fairtree flexible income plus fund · 2020. 8. 19. · stefi 1.00 mean annual std deviation sharpe...
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BCI Income Plus Fund
Fund update
Louis Antelme
17 August 2020
Agenda
Business unit
Targets and Objectives
Portfolio Risk
Credit Markets
Performance
Conclusion
Unit AUMUnit manages in excess of R13.8 billion
BCI Income Plus R 8 320 million
Fairtree Flexible Income Plus R 3 350 million
Cisca Fund 3 R 599 million
Cisca Fund 4 R 513 million
Cisca Fund 5 R 357 million
Cisca Fund 6 R 142 million
Cisca Fund 7 R 102 million
Cisca Fund 8 R 90 million
Hedge Fund Product R 418 million
Agenda
Business unit
Targets and Objectives
Portfolio Risk
Credit Markets
Performance
Conclusion
• Target STeFi +3.00% after fees.
• All credit instruments Floating Rate Notes (FRN’s).
• FX risk hedged using futures – Euribor / Libor+ translates to Jibar+
• No Interest rate risk (MD)
• Current spread to 3m Jibar around 3.35%
• Low correlation to other asset classes.
BCI Income Plus Fund (R8.3bn)
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BCI Income Plus FundAsset Allocation 31 July 2020
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LOCAL ZAR 74.14% OFFSHORE 25.86%
Cash 2.22% EUR 16.69%
Margin Accounts 1.41% Cash 0.64%
Floating Rate Notes
Floating Rate Notes 0-1 year 0.20%
0-1 year 18.03% 1-3 year 2.64%
1-3 year 26.20% 3-7 year 7.21%
3-7 year 23.68%
BCI Fairtree Global Feeder 6.00%
Fixed Rate Notes USD 9.18%
0-1 year 1.30% Cash 0.15%
3-7 year 1.20%
12+ year 0.10% Floating Rate Notes
1-3 year 1.42%
3-7 year 7.60%
BCI Income Plus FundLargest 10 Instruments, Reference entities and Sectors 31 July 2020.
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Agenda
Business unit
Targets and Objectives
Portfolio Risk
Credit Markets
Performance
Conclusion
• Default risk – reality – well diversified (172 instruments).
• FX – no risk – all hedged.
• No Interest Rate risk (MD)
• Liquidity – manageable – WAT 2.64 years, quarterly coupons.
• Spread Widening.
BCI Income PlusRisks
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Agenda
Business unit
Targets and Objectives
Portfolio Risk
Credit Markets
Performance
Conclusion
Spreads – were they too tight?Itraxx Xover Index – 75 European Sub Investment Grade names.
11 Source : Bloomberg 7 August 2015 – 13 August 2020
Spreads – were they too tight?Itraxx Xover Index – 75 European Sub Investment Grade names.
12 Source : Bloomberg 1 January 2003 – 13 August 2020
Global Credit EventsGlobal Credit Event under CDS
13
Source : Markit 2005 – 13 August 2020
• 15 Credit events under CDS.
• 3 Sovereign, 2 European, the rest US HY.
• Wide dispersion of auction recoveries 0.125% to 100%
• Average auction recovery 18.28 cents.
Credit EventsYear to date to 29 July 2020
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Spreads - its all relativeGerman 10 year bonds
15 Source : Bloomberg 1 January 1989- 13 August 2020
Spreads – its all relativeUS 10 year bond yields
16 Source : Bloomberg 1 January 1961– 13 August 2020
SA – just another risky creditRepublic of South Africa 5 year CDS vs Itraxx Crossover CDS Index
17 Source : Bloomberg 31 December 2019 -13 August 2020
SA – just another risky creditRepublic of South Africa 2026 bond spread to 3m Jibar vs Itraxx Crossover Index
18 Source : Bloomberg 31 December 2019 – 14 August 2020
European Credit as an Asset ClassSince March 2007
Source : Bloomberg March 2007 – 31 July 202019
Agenda
Business unit
Targets and Objectives
Portfolio Risk
Credit Markets
Performance
Conclusion
Inception January 2007
Income Plus Mandates : 13.5 Years of Relative Performance (9.44% pa)
Source : Morningstar, Bloomberg Jan 2007 – 31 July 202021
Fairtree IP TOP40TR ALBI STeFI
340.37 334.68 284.65 259.85
Income Plus Mandates : 13.5 Years of Relative PerformanceCalendar year since 1 January 2007
Source : Morningstar, Bloomberg 1 January 2007 – 31 July 202022
Year Income Plus ALBITR TOP40TR STeFi
2007 15.14% 4.25% 18.97% 9.40%
2008 7.30% 16.97% -23.58% 11.70%
2009 8.86% -0.99% 31.73% 9.13%
2010 9.64% 15.01% 17.22% 6.93%
2011 8.29% 8.78% 2.20% 5.71%
2012 9.48% 15.99% 26.12% 5.55%
2013 9.76% 0.64% 22.77% 5.18%
2014 8.09% 10.15% 9.17% 5.90%
2015 10.32% -3.93% 7.52% 6.46%
2016 8.99% 15.45% -1.60% 7.36%
2017 10.43% 10.26% 23.07% 7.52%
2018 9.95% 7.69% -8.31% 7.29%
2019 10.24% 10.32% 12.41% 7.29%
2020 1.97% 0.97% 2.81% 3.62%
Income Plus Mandates : 13.5 Years of Correlation
Inception 1 January 2007
Source : Morningstar, Bloomberg 1 January 2007 – 31 July 202023
INCOME
PLUSTOP40TR ALBITR STeFi
INCOME PLUS 1.00 0.20 -0.04 0.00
TOP40TR 0.09 1.00 0.10 -0.16
ALBITR 1.00 0.01
STeFi 1.00
Mean
Annual
STD
Deviation
Sharpe
Ratio
INCOME PLUS 9.44% 1.97% 1.00
TOP40TR 9.30% 16.56% 0.11
ALBITR 8.01% 7.94% 0.09
STeFi 7.28% 0.49%
BCI Income Plus Fund
Calendar year since 1 January 2015
Source : Morningstar, Bloomberg 1 January 2007 – 31 July 202024
BCI INCOME
PLUSALBITR TOP40TR STeFi
2015 10.32% -3.93% 7.52% 6.46%
2016 8.99% 15.45% -1.60% 7.36%
2017 10.43% 10.26% 23.07% 7.52%
2018 9.95% 7.69% -8.31% 7.29%
2019 10.24% 10.32% 12.41% 7.29%
2020 1.97% 0.97% 2.81% 3.62%
Performance in perspectiveMTD and YTD to 13 August
Source : Bloomberg, internal 3 August 2019 – 13 August 202025
13 August 2020 BCI INCOME
PLUS TOP40 TR ALBI TR STEFI
Month to Date 0.71% 3.34% 0.38% 0.17%
Year to Date 2.70% 6.24% 1.35% 3.79%
Year on Year 6.59% 11.05% 5.03% 6.57%
Partial attribution YTDBroad based widening of spreads
Source : Bloomberg, internal 31 December 2019 – 13 August 202026
InstrumentAverage
Weight
YTD
Performance
YTD
Contribution
Current Implied
Spread (As marked)
Fairtree Global 5.34% -5.71% -0.30% 338bps
FRC322 3.39% -10.00% -0.34% 448 bps
AGL03 2.79% -6.80% -0.19% 375bps
Landbank 1.63% -8.08% -0.13% 470 -700bps
SBT206 1.65% -6.11% -0.10% 380 bps
SOLB01 1.03% -7.55% -0.08% 550 bps
Multi Asset Income Fund rankings1 Year Performance 5.88%
Source : Morningstar 31 July 202027
Multi Asset Income Fund rankings2 Year Performance 7.97%
Source : Morningstar 31 July 202028
Multi Asset Income Fund rankings3 Year Performance 8.94%
Source : Morningstar 31 July 202029
Multi Asset Income Fund rankings5 Year Performance 9.25%
Source : Morningstar 31July 202030
Agenda
Business unit
Targets and Objectives
Portfolio Risk
Credit Markets
Performance
Conclusion
Stable Alpha generation over an extended period
Volatility is to be expected in all risk markets from time to time
Current volatility has not changed the investment thesis or process.
Thank you
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Disclaimer
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