TwentyFour Asset Management Asset Backed Securities

Vontobel Fund - TwentyFour Monument European Asset Backed Securities

ISIN
LU1602255561
Valor
36484858

Fund strategy

Investment objective

This bond fund aims to provide an attractive level of income relative to prevailing interest rates, while maintaining a strong focus on capital preservation and respecting risk diversification.


Key features

The fund invests with a focus on Europe in fixed-income securities, particularly asset-backed securities, in various currencies of diverse issuers of good quality (at least low investment grade). The fund can use derivative financial instruments for hedging purposes.


Approach

The experienced and diverse investment team focuses initially on capital preservation, avoiding defaults and mitigating volatility, as well as accessing an attractive revenue stream on a risk-adjusted basis. The team drives this by a thorough analysis of fundamental credit risk as well as by the liquidity profile of each position and the relative value present in the portfolio compared to the market. The team extensively mitigates interest-rate and currency risks by investing solely in floating-rate bonds and hedging currency exposures.

100.17
NAV
-2.45%
Performance YTD
As at Aug 04 2020

Why invest?

  • ABS normally offers a higher yield for a given rating or maturity than more mainstream investments such as government or corporate bonds
  • ABS are virtually all floating rate, meaning they are naturally expected to be far less volatile than fixed rate bonds in periods when interest rates are rising
  • Built-in investor protection features such as credit enhancement, loss-absorbing reserve funds and the legal separation of issuer and asset pool
  • High transparency with transaction reports detailed enough to view the performance of each individual loan in the asset pool, enabling investors to conduct their own research
  • ABS remains a largely under-researched and poorly understood asset class, meaning those that put in the effort and expertise can be rewarded with a complexity premium

A fund that invests across the full range of investment grade European ABS, using the natural advantages of the asset class and a vastly experienced team to target stable, attractive returns.

Fund characteristics

  • No capital guarantee or principal protection – capital preservation is sought by high conviction stock selection from experienced ABS specialists
  • Bonds must be rated at least BBB or equivalent at time of investment
  • The Fund is typically happy to hold all investments to maturity, though it trades based on relative value seeking to generate alpha for investors
  • Flexibility to invest across the full spectrum of products, yielding greater access to transactions and ability to influence their pricing and/or structure
  • Large amount of resources devoted to due diligence, meetings with servicers and CLO managers, and forensic internal modelling

Investment universe

The European ABS market is split broadly into four areas, though certain sub-sets of these sectors are considered important distinct products in their own right, such as Auto ABS and Credit Card ABS.

  • Residential Mortgage-Backed Securities (RMBS) are backed by pools of mortgage loans created by banks and other financial institutions. They represent the largest component of the European ABS market and are typically the most liquid
  • Consumer Receivables include a large variety of unsecured consumer debt types that have been securitized, including auto loans, credit card receivables and unsecured personal loans
  • Commercial Mortgage-Backed Securities (CMBS) are mortgage-backed securities backed by commercial rather than residential mortgages, using structures similar to other forms of ABS
  • Collateralized Loan Obligations (CLOs) are pools of corporate loans refinanced in a securitized structure, where pools can be static or actively managed by a specialist loan manager

Investment team

From the beginning we built our team of investment professionals to reflect the structure of today’s fixed income market. From structuring and ratings specialists to trading and investment banking, we have people who know the bond markets inside out. Our team is deliberately drawn from a diverse range of nationalities and cultures. This is how we look to escape the echo chamber, using diverse insights from people who are not having the same conversations and reading the same press.

All data is as at Jun 30 2020 unless otherwise indicated.

Daily Performance

Periodic Performance

1M YTD 3Y SI
I EUR 1.4% -3.3% -0.2% -0.7%

Rolling Performance

Jul 01 2015 - Jun 30 2016 Jul 01 2016 - Jun 30 2017 Jul 01 2017 - Jun 30 2018 Jul 01 2018 - Jun 30 2019 Jul 01 2019 - Jun 30 2020
I EUR NA NA 2.4% -0.2% -2.9%

Annual Performance

Risk Data

Portfolio
Volatility 4.6%
Sharpe ratio 0.0
Interest rate duration 0.0
Credit duration 2.5
Average rating AA-
Number of positions 118.0
[3 years annualized]
Past performance is not a reliable indicator of current or future performance. Performance data does not take into account any commissions and costs charged when shares of the fund are issued and redeemed, if applicable. The return of the fund may go down as well as up due to changes in rates of exchange between currencies. The value of the money invested in the fund can increase or decrease and there is no guarantee that all or part of your invested capital can be redeemed.

All data is as at Aug 04 2020 unless otherwise indicated.

Fund data
Portfolio Manager TwentyFour Asset Management LLP
Fund Domicile Luxembourg
Fund Currency EUR
Share Class Currency EUR
End of fiscal year 31 August
Share Class Launch date Jun 27 2017
Distribution type Accum
Swinging single pricing Yes
Fund Registrations AT, CH, DE, ES, FI, FR, GB, IT, LI, LU, NL, NO, SE, SG
Share Class Registrations CH, DE, ES, FI, FR, GB, IT, LI, LU, NL, NO, SE, SG
Nav Information
Highest since launch 103.29
Lowest since launch 94.41
Fund volume in mln. EUR 222.82
Share class volume in mln. EUR 126.26
Fees And Expenses
Management fee 0.50%
TER 0.63% (Feb 28 2020)
Identifiers
ISIN LU1602255561
Valor 36484858
Bloomberg VONTFIE LX
WKN A2DTWS
Parties
Depository RBC Investor Services Bank S.A.
Management Company Vontobel Asset Management S.A.
Swiss Paying Agent Bank Vontobel AG
Swiss Representative Vontobel Fonds Services AG

Available Share Classes

Share class Currency ISIN Distrib. Type Launch date Management fee TER TER Date
A EUR LU1882612564 Dist Retail Nov 05 2018 1.00% 1.17% Feb 28 2020
AH (hedged) USD LU1882612994 Dist Retail Nov 05 2018 1.00% 1.23% Feb 28 2020
AH (hedged) CHF LU1882612648 Dist Retail Nov 05 2018 1.00% 1.23% Feb 28 2020
AH (hedged) GBP LU1882612721 Dist Retail Nov 05 2018 1.00% 1.23% Feb 28 2020
HI (hedged) USD LU1602256700 Accum Institutional Jun 27 2017 0.50% 0.69% Feb 28 2020
HI (hedged) CHF LU1602256296 Accum Institutional Jun 27 2017 0.50% 0.69% Feb 28 2020
HN (hedged) CHF LU1882613299 Accum Retail Nov 05 2018 0.50% 0.73% Feb 28 2020
HN (hedged) USD LU1882613455 Accum Retail Nov 05 2018 0.50% 0.73% Feb 28 2020
HN (hedged) GBP LU1882613372 Accum Retail Nov 05 2018 0.50% 0.73% Feb 28 2020
I EUR LU1602255561 Accum Institutional Jun 27 2017 0.50% 0.63% Feb 28 2020
N EUR LU1882613026 Accum Retail Nov 05 2018 0.50% 0.67% Feb 28 2020
Click here to see an overview of our shareclass naming convention.

* TER includes performance fee where applicable

All data is as at Jun 30 2020 unless otherwise indicated.

Rating Structure

Major Sectors

Document Date DE EN ES FR IT
Factsheets & Commentaries
Factsheet Jun 2020
Monthly Commentary Jun 2020
KIIDs
KIID Jul 2020
Legal Documents
Articles of Association Apr 2016
Notification to Investors Jan 2020
Sales Prospectus Dec 2019
Financial Reports
Annual Report Aug 2019
Dividend Payout Jan 2019
Semi-Annual Report Feb 2020
Dealing Information
Holiday Calendar 2020 Jan 2020
List of Active Retail Share Classes Dec 2018
Insights
Solvency II and Asset Backed Securities Nov 2017
Policies
Sanctioned Countries Sep 2016
Shareclass Naming Convention Nov 2019
  • Limited participation in the potential of single securities

  • Success of single security analysis and active management cannot be guaranteed

  • It cannot be guaranteed that the investor will recover the capital invested

  • Derivatives entail risks relating to liquidity, leverage and credit fluctuations, illiquidity and volatility

  • Interest rates may vary, bonds suffer price declines on rising interest rates

  • Investments in foreign currencies are subject to currency fluctuations

  • The structure of ABS/MBS and the pools backing them might be intransparent which exposes the subfund to additional credit and prepayment risks (extension or contraction risks) depending on which tranche of ABS/MBS is purchased by the subfund

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