Sandra Crowl, CAIA. Member of the Investment Committee P R O F E S S I O N A L S O N L Y

Transcription

1 Sandra Crowl, CAIA Member of the Investment Committee 1

2 Carmignac P. Unconstrained Global Bond Investment Philosophy 2

3 Carmignac P. Unconstrained Global Bond: An Unconstrained Approach to Face Current Fixed Income Challenges Interest Rate Strategies 1st quartile over 1, 2 and 5 years Wide modified duration [-4; +10] Credit Spread Strategies Average minimum rating: BBB- Currency Strategies Performance driver & Risk management tool 1 WIDE MODIFIED DURATION RANGE 2 FLEXIBLE ALLOCATION 3 FREE FROM GEOGRAPHICAL AND SECTOR CONSTRAINS Credit and currencies Short Long Developed & Emerging Markets Morningstar Rating : November 2017 Morningstar, Inc. All rights reserved. The information contained herein: is proprietary to Morningstar and/or its content providers; may not be copied or distributed; and is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. The reference to a ranking 3 or prize, is no guarantee of the future results of the UCITS or the manager.

4 Unique Approach, Reflecting our Fixed Income Philosophy 1) TOP-DOWN 2) BOTTOM-UP 3) RISK MANAGEMENT Central macro-economic scenario Fundamental economic analysis Quantitative and qualitative view on markets Identifying potential strategies Implementation of strategies through a flexible and active approach Bond picking Instrument selection Alpha strategies Portfolio construction in line with our macro views + Full use of risk management tools and correlation studies Main limits (on top of standard UCITS limits) Modified duration: [-4; +10] Contingent convertible bonds: Max 20% Credit derivatives: Max. 10% Structured credit: Max 10% Average minimum rating: BBB- Distressed securities: Max 5% 4

5 Global, Non-benchmarked and Flexible Approach We actively manage our exposure to performance drivers according to our macro scenario Overall modified duration -4 04/10 04/11 04/12 04/13 04/14 04/15 04/16 04/ FX exposure and cash equivalent can be used to manage risks Japanese Yen Exposure 04/10 04/12 04/14 04/16 50% 40% 30% 20% 10% 0% 04/10 04/11 04/12 04/13 04/14 04/15 04/16 04/17 EM government bonds (% of total assets) 5 50% 40% 30% 20% 10% 0% Cash and bonds < 1 year (% of total assets) -10% 04/10 04/11 04/12 04/13 04/14 04/15 04/16 04/17 Sources: Top: Carmignac, 07/12/2017 Bottom: Carmignac, 30/11/2017

6 Track Record and Recent Performances 6

7 Carmignac P. Unconstrained Global Bond: Contribution to Performance from a Wide Range of Drivers Since Arrival of Charles Zerah Performance drivers from 26/02/2010 to 30/12/2016 (in %) Rates Strategies G4 Sovereigns 4.51 Peripheral Sovereigns 9.14 Oceania Sovereigns 1.64 Emerging Sovereigns 5.13 Others Credit Strategies Financials 7.75 Energy & Materials 5.97 Consumer Discretionary 1.67 CDS Hedges 1.21 Structured Credit 0.29 Others 1.76 Currency Effect US Dollar Japanese Yen 3.92 Emerging currencies Others* Net Performance Peripheral sovereign bonds (Ex: Italy, Spain) Financial credit, led by contingent convertibles and subordinated Developed currencies strategies (Ex: US Dollar, Japanese Yen) Emerging market currencies (Ex: BRL) A EUR Share Class *Including among others AUD, CAD, CHF and GBP Source: Carmignac, 30/12/2016. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor. The return may increase or decrease as a result of currency fluctuations

8 Carmignac P. Unconstrained Global Bond: 2017 Performance (in %) Fund Ref. ind Rates Strategies G4 Sovereigns Peripheral Sovereigns 1.16 Oceania Sovereigns Emerging Sovereigns 2.42 Others Credit Strategies Financials 1.74 Energy & Materials 0.58 Consumer Discretionary 0.03 Structured Credit 0.79 CDS Hedges Others 0.16 Currency Effect US Dollar Yen AUD, CAD & NZD 0.13 EM GBP Others Net Performance y volatility*: 2.9% A EUR Share class Source: Carmignac, 29/12/2017 *Volatility calculation based on weekly returns **JP Morgan Global Government Bond Index (JNUCGBIG), coupon reinvested Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee acquired to the distributor). The return may increase or decrease as a result of currency fluctuations

9 Carmignac P. Unconstrained Global Bond: Strong Long Term Track Record Year Performance as at 30/11/2017 Carmignac P. Unconstrained Global Bond % (1) Global Bond Morningstar Category +9.89% (3) Reference Indicator (2) +9.51% years Overall Morningstar rating (1) A EUR Share Class (2) JP Morgan Global Government Bond Index (JNUCGBIG), coupon reinvested (3) Morningstar Rating : November2017 Morningstar, Inc. All rights reserved. The information contained herein: is proprietary to Morningstar and/or its content providers; may not be copied or distributed; and is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Source: Carmignac, 30/11/2017. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). The return may increase or decrease as a result of currency fluctuations. 9

10 The Strength of an Unconstrained Approach Carmignac P. Unconstrained Global Bond vs. Reference indicator from 31/12/2015 to 29/12/2017 Opportunistic stance to unearth performance drivers across the globe Profiting from rising rates? Yes, we can! Carmignac P. Unconstrained Global Bond A Eur Acc +9.57% (1) A change in regime successfully managed through our flexible and unconstrained approach Reference Indicator -1.84% (2) (1) A EUR Share Class (2) JP Morgan Global Government Bond Index (JNUCGBIG), coupon reinvested Source: Carmignac, 29/12/2017 Past performance is not a reliable indicator of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). The return may increase or decrease as a result of currency fluctuations 10

11 A Fund that Provides Decorrelation to Traditional Market Indices and enables Diversification Correlation matrixes over Charles Zerah tenure, March 2010 Major Equity Indices Major Fixed Income Indices Carmignac Pf Unconstrained Global Bond A EUR Acc 1,00 1 Carmignac Pf Unconstrained Global Bond A EUR Acc 1,00 2 MSCI World NR EUR 0,09 1,00 2 JPM EMBI Global Diversified Hedge EUR TR -0,07 1,00 3 MSCI Europe NR EUR -0,11 0,85 1,00 3 BBgBarc Euro Agg Bond TR EUR 0,47 0,40 1,00 4 S&P 500 TR EUR 0,17 0,95 0,67 1,00 4 BofAML Global High yield TR Hdg EUR -0,22 0,72 0,17 1,00 5 MSCI Japan NR EUR 0,23 0,68 0,48 0,61 1,00 5 BBgBarc Gbl Agg Corp TR Hdg EUR 0,31 0,72 0,72 0,59 1,00 6 MSCI EM NR EUR -0,02 0,67 0,62 0,55 0,43 1,00 6 Citi WGBI Hdg EUR 0,59 0,33 0,84-0,08 0,67 1,00 11 Source: Carmignac, 31/10/2017 Past performance is not a reliable indicator of future performance. Performances are net of fees (excluding applicable entrance fee due to the distributor). The return may increase or decrease as a result of currency fluctuations. The performance refers to share class A EUR acc.

12 Investment Views 12

13 Central Bank Liquidity Injections have Peaked Annual change in the balance sheets of the main central banks ($ billion) 3,000 Projections 16 2,500 2,000 1,500 1, , In trillion of dollars FED ECB BOJ PBOC Total G4 overall stock 13 Source: Carmignac, 31/10/2017

14 Manufacturing PMI output index (st. dev. from mean) Eurozone Recovery: Solid and Broad-Based Manufacturing PMI output index (standard deviation from mean) Eurozone World ex EZ 14 Source: Markit, Macrobond, BNP Paribas, September 2017

15 Germany: Yields Are Disconnected from Fundamentals German 10-year yield +2 standard deviations +1 standard deviation Fair value Market value -1 standard deviation -2 standard deviations Source: Carmignac, 31/10/

16 Risk Management: We Are Keeping Our Hedges Against a Rise in European Core Yields 5 4 Carmignac P. Unconstrained Global Bond 3 2 Fund's total modified duration Modified duration to core European rates /16 01/17 02/17 03/17 04/17 05/17 06/17 07/17 08/17 09/17 10/17 11/17 12/17 12/17 16 Source: Carmignac, 04/01/2018

17 Italy: Benefitting from the Eurozone Catch-Up 1% Real GDP growth rate (qoq) Italy 60 Manufacturing PMI Italy 0% 55-1% 50-2% 12/10 12/11 12/12 12/13 12/14 12/15 12/ /14 05/15 11/15 05/16 11/16 05/17 14% 12% 10% 8% Unemployment rate Italy Yield spread versus German 10-year (%) Ireland 0.21% Spain 1.04% Portugal 1.54% 6% 12/10 12/11 12/12 12/13 12/14 12/15 12/16 Italy 1.41% Greece 3.19% 17 Source: Bloomberg, 08/01/2018

18 Greece: Progress Should Bring the Risk Premium Down 55 Manufacturing PMI Greece /14 04/15 10/15 04/16 10/16 04/17 10/17 Unemployment rate Greece 30% 25% 20% 15% 10% 5% 01/04 10/05 07/07 04/09 01/11 10/12 07/14 04/16 Yield spread versus German 10-year (%) Ireland 0.21% Spain 1.04% Portugal 1.54% Italy 1.41% Greece 3.19% 18 Source: Left: Bloomberg, 31/10/2017 Right: Bloomberg, 08/01/2018

19 Credit 19

20 Liquidity Changes will Pressure Spreads CB securities purchases ($bn) vs US IG credit spread 12m chg (bp) Total CB Purchases $ IG 12m bp change Spread widening 20 Source: Citi Research, Why buying on impulse is soon regretted - The wave of credit driving markets has peaked, June National central banks, Citi research, Yield Book

21 Credit: Some Opportunities Remain on Contingent Convertible Bonds Matthew Williams Financials Analyst Eurozone credit spread (in bps) Contingent Convertible Bonds (CoCo Bonds) index High-yield corporate bonds index Source: Bloomberg, Merrill Lynch, 22/11/2017

22 Credit: European CLOs, a Broken Asset Class Florian Viros Credit Analyst CLO Spread vs itraxx Xover index % of loss-making tranches over the past 20 years EURO CLO 2.0,BBB EURO CLO 2.0, BB In Bps 1200 EURO CLO 2.0, B itraxx Crossover Global CLOs 1000 EMEA ABS,CMBS & RMBS Baa Aaa 800 US CMBS 600 Global CDOs (ex CLOs) 400 Global Structure Finance US Sub-prime RMBS 0% 20% 40% 60% 80% 100% 22 Sources: Left: Bloomberg, Citi Global Markets, 30/09/2017 Right: Goldman Sachs, November 2015

23 Emerging Market Debt 23

24 Emerging Debt: Valuations are More Attractive than in % Differential between nominal in emerging* and developed countries 5.5% 5.0% 4.5% 4.0% 3.5% «Taper tantrum» 3.0% 24 *Argentina, Brazil, Chile, Colombia, Czech Republic, Hungary, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Romania, Russia, South Africa, Thailand, Turkey, Uruguay Source: EM Advisors, 11/12/2017

25 Emerging Market Debt: Inflation is Converging toward DM 10 DM vs. EM Consumer Price Index (Annual YoY %) 8 Emerging Economies CPI (Annual YoY %) Developed Economies (OECD) CPI (Annual YoY %) 25 Source: Bloomberg, 30/09/2017

26 Currencies 26

27 Currencies: Euro Still Undervalued 1.60 EUR/USD vs. fair value Fair value EUR/USD EUR/USD current price Basket of European currencies used before the introduction of the euro Source: Carmignac, 30/09/2017

28 Underweight 10-15% Currencies: Long-Term Investors Have Readjusted Their Views on the Euro but Not Their Positions Asset allocation in euro as % Weight of euro forex reserves as % of forex reserves 45% 85% bn below peak 40% US investors (LHS) 80% % 20 30% 25% 2007 Eurozone investors (RHS) % 70% Sources: LHS: Deutsche Bank; IMF CIPS, 31/08/2017 Data from surveys carried out by the IMF. RHS: Deutsche Bank; Bloomberg Finance LP; IMF CIPS, 31/08/2017

29 Currencies: Long Positioning on the Euro Carmignac P. Unconstrained Global Bond net exposure to the euro 100% Euro exposure EUR/USD % % % 20% % Source: Carmignac, Bloomberg, 04/01/2018

30 Australia household debt service ratio (%) Canada household debt service ratio (%) Currencies: Long Dollar versus AUD & CAD AUD Households Face a Heavy Debt Burden if Rates Rise Actual debt service ratio Market-implied rates 2004 tightening Rapid tightening Constant rates The Same Applies for CAD Actual debt service ratio Market-implied rates 2004 tightening Rapid tightening Constant rates 30 Sources: Morgan Stanley, FX Strategy Liquidity Drives Returns, November 2017

31 Conclusion Upside risk to European safe haven yields and the Euro Convergence of spreads on peripheral especially Italian and Greek government bonds Attractive risk premium on emerging market debt 31

32 Positioning 32

33 Carmignac P. Unconstrained Global Bond: Portfolio Construction Peripheral gov. bonds: 433 bp Italy 224 bp Spain 78 bp Portugal 66 bp Greece 65 bp Credit: 75 bp Financial 20 bp Others 55 bp Structured Credit 4% Emerging market debt: 155 bp LATAM: 54 bp Including Brazil 18 bp Mexico 15 bp Argentina 13 bp OTHERS: 101 bp Including Turkey 22 bp India 18 bp Romania 17 bp Core gov. bonds: -559 bp Austria 83 bp EUR Swap Curve 5 bp Australia 3 bp US -62 bp Germany -588 bp Cash & T-Bills: 9% Total modified duration: NB: the list of portfolio composition is not exhaustive Source: Carmignac, 04/01/2018

34 Carmignac P. Unconstrained Global Bond: Portfolio Construction Carmignac P. Unconstrained Global Bond: net currency exposure EUR JPY BRL INR MXN IDR USD CLP GBP HUF CAD CZK Zar CHF AUD Portfolio composition can be changed anytime Source: Carmignac, 04/01/2018

35 APPENDIX 35

36 Charles ZERAH Fund Manager Global Fixed Income 2010 Carmignac Credit Agricole Asset Management, London Head of Emerging Market bonds Crédit Lyonnais Asset Management, Paris Senior Fund Manager, Emerging Market bonds Axa Investment Managers, Paris Junior Fund Manager, Emerging Market bonds 1995 Master in Banking and Finance DESS in Finance, University of Paris II Panthéon Assas 36

37 A Reinforced Team to Face Challenging Fixed Income Markets and to Boost Alpha Generation Portfolio Managers Rose Ouahba Head of Fixed Income Charles Zerah Fund Manager Keith Ney Fund Manager Carlos Galvis Fund Manager Julien Cheron Fund Manager Carmignac Patrimoine AUM: M Carmignac Court Terme AUM: 323M Analysts by performance driver Carmignac Portfolio Carmignac Sécurité Unconstrained AUM: M Global Bond AUM: 1 046M Carmignac Portfolio Emerging Patrimoine AUM: 826M Carmignac Portfolio Capital Plus AUM: 1 837M Carmignac Portfolio Capital Plus AUM: 1 837M Credit EM Debt Curve Multi-strategy Pierre Verlé Head of Credit Joseph Mouawad EM FI & Currencies Analyst Mattia Parolari Curve Analyst Nader Awada Multi-strategy Analyst Alexandre Deneuville Credit Analyst Florian Viros Credit Analyst James Blanning Quantitative Analyst 37 Source: Carmignac, 30/11/2017

38 DISCLAIMER This presentation is intended for professional clients. This document may not be reproduced, in whole or in part, without prior authorisation from the management company. This document does not constitute a subscription offer, nor does it constitute investment advice. The information contained in this document may be partial information, and may be modified without prior notice. Past performance is not necessarily indicative of future performance. Performances are net of fees (excluding possible entrance fees charged by the distributor). The analysis of financial instruments in this presentation was not prepared in accordance with applicable regulatory provisions regarding the independence of financial analysts. The Management Company is not subject to the prohibition of entering into transactions in connection with the relevant instruments before the presentation of this material. This material is presented for illustrative purposes only to point out certain instruments which are (or which were) in the portfolios of certain Carmignac funds, and it is does not aim to promote a direct investment in the instruments mentioned herein. The portfolios of Carmignac funds may change without previous notice. Access to the Funds may be subject to restrictions with regard to certain persons or countries. The Funds may not be offered or sold, directly or indirectly, for the benefit or on behalf of a "U.S. person", according to the definition of the US Regulation S and/or FATCA. The Funds present a risk of loss of capital. The risks and fees are described in the KIIDs (Key Investor Information Document).The Fund s respective prospectuses, KIIDs and annual reports are available at or through our representative and Paying Agent in Switzerland, CACEIS (Switzerland) SA, Route de Signy 35, CH-1260 Nyon. The KIID must be made available to the subscriber prior to subscription. Copyright: the information contained herein is proprietary to its content providers as indicated on each page. Non contractual document, completion achieved on 10/01/2018 CARMIGNAC GESTION Portfolio management company (AMF agreement n GP of 13/03/1997) Public limited company with share capital of 15,000,000 - RCS Paris B Place Vendôme Paris Tel : CARMIGNAC GESTION LUXEMBOURG Subsidiary of Carmignac Gestion UCITS management company (CSSF agreement of 10/06/2013) Public limited company with a share capital of 23,000,000 - R.C. Luxembourg B City Link -7, rue de la Chapelle L-1325 Luxembourg Tel: