SLSCsif
Swan Long-Short Credit is a Luxembourg SICAV-SIF vehicle that invests in a highly diversified buy and hold portfolio of global liquid short-term bonds combined with an allocation to longer dated securities determined using a proprietary model. Leverage is used to increase invested capital up to 250% of NAV depending on market conditions. The average maturity can be up to about 4 years.
The fund has been launched in July 2013 and has been managed with the same strategy since inception. Target Return is 3 months LIBOR + 450 bps. It has daily liquidity, and it is available in different currencies: EUR, CHF and USD.
Swan Long/Short Credit
Performance
Investment strategy
- Swan Long-Short Credit strategy invests in global short-term and long-term bonds that is levered up to 250% of the NAV, adapting geographical and sector exposure to actual markets conditions.
- Leverage is deployed in a dynamic way: when credit spreads widen Swan Long-Short Credit increases its invested capital, trying to capture the excess spread available vs the cost of funding.
- There is no direct and predetermined relation between credit spread and leverage: the leverage is a direct consequence of attractiveness of credit markets. Generally, higher credit spreads create more opportunities to invest in new credits that were tight before.
- Short-Term bonds’ maturity up to 24 months; Callable bonds are NOT considered as Short-Term; no AT1/Hybrids.
- Exposure to longer dated bonds determined by the Credit Allocation Scoring (CAS), a proprietary multifactorial analytical framework that analyzes Top-Down, Bottom-Up, Technical and Cross-Market, Valuation factors.
- FX risk completely hedged: the bonds in portfolio are all in hard currencies, hedged back in EUR using forwards.
- High fragmentation: portfolio diversified from a sector and geographic standpoint (limitations on maximum weight for country/sector); no single issuer higher than 3% weight.
- The investment decision is focused primarily on a fundamental analysis of default risk at the issuer/security level focusing on liquidity/cash flow analysis and evolution of credit metrics.
Characteristics of the fund
- Strong asset liquidability and cash generative profile (around 10% of bonds mature every month).
- High diversification with 206 different bonds from 154 issuers.
- Average duration spread of 1.64 (20 months). Contribution spread duration of 2.36.
- Geographical breakdown: Developed Markets 85% – Emerging Markets 15%
- No negative return in any full calendar year since inception, the only exception being 2022.
| ANNUAL RETURN TARGET | LIBOR +4.50% |
|---|---|
| STANDARD DEV. AVERAGE from start (daily 1 yr) | 2.02% |
| EXCESS RETURN (last 1 yr) | 5.69% |
| SHARPE RATIO from start (daily 1 yr) | 2.47 |
