Investment Objective
The Lumyna - BlueCove Alternative Credit UCITS Fund invests in a market neutral long-short portfolio of individual instruments across global liquid credit and rates markets including exposure to long-short corporate bond investments. The fund seeks to generate attractive risk adjusted returns with low correlations to broad equity and fixed income credit markets.
Latest Meeting Note
Meeting 17 Mar 2023
The Lumyna - BlueCove Alternative Credit UCITS fund is a systematic market neutral strategy which invests across a broad investment universe of liquid developed market credit in bond and CDS instruments. The fund is built around a core l... Read more
The Lumyna - BlueCove Alternative Credit UCITS fund is a systematic market neutral strategy which invests across a broad investment universe of liquid developed market credit in bond and CDS instruments. The fund is built around a core long/short, market neutral portfolio of single name credits, designed to generate alpha from inefficiencies in the Investment Grade and High Yield sectors. This is achieved by using a set of proprietary signals that combine sentiment indicators, valuations and fundamentals. This book is then complemented by an asset allocation overlay, designed to enhance core portfolio returns via long or short directional credit exposures, implemented via CDS indices, US Treasury futures and an IR/FX overlay, designed to provide the fund with additional and diversified sources of returns. The final portfolio, typically, includes 800+ issues, evenly split between longs and shorts, and is run on a sector neutral basis, i.e. +/-10%. Positions are sized based on an optimisation process which aims to efficiently translate Alpha expectations, net of transaction costs, into portfolio positions.
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 0.9 | 1.0 | 0.3 | 0.8 | 0.3 | 0.3 | 0.0 | 0.3 | 0.2 | 0.5 | 0.8 | 0.4 | 0.1 | |
2022 | 0.0 | 0.7 | 1.0 | 0.5 | 0.5 | 0.4 | 0.3 | 0.9 | 0.1 | 0.7 | 0.1 | 0.8 | 0.9 |