Investment Objective
Lyxor/Chenavari Credit Fund is a primarily European, absolute return, liquid, long/short, multi-strategy credit fund with dynamic allocation to three sub-strategies in liquid instruments. It targets mid-single digit net returns p.a. with low volatility and with a margin of safety by investing in diversified credit strategies. The research-driven fundamental investment approach seeks alpha opportunities with low correlation to credit markets within a narrow risk budget and with active risk management.
Latest Meeting Note
Meeting Note 29 May 2015
MB/GR met with Demian Duwe Brasil, PM of the credit long short strategy which will shortly be launching in UCITS format with Lyxor. This is a fundamental credit strategy that is managed to be spread neutral and exhibits low correlation a...
MB/GR met with Demian Duwe Brasil, PM of the credit long short strategy which will shortly be launching in UCITS format with Lyxor. This is a fundamental credit strategy that is managed to be spread neutral and exhibits low correlation and beta to credit indices. There are three distinct trading books in the portfolio; the ‘convexity strategy’ derives returns from selling CDS protection to banks on tranches of credit indices and structured credit instruments, hedged with credit spread options. The second book is traditional corporate relative value, with the third book being financials where the PM is looking to exploit opportunities in European financials across the capital structure. The strategy has been managed in offshore format since late 2008 delivering annual net returns of 12.7% with a volatility of 5.4% and a maximum drawdown of 6.4%. The track record is undeniably strong and the team and investment process have strong pedigree. In short, we view this as a strong addition to the UCITS universe.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.7 | 0.8 | 0.7 | 0.5 | 0.7 | 0.9 | 0.3 | 0.0 | 0.3 | 0.3 | 0.8 | 0.7 | 0.7 | |
| 2022 | 0.3 | 0.6 | 0.1 | 1.0 | 0.3 | 0.7 | 0.3 | 0.2 | 0.2 | 0.6 | 0.2 | 0.9 | 0.1 |
