CLOs: Lessons From The Past
The Outcome Driven strategies aim to deliver risk-adjusted returns for portfolios managed against a reference index, or which seek a defined targeted return. In order to do this, the team applies quantitative and qualitative methods, overlaying risk-based metrics with relative value indicators within a high-conviction approach. Portfolios are usually built predominantly from investment grade, fixed rate bonds, although the asset allocation decision into other assets such as high yield or ABS can be a key determinant of portfolio returns.
Data as at 12.31.2019
|QTD||YTD||1 year||3 years||5 years||Since Inception||3 years annualized||5 years annualized||Since inception annualized|
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)|
The Firm claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. The Firm has been independently verified for the periods January 1, 2011 through December 31, 2018. 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 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.
The Firm’s policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.
The Outcome Driven European Investment Grade (Absolute Return) Bond Composite invests primarily in Investment Grade corporate bonds. The assets within the IG Absolute Return Composite may be invested in [Sterling denominated] European securities, including Russia and may have up to 20% exposure to emerging markets, including Russia. The Composite may invest in financial derivative instruments for hedging and efficient portfolio management purposes. The Composite was created in December 2016. The Composite was formerly named Investment Grade Absolute Return Composite (to 2016).
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 0.25% 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 annualized ex-post standard deviation of the composite is not presented because 36 monthly composite returns are not 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.