Newton Boulevard Investment Program Performance Report June 2017

Transcription

1 Newton Boulevard Investment Program Performance Report June MARKETS June was a very tricky month for equities, bonds and commodities at the same time. Equity markets finished the month in general lower. The STOXX 600 Index and the FTSE lost more than 3%, the NASDAQ and DAX were down almost 4%. Especially the technology sector and more generally stocks where valuations were seen a bit stretched have been hit very hard. In short: Value outperformed momentum. Oil retreated towards 40$ per Barrel before rebounding towards mid-40 levels. Any announcement by OPEC to restrict output fades relatively quickly the market is flooded with oil for now. Interest rates moved up sharply (25 BPS in the case of Germany and the UK), especially in the last days of June, after Central banks speaking in a slightly more hawkish tone. The ECB might announce tapering, the slow withdrawal of stimulus through the purchase of bonds. But investors were rattled as they interpreted the news way too negative. Before the activity recedes further in the coming summer weeks we will have companies reporting. Judging from the PMI indices and activity reports the expectations are positive, it will be interesting to see whether they can be fulfilled.

2 2 NEWTON BOULEVARD INVESTMENT PROGRAM: PERFORMANCE Newton Boulevard Investment Program gained 16 BPS in June, bringing the performance YTD to +232 BPS. The EQUITY BOTTOM UP strategies had a difficult month. After a decent run the last two weeks took the performance down. The relatively best performing was EURO with 90 BPS, followed by the JP (39 BPS). The UK lost 235 BPS and the US 37 BPS. The EQUITY TOP DOWN strategies gained 58 BPS. While the Equity Regions strategy gained 170 BPS the sector strategy was down 109 BPS. GOVERNMENT BOND futures did well during the month, gaining 111 BPS. The Fundamental Strategy was up 157 BPS, while the Contrarian strategy made 66 BPS. The CREDIT STRATEGIES were positive with 191 BPS. SPECIALIST MANAGERS lost 60 BPS on the month. The ALTERNATIVE STRATEGIES were also down 24 BPS. While the COMMODITIES STRATEGY made 230 BPS the VIX strategy suffered and lost 278 BPS /2017 LAST 3M YTD Vol. p.a. GOVIES 1,11 % 1,12 % 1,05 % 1,85 % GOVT- Contrarian 0,66 % -0,30 % -1,52 % 3,14 % GOVT-Fundamental 1,57 % 2,54 % 3,62 % 2,38 % CREDIT 0,19 % 0,80 % 1,55 % 1,51 % EQUITIES -0,06 % 2,76 % 4,27 % 4,29 % EQUITY BOTTOM UP -0,22 % 3,79 % 5,56 % 5,28 % US (SP100 + NDX) -0,37 % 5,84 % 11,02 % 8,76 % UK (FTSE) -2,35 % 1,03 % 0,53 % 9,71 % EURO (SXELC) 0,90 % 4,52 % 7,10 % 6,75 % JP (NK225) 0,39 % 3,33 % 3,10 % 7,65 % EQUITY TOP DOWN 0,58 % -1,36 % -0,93 % 5,36 % EQ REGIONS 1,70 % 0,01 % 3,50 % 8,36 % EQ SECTORS -1,09 % -3,42 % -7,56 % 8,37 % ALTERNATIVES -0,24 % -0,89 % -1,07 % 3,20 % SPECIALIST MANAGERS -0,60 % -0,23 % 0,70 % 1,70 % NEWTON STRATEGIES IP 0,16 % 1,47 % 2,32 % 1,87 % The Value-at-Risk (99%, 1W) stands at 1.6%. In general the risk capacity utilization was taken down during the month with rising hedging levels. Scaled to a horizon of 1 year and 95% level of confidence the Value-at-Risk (95%, 1Y) of 7.2%.

3 3 BCB NEWTON STRATEGIES FUND Our fund lost 178 BPS in June. This is due to the fact that half of it is invested in bottom up equity strategies. Specifically on the investment strategies we run in the fund: The CREDIT STRATEGY investments were positive during the month. In comparison with the Euro Aggregate Index we still do better since launch of the fund. The bottom up EQUITY STRATEGY EURO had a negative month, we gave up a nice gains in last week as the stocks we own were suffering in the sell-off more than the index which forms a part of the hedge. In comparison with the Blackrock European Diversified Equity Hedge Absolute return fund we still compare favorably in a difficult environment for non-directional equity strategies. The second bottom up EQUITY STRATEGY US also had a negative June. We lost in the last week in the equity positions more than what we gained through the hedge. In comparison with the Blackrock America Diversified Equity Hedge Absolute return fund we still perform reasonably well.

4 The SPECIALIST MANAGERS investments also lost over the month, driven by losses in the last week of June. Worst performing was the APUS Capital Revalue fund which we added just a week before month end, and the Ossiam Global Multi Asset ETF, also a new investment. Best performers were the M&G Optimal Income fund. The performance is broadly in line with the HFRX Global Hedge Fund Managers index in EUR as the comparison shows. The NAV of the fund stands at as of June 30 st, yielding a performance of -178 BPS in June. The performance YTD is now -225 BPS. The value at risk (99%,1W) is currently at 1.03%, lower than in the full investment program. JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Return Volatility ,05 % -0,30 % -0,61 % -0,56 % -0,98 % -3,46 % 0,97 % ,78 % 0,26 % 0,15 % -0,50 % 0,40 % -1,78 % -2,25 % 2,62 % With the launch of the fund in a difficult market environment we were not lucky and are not happy with the performance. The comparison with peers shows the difficult environment for non- directional investments.

5 Dr Peter J Mathis Chief Investment Officer & Partner BCB & Partners S.A. Gérants de fortune Blvd de la Pétrusse L-2320 Luxembourg Direct dial: GSM : Fax: Mail to: PMathis@bcblux.lu