The TwentyFour Investment Grade European ABS strategy invests across the full range of the European ABS market, using the natural advantages of the asset class and a vastly experienced team to target stable, attractive returns. The strategy covers the whole risk spectrum available and offers the diversification benefits many bond investors look for, from AAA rated prime retail mortgage-backed securities (RMBS) bonds to CCC rated tranches of commercial loan obligations (CLOs). The breadth and size of what we manage enables us to leverage our relationships with both issuers and banks, which can offer potentially material benefits in yield and structuring for the investors in our strategies. Our ABS team has been involved in the ABS market since the first European securitisations in the late 1980s.
Data as at 30.06.2024
| QTD | YTD | 1 year | 3 years | 5 years | 10 years | Since Inception | 3 years annualized | 5 years annualized | 10 years annualized | Since inception annualized |
|---|---|---|---|---|---|---|---|---|---|---|
| 2.13% | 4.82% | 9.80% | 14.80% | 20.22% | 36.97% | 73.97% | 4.71% | 3.75% | 3.20% | 3.80% |
| 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 3.99% | -5.97% | 15.17% | 4.85% | 4.52% | -2.22% | 4.54% | 6.23% | 1.52% | 5.06% | 1.10% | 2.34% | -2.04% | 10.96% |
Source: TwentyFour. Performance figures shown are of the GBP performance adjusted to take into account the impact of share class FX hedging from GBP to USD. Returns are presented on a mid-to-mid basis inclusive of net reinvested income and net of all expenses. Past performance is not a reliable indicator of future performance. The performance data do not take account of the commissions and costs incurred on issue and redemption. The value of an investment and the income from it can fall as well as rise as a result of market and currency fluctuations and you may not get back the amount originally invested. Composite performance is calculated using the weighted average daily performance of similar portfolios within the Composite, since the earliest inception date. All portfolios within the Composite are managed by the same team.
| Year | Composite Gross Return (%) | Composite Net Return(%) | Custom Benchmark Return (%) | Composite 3-Yr st Dev (%) | Benchmark 3-Yr st Dev (%) | Number of Portfolios | Internal Dispersion (%) | Composite Assets ($M) | Total GIPS Assets (£M) | Total GIPS Assets + Entity Assets (£M) |
|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | -4.85 | -5.56 | na | na | na | <5 | na | 79 | 515 | 983 |
| 2012 | 16.55 | 15.67 | na | na | na | <5 | na | 75 | 784 | 1415 |
| 2013 | 6.02 | 5.23 | na | 3.91 | na | <5 | na | 83 | 1616 | 2234 |
| 2014 | 5.70 | 4.87 | na | 2.87 | na | <5 | na | 209 | 2621 | 4023 |
| 2015 | -1.15 | -1.91 | na | 1.92 | na | <5 | na | 226 | 3957 | 5483 |
| 2016 | 5.24 | 4.47 | na | 2.48 | na | <5 | na | 212 | 5153 | 7811 |
| 2017 | 6.10 | 5.40 | na | 2.36 | na | <5 | na | 546 | 8267 | 11273 |
| 2018 | 0.64 | 0.03 | na | 2.15 | na | <5 | na | 944 | 11070 | 13957 |
| 2019 | 3.73 | 3.24 | na | 0.93 | na | <5 | na | 1325 | 14656 | 16229 |
| 2020 | 1.03 | 0.60 | na | 4.32 | na | <5 | na | 1253 | 18323 | 19941 |
| 2021 | 2.56 | 2.14 | na | 4.28 | na | <5 | na | 1535 | 22837 | 22837 |
| 2022 | -2.10 | -2.49 | na | 4.70 | na | <5 | na | 1077 | 17565 | 17565 |
| 2023 | 10.83 | 10.37 | na | 2.67 | na | <5 | na | 1342 | 17875 | 17966 |
TwentyFour Asset Management LLP claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. TwentyFour Asset Management LLP has been independently verified for the periods 1 January 2011 through 31 December 2021. The verification reports are available upon request. A firm that claims compliance with the GIPS standards must establish policies and procedures for complying with all the applicable requirements of the GIPS standards. Verification provides assurance on whether the firm's policies and procedures related to composite and pooled fund maintenance, as well as the calculation, presentation, and distribution of performance, have been designed in compliance with the GIPS standards and have been implemented on a firm-wide basis. Verification does not provide assurance on the accuracy of any specific performance report.
The Firm is defined as TwentyFour Asset Management LLP and all subsidiaries or affiliates and is a fixed income asset management firm established in 2008 and regulated by the Financial Conduct Authority. The Firm is defined to include assets managed across all global offices and includes both the institutional and wholesale lines of business.
TwentyFour Asset Management LLP’s policies for valuing investments, calculating performance, and preparing GIPS Reports are available upon request. Valuations are computed and performance results are reported in Great British Pounds.
The Investment Grade European ABS Composite intends to provide an attractive level of income relative to prevailing interest rates whilst maintaining a strong focus on capital preservation. The Composite is essentially exposed to fixed income, in particular ABS. The Composite was created in February 2018. The Composite was formerly named Investment Grade Asset Backed Securities (to 2016) and ABS European Investment Grade Bond Composite (to 2019). The Composite’s inception date is 01 September 2009.
No benchmark is presented because the composite’s strategy is unique and we believe that no benchmark that reflects this strategy exists.
Returns are presented Gross and Net of the actual Annual Management Charge (AMC). The composite uses the weighted average fee schedule for each portfolio and the weighted average fee schedule for the composite. There are no non-fee paying accounts within the composite. The fee schedule used for the composite is applicable to the prospective client or investor. The highest fee schedule for the composite is 0.82% per annum.
A list of all composite and limited pooled fund descriptions and a list of all broad distribution pooled funds is available upon request.
The number of portfolios and internal dispersion are not shown because there were five or fewer portfolios for all periods presented. The three year annualised ex-post standard deviation is not shown when there are less than 36 months of returns available. Net returns are used to calculate risk statistics such as internal dispersion and three-year annualized ex post standard deviation when shown.
Past performance does not guarantee future results. GIPS® is a registered trademark of CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein.