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 31.03.2024
| QTD | YTD | 1 year | 3 years | 5 years | 10 years | Since Inception | 3 years annualized | 5 years annualized | Since inception annualized |
|---|---|---|---|---|---|---|---|---|---|
| 2.64% | 2.64% | 10.36% | 13.11% | 19.33% | 36.72% | 70.35% | 4.19% | 3.60% | 3.72% |
| 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 20212 | 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 | 4.92 | na | 2.83 | na | <5 | na | 209 | 2621 | 4023 |
| 2015 | -1.15 | -1.89 | na | 1.89 | na | <5 | na | 226 | 3957 | 5483 |
| 2016 | 5.24 | 4.46 | na | 2.44 | na | <5 | na | 212 | 5153 | 7811 |
| 2017 | 6.04 | 5.27 | na | 2.32 | na | <5 | na | 546 | 8267 | 11273 |
| 2018 | 0.34 | -0.34 | na | 2.13 | na | <5 | na | 944 | 11070 | 13957 |
| 2019 | 3.75 | 3.15 | na | 3.38 | na | <5 | na | 4922 | 14656 | 16229 |
TwentyFour Asset Management 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 has been independently verified for the periods 1 January 2011 through 31 December 2019. The verification report(s) is/are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.
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 UK 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 portfolios, calculating performance, and preparing compliant presentations 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).
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 highest fee schedule for the composite is 0.60% per annum.
A list of all composite descriptions 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.
Past performance does not guarantee future results. Performance is shown inclusive of net reinvested income. The value of invested monies can increase or decrease and there is no guarantee that all or part of your invested capital can be returned. The performance data do not take account of the commissions and costs incurred on issue and redemption.