). Active strategies are deployed mainly via Bonds and CDS. Maximun net exposure is normally 150%, maximum gross exposure is normally 300%.
In the alternative version, despite the significant volatility of reference markets, it honored 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 ( > 3.5% p.a.) net to the clients.
- No negative returns in any year (2011 + 3.19%).
- Extremely low levels of standard deviation (average since inception 1.32%).
- Strong asset liquidability and cash generative profile (average life of the portfolio < 9 months).
MINIMUM TARGET RETURN PER YEAR:
LIBOR +4 / 4.50%
AVERAGE STANDARD DEVIATION since inception (daily 1 year):
ANNUALIZED EXCESS RETURN (last 5 years):
AVERAGE SHARPE RATIO since inception (daily 1 year):