Survey
* Your assessment is very important for improving the workof artificial intelligence, which forms the content of this project
* Your assessment is very important for improving the workof artificial intelligence, which forms the content of this project
Modified Dietz method wikipedia , lookup
Financialization wikipedia , lookup
Syndicated loan wikipedia , lookup
Investment fund wikipedia , lookup
Reserve currency wikipedia , lookup
Securitization wikipedia , lookup
International status and usage of the euro wikipedia , lookup
Government debt wikipedia , lookup
International monetary systems wikipedia , lookup
Investment management wikipedia , lookup
Charles Zerah International fixed income fund that implements interest rate, credit and currency strategies across the globe with a total return approach. Its flexible and opportunistic style enables the Fund to implement a largely unconstrained, conviction-driven allocation and swiftly adapt, when necessary, to fully exploit opportunities in all market conditions. In the first quarter of 2017, Carmignac Portfolio Global Bond posted a +1.82% gain that put it well ahead of its reference indicator, which was up +0.04%. As in the preceding quarter, higher prices for the corporate and emerging-market sovereign bonds in our portfolio buoyed our performance. At the same time, we maintained our cautious approach to the Fund’s modified duration and currency allocation. Fixed income component In our previous report, we voiced our concern that inflation would pick up in the United States and Europe and opted for low modified duration to hedge against the attendant risk. US and European consumer price indices confirmed our expectations, rising significantly in the first quarter. But as bond investors had already priced in that rise, ten-year sovereign bond yields barely budged – they shed just 5 basis points in the United States and added a mere 15 in Germany. Our macroeconomic outlook for more synchronised global growth and higher inflation hasn’t changed much over the last few months (see our Macroeconomic Analysis), which is why we intend to maintain our cautious approach to bond markets. A further argument in support of that approach is a French presidential election campaign marked heavily by the Eurosceptic views of Marine Le Pen and several other candidates. In light of the high risks and low yields involved, Carmignac Portfolio Global Performance of the fund since its launch 190 180 170 160 150 140 130 120 110 100 90 12/07 03/08 74% 51% 43% 40% 03/09 03/10 03/11 03/12 03/13 03/14 03/15 03/16 03/17 ––– Carmignac Portfolio Global Bond A EUR acc ––– JP Morgan GBI Global (EUR) (accrued interest) ---- Carmignac Portfolio Global Bond A EUR acc rebased at 01/03/2010, date of the beginning of fund management by C. Zerah ---- JP Morgan GBI Global (EUR) (accrued interest) rebased at 01/03/2010, date of the beginning of fund management by C. Zerah 06/08 06/09 06/10 06/11 06/12 06/13 06/14 P ast performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). Bond holds no French or European peripheral sovereign debt aside from Greek government paper with maturities of under two years, which accounts for roughly 3% of the Fund’s assets. As soon as the French presidential election is over, the global economic recovery theme will likely get new wind in its sails – to the detriment of the fixed income space. We therefore see a need for further prudent management of the Fund’s overall modified duration. At the same time, the global economic upturn and the pickup in inflation (though mild) should work to the advantage of emerging markets and their sovereign debt issues. Over the past twelve months, we have made that asset class a key component of our portfolio so as to reap the benefits of the emerging world’s economic vibrancy. We have diversified our allocation by investing in Mexican and Brazilian local currency bonds and in the external debt of commodity-producing countries. Lastly, we remain cautious on developed country government bonds. Not only are yields low, but a cyclical rise in inflation and substantial political risk in Europe appear to be on the cards. This contrasts with our more constructive, yet highly selective approach to emerging-market debt. Credit component As previously, our holdings in this asset class consisted of energy sector bonds issued mainly in emerging markets, bank bonds primarily from Europe, and structured credit. All three contributed to the Fund’s positive performance in the first quarter of the year. The subordinated bank bonds in the portfolio recorded further gains, due to higher profit margins at the issuing banks that allowed us to scale back our positions via profit-taking. With oil prices softening, we moved at the end of the quarter to beef up our exposure to oil exploration companies in Mexico and Brazil. Our global macroeconomic outlook has convinced us to stick to those three investment themes, all of which should benefit from the pickup in inflation. Paper issued by banks and oil companies and European CLOs account for roughly 20% of the Fund’s assets. Currency component At the beginning of the first quarter, our currency risk related mainly to the euro, but we also maintained exposure to the US dollar to hedge against a possible rate hike by the Federal Reserve and the risks associated with upcoming elections in Europe. We ended the quarter with the same dollar exposure, which was in the vicinity of 30%. The Fund was hurt by * Risk scale from 1 (lowest risk) to 7 (highest risk); risk 1 doesn’t mean an investment without risk. The risk category associated with this fund is not guaranteed and may change with time. 58 / Management report F I X E D I N C O M E M A N AG E M E N T To conclude, we are maintaining our cautious approach to developed-country government bonds, as well as our diversified allocation to emerging-market sovereigns and to corporate bonds. With inflation now gaining traction in the US and Europe and political risk on the rise in continental Europe, the Fund’s modified duration is bound to remain low. We will also continue with our prudent approach to currency allocation. Bond portfolio (derivatives excluded) Rating breakdown (%) Net currency exposure of Euro share classes (%) 41.1 AAA 6.9 AA 8.6 BBB 9.2 BB No rating JPY GBP 22.8 10.9 -5.1 4.6 0.1 AUD and CAD 0.6 Latin America Energy 19,7 9.9 Eastern Europe, Middle East and Africa 1.2 Other 0.1 Bond portfolio (derivatives excluded) Maturity breakdown (%) < 1 year 43.4 Financials 58.6 -2.0 CHF Sector breakdown (derivatives excluded) (%) 33.5 1 - 3 years 40.4 Information Technology 8.2 3 - 5 years Materials 7.5 5 - 7 years Consumer Discretionary 24,6 EUR A B 32.7 USD 7 - 10 years 0.4 12.1 7.2 3.9 1,6 22.2 > 10 years 21.0 Modified duration of the bond portfolio (derivatives included) Statistics (%) Euro -0.44 Fund volatility United States 1.82 Benchmark volatility 6.13 7.08 Other 0.96 Sharpe ratio 2.41 1.27 Beta 0.50 0.78 Alpha 0.16 0.14 1 year 3 years 4.28 6.54 Calculation period: weekly (1 year) and monthly (3 years). Quarterly gross performance contribution (%) Equity Portfolio Bond Portfolio Bond Derivatives Currency Derivatives Total Value at Risk (%) 0.11 2.96 0.00 -0.69 2.38 99% - 20 days (2 years) Cumulative performance (%) Since 30/12/2016 3 months 6 months 1 year 3 years Fund Reference indicator 4.12 4.97 5 years 10 years Since the first NAV Carmignac Portfolio Global Bond A EUR acc 1.82 1.82 3.58 9.98 26.56 36.03 - 42.59 JP Morgan GBI (Eur) (Accrued interest) 0.04 0.04 -2.26 2.84 26.74 22.79 - 74.47 Category average* 0.79 0.79 1.32 4.94 21.98 23.52 - 69.92 Ranking (quartile) 1 1 1 1 2 1 - 4 * Global Bond. P ast performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). CARMIGNAC FIRST QUARTER 2017 / 59 FIXED INCOME MANAGEMENT the near-3.5% appreciation of the yen against the euro, as Japanese investors repatriated a considerable amount of funds prior to the annual closure of their books on 31 March. However, we intend, as before, to steer clear of the Japanese currency, particularly because the Bank of Japan is likely to continue with quantitative easing. FIXED INCOME MANAGEMENT HOLDINGS CARMIGNAC PORTFOLIO GLOBAL BOND AT 31/03/2017 Cash, cash equivalents and derivatives operations Cash (including collateral cash from derivative positions) Fixed income investments Emerging markets fixed rate Government bonds 89 000 BRAZIL 01/07/2020 (Brazil) 11 000 000 TUNISIA 5.62% 17/02/2024 (Tunesien) 10 000 000 ARGENTINA 2.26% 31/12/2038 (Argentina) 33 419 661 ARGENTINA 7.82% 31/12/2033 (Argentina) 10 000 000 BAHRAIN 7.00% 12/10/2028 (Bahrain) 60 000 BRAZIL 10.00% 01/01/2027 (Brazil) 15 000 000 BRAZIL 5.62% 21/02/2047 (Brazil) 1 080 000 000 CZECH REPUBLIC 0.00% 10/02/2020 (Czech Republic) 1 069 570 000 CZECH REPUBLIC 0.00% 17/07/2019 (Czech Republic) 15 800 000 KUWAIT 2.75% 20/03/2022 (Kuwait) 430 000 000 MEXICO 7.50% 03/06/2027 (Mexico) 15 400 000 RUSSIA 4.75% 27/05/2026 (Russia) 9 150 000 SAUDI ARABIA 2.38% 26/10/2021 (Saudi Arabia) 5 000 000 TURKEY 4.88% 16/04/2043 (Turkey) 5 000 000 TURKEY 6.75% 30/05/2040 (Turkey) Developed countries fixed rate Government bonds 5 000 000 GREECE 3.38% 17/07/2017 (Greece) 25 000 000 GREECE 4.75% 17/04/2019 (Greece) 120 000 000 UNITED STATES 0.50% 30/04/2017 (USA) 60 000 000 UNITED STATES 0.50% 31/07/2017 (USA) 50 000 000 UNITED STATES 0.88% 15/10/2017 (USA) 50 000 000 UNITED STATES 1.00% 15/09/2017 (USA) Developed countries inflation-linked Government bonds 40 000 000 USA I/L 0.12% 15/07/2026 (USA) 80 000 000 USA I/L 0.62% 15/01/2026 (USA) Emerging countries inflation-linked Government bonds 20 000 BRAZIL I/L 6.00% 15/08/2050 (Brazil) 35 000 000 MEXICO I/L 4.00% 08/11/2046 (Mexico) 600 000 000 RUSSIA I/L 2.50% 16/08/2023 (Russia) Developed countries fixed rate corporate bonds 4 000 000 DANSKE BANK 6.12% 28/03/2024 (Denmark) 1 500 000 000 JP MORGAN 0.00% 22/02/2032 (USA) 4 000 000 LOCK AS 7.00% 15/08/2017 (Norway) 12 300 000 MERCURY BONDCO PLC 7.12% 30/11/2017 (Italy) 6 000 000 SEVERSTAL (STEEL CAP) 3.85% 27/08/2021 (Luxembourg) 5 000 000 SOCIETE GENERALE 6.75% 07/04/2021 (France) 5 000 000 SOCIETE GENERALE 7.88% 18/12/2023 (France) 15 000 000 UBS AG 5.12% 15/05/2024 (Switzerland) 10 000 000 UNIPOLSAI SPA 5.75% 18/06/2024 (Italy) Developed countries floating rate corporate bonds 6 873 SOLOCAL GROUP TV 15/03/2022 (France) Emerging markets fixed rate corporate bonds 4 800 000 GENNEIA SA 8.75% 20/01/2020 (Argentina) 2 107 000 PETROBRAS ARGENTINA SA 7.38% 21/07/2020 (Brazil) 10 000 000 PETROBRAS GLOBAL FINANCE BV 6.12% 17/01/2022 (Brazil) 15 000 000 PETROBRAS GLOBAL FINANCE BV 7.38% 17/01/2027 (Brazil) 15 000 000 PETROLEOS MEXICANOS 6.50% 13/03/2027 (Mexico) 20 000 000 PETROLEOS MEXICANOS 6.75% 21/09/2047 (Mexico) 6 000 000 POLYUS GOLD INTL LTD 5.25% 07/02/2023 (Russia) Developed countries convertible corporate bonds 25 000 000 MITSUBISHI UF 4.17% 15/12/2050 (Japan) Asset Backed Securities 2 000 000 APOLLO MANAGEMENT, ALME LOAN FUNDING V (Europe) 2 000 000 ARES MANAGEMENT, ARES EUROPEAN CLO VIII (Europe) 2 500 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO X (Europe) 5 000 000 KKR CREDIT ADVISORS, AVOCA CAPITAL CLO XIV (Europe) 2 000 000 CSAM, CADOGAN SQUARE CLO VI (Europe) 2 000 000 CARLYLE, CARLYLE GMS EURO CLO 2013-1 (Europe) 2 200 000 CVC CREDIT PARTNERS, CVC CORDATUS VIII (Europe) 5 000 000 PRAMERICA, DRYDEN 46 EURO CLO (Europe) 2 000 000 ALCENTRA, JUBILEE CLO 2015-XV (Europe) 1 000 000 BAIN CREDIT, NEWHAVEN CLO (Europe) 1 000 000 BAIN CREDIT, NEWHAVEN II CLO (Europe) 2 000 000 OAK HILL ADVISORS, OAK HILL ECP III (Europe) 2 500 000 BLACKSTONE/GSO, ORWELL PARK (Europe) 4 000 000 PARTNERS GROUP, PENTA CLO 2 (Europe) 2 000 000 BAIN CREDIT, RYE HARBOUR CLO (Europe) 7 400 000 CHENAVARI, TORO EUROPEAN CLO 1 (Europe) 5 200 000 CHENAVARI, TORO EUROPEAN CLO 2 (Europe) 3 600 000 TIKEHAU CAPITAL, TIKEHAU CLO II (Europe) Equities 356 529 SOLOCAL GROUP (France) Portfolio value Net assets 60 / Management report Price in currencies Real Brazil Euro Euro Euro Dollar Real Brazil Dollar CZK CZK Dollar Mexican peso Dollar Dollar Dollar Dollar 738.49 100.28 60.87 105.95 104.46 1 023.31 97.37 100.11 100.74 100.34 102.90 104.50 98.34 85.95 107.19 Euro Euro Dollar Dollar Dollar Dollar 98.57 95.01 99.98 99.91 99.97 100.07 Dollar Dollar 97.74 101.97 Real Brazil Mexican peso Russian Ruble Financials (subordinated debt) Financials Financials Information Technology Materials Financials (subordinated debt) Financials (subordinated debt) Financials (subordinated debt) Financials (subordinated debt) Consumer Discretionary Energy Energy Energy Energy Energy Energy Materials Financials (subordinated debt) CLO (BB tranche) CLO (BB tranche) CLO (B tranche) CLO (BB tranche) CLO (BB tranche) CLO (B tranche) CLO (B tranche) CLO (BB tranche) CLO (BB tranche) CLO (B tranche) CLO (B tranche) CLO (BB tranche) CLO (BB tranche) CLO (BB tranche) CLO (BB tranche) CLO (BB tranche) CLO (BB tranche) CLO (BB tranche) Consumer Discretionary 3 385.02 106.52 96.23 100.45 7.17 105.69 100.64 100.31 104.37 101.03 102.68 98.29 99.54 104.52 104.42 104.92 106.63 107.71 101.57 102.42 50.25 99.21 100.02 92.73 96.61 96.00 95.63 93.90 98.96 95.92 97.75 89.00 94.97 94.17 96.86 100.02 96.06 99.45 99.41 1.00 Total value (€) % of net assets -18 678 784.54 -18 678 784.54 918 286 643.35 264 779 645.84 19 355 177.21 11 110 474.66 6 090 538.89 36 098 450.95 10 080 864.75 18 080 942.35 13 752 162.12 40 009 177.20 39 871 350.00 14 840 016.99 22 454 424.21 15 289 690.89 8 502 160.76 4 124 538.36 5 119 676.50 292 188 114.15 5 049 117.81 24 897 705.48 112 411 063.20 56 094 180.56 46 929 137.27 46 806 909.83 115 119 533.78 37 049 672.05 78 069 861.73 41 278 828.43 19 936 779.80 10 718 959.73 10 623 088.90 67 056 134.05 3 761 136.82 5 340 968.32 4 265 631.11 12 496 062.00 5 649 911.95 5 384 218.41 4 832 388.62 15 039 767.50 10 286 049.32 684 096.00 684 096.00 71 967 399.13 4 772 710.02 2 086 826.78 9 934 185.71 15 178 661.59 15 161 454.19 19 041 559.53 5 792 001.31 12 665 346.58 12 665 346.58 52 547 545.39 2 010 151.00 2 039 516.13 2 378 858.17 4 884 661.72 1 938 078.80 1 912 671.00 2 065 800.00 5 074 945.67 1 939 530.11 989 052.34 899 402.20 1 917 202.87 2 378 054.14 3 903 238.67 2 022 070.84 7 183 008.57 5 354 455.60 3 656 847.56 355 815.94 355 815.94 919 210 119.43 -2.08 -2.08 102.04 29.42 2.15 1.23 0.68 4.01 1.12 2.01 1.53 4.45 4.43 1.65 2.50 1.70 0.94 0.46 0.57 32.47 0.56 2.77 12.49 6.23 5.21 5.20 12.79 4.12 8.67 4.59 2.22 1.19 1.18 7.45 0.42 0.59 0.47 1.39 0.63 0.60 0.54 1.67 1.14 0.08 0.08 8.00 0.53 0.23 1.10 1.69 1.68 2.12 0.64 1.41 1.41 5.84 0.22 0.23 0.26 0.54 0.22 0.21 0.23 0.56 0.22 0.11 0.10 0.21 0.26 0.43 0.22 0.80 0.59 0.41 0.04 0.04 102.14 899 963 674.75 100.00 CARMIGNAC FIRST QUARTER 2017