Investment Objective
LO Funds - Event Convexity is an actively managed UCITS portfolio. Its strategy focuses on building deeply asymmetric risk profiles around events using intra-capital structure dislocations. The investment approach seeks to enhance traditional fundamental event driven analysis with the convexity available from the combination of equities, credit and related financial derivatives. The strategy employs a methodical and disciplined investment process, which begins with unique screening and analysis systems to filter the universe of company events and dislocations, and results in a concentrated portfolio centered around trade construction. Risk philosophy is at the core of the Fund, embedding downside protection into all phases of the investment process and portfolio construction, further enhanced by the oversite of LOIM’s dedicated risk management team.
Latest Meeting Note
Meeting 08 Nov 2019
The PM (Christophe Thomas) has 20+ years experience of focusing on convexity and trade structuring, with the current offshore fund launched in 2017 and the UCITS version launched early 2019. The UCITS targets returns of 8-10% from a mult... Read more
The PM (Christophe Thomas) has 20+ years experience of focusing on convexity and trade structuring, with the current offshore fund launched in 2017 and the UCITS version launched early 2019. The UCITS targets returns of 8-10% from a multi-event investment approach. There is a big focus on trade construction as the strategy aims to create option-like return profiles on corporate events by combining different parts of the capital structure (e.g. long convertible notes, short matched duration CDS). The strategy looks to benefit from the opportunity set that may arise as different market participants (merger arb, credit, converts, equity vol. managers) often price the same corporate event differently. Trades are built with structural asymmetry, seeking a return profile of +15% / -3%. The average holding period for a position is about 6 months, however there may be wide dispersion around this.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | 0.3 | 0.5 | 0.8 | 0.9 | 0.6 | 0.5 | 0.8 | 0.2 | 0.4 | 0.8 | 0.5 | 0.6 | 1.0 | |
| 2018 | 0.6 | 0.2 | 0.7 | 0.7 | 0.5 | 0.5 | 0.7 | 0.5 | 0.6 | 0.7 | 0.5 | 0.5 | 0.7 |
