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- Marcia Casey
- 5 years ago
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32 EDM Ahorro Corporate Bonds Return Date: 31/12/2017 Snapshot Global Category Custodian / Administrator Auditor Domicile UCITS Morningstar Rating 3 Yr Morningstar Rating 5 Yr Fund s Data Inception Date Month End Price Fund Size Management Fee Base Currency ISIN Portfolio Characteristics Avg Eff Duration Avg Credit Quality Avg Coupon Avg Price Fund s Manager Comment Euro Fixed Income Banco Inversis SA KPMG Auditores S.L. EDM Ahorro 2,02 BB 3,09 102,31 Spain Yes ÙÙÙÙ ÙÙÙÙ 01/04/ , Euro ES In Europe, bond markets saw slightly negative returns in December, with declines in both corporate credit and sovereign debt. Over the course of the year, corporate credit performed better, with high-yield qualities performing best. German sovereign debt, meanwhile, was the worst performer among European bonds in In December, interest rates in Europe rebounded on all segments of the curve, for both core and peripheral sovereign debt. Interest rates on German and Spanish 10-year debt rose 12 and 14bps to 0.43% and 1.57%, respectively. Performance on the money market was mixed. The EURIBOR remained stable; the 3- and 12-month EURIBOR closed December at -0.33% and -0.19%, respectively. Interest rates on 3- and 12-month Spanish T-bills declined -0.55% and -0.52%, respectively. In Germany, the 3-month interest rate rebounded 25bps to -0.68%, while the 12-month equivalent climbed 9bps to -0.63%. Corporate credit had slightly negative results due, not to the widening of spreads, but to the sovereign s decline. Spreads remained stable or narrowed slightly on most European credit indices, and relative performance was therefore worse for the sovereign. In December, the European Itraxx Crossover CDS index held stable at 233bps, while the Itraxx Main (IG quality) narrowed 4bps to 44bps. The European high-yield index, BAML BB-B Euro HY, narrowed 3bps to 266bps, with a return of % for the month and closing 2017 up 6.40%. The fund s benchmark, the BAML 1-3yr. Broad Market Index, narrowed its spread 1bp to 35bps with a return of -0.16% for the month and closing 2017 with a decline of -0.09%. In December, we sold some bonds in USD and purchased floaters in euros, like Ford 2024 and VW We increased certain corporate bond positions to capitalise on momentary corrections, and we also bought the Volvo 2% 01/2025 primary. Performance Return 2,75 2,50 2,25 2,00 1,75 1,50 1,25 1,00 0,75 0,50 0,25 EDM Ahorro Category Average 5,27 BBB Cash % 3,40 188,43 Equity % 2, YTD Asset Allocation Bond % Other % 1,74 EDM Ahorro 28,87 0,38 70,74 0,08 0,08 Category Average 16,98 0,01 81,25 1,76 % Government 5,2 Municipal 0,0 Corporate 59,4 Securitized 0,0 Cash & Equivalents 29,3 Derivative 6,1 Total 100,0 2,50 0,67 1,45 1,45 0,25 0,25 Europe Diversified Bond - Short Term (Category) Morningstar Style Box Morningstar Fixed Income Style Box Fixed-Income Stats Ltd Mod Ext Top 10 Holdings Grifols Sa 3.2% Telecom Italia Spa 5.25% Caixabank Sa High Med Low Average Eff Duration 1,7 Average Eff Maturity - Average Coupon 4,4 Average Price 102,0 Average Credit Quality Maturity Date Coupon % Position Market Value (mil) BBB Portfolio Weighting % 01/05/2025 3,20 4,06 1,66 10/02/2022 5,25 3,61 1,47 14/11/2023 3,16 1,29 Sector Breakdown EDM Category Ahorro Average Bbva Sub Cap Unip 11/04/2024 3,14 1,28 Government % Government Related % Municipal Taxable % Municipal Tax-Exempt % Bank Loan % 2,65 2,56 22,26 5,26 0,02 0,03 Maturity Breakdown 1-3 Yr % EDM Ahorro 17,37 Category Average 48,88 Gestamp Fdg Lu 3.5% Tesco Corp Treas 1.375% 15/05/2023 3,50 3,14 1,28 01/07/2019 1,38 3,06 1,25 Convertible % Corporate Bond % Preferred Stock % Agency Mortgage-Backed % Non-Agency Residential Mortgage-Backed % Commercial Mortgage-Backed % Covered Bond % 59,42 0,23 47,70 0,35 2, Yr % 5-7 Yr % 7-10 Yr % Yr % 32,69 31,66 10,68 29,13 3,62 2,55 0,69 Acciona Fin Filial 1.671% Repsol Intl Financ 2.125% 29/12/2019 1,67 3,02 1,23 16/12/2020 2,13 2,64 1,08 Asset-Backed % Cash & Equivalents % Swap % Forward/Future % Option/Warrant % 29,30 6,08 0,54 21,29 0,01 0,05 0, Yr % Yr % 30+ Yr % 0,18 0,82 1,39 Ence Energia Y Cel 5.375% Bankia S.A. 01/11/2022 5,38 2,63 1,07 22/05/2024 2,60 1,06 EDM Asset Management Tel edm@edm.es
33 EDM Ahorro Corporate Bonds Return Date: 31/12/2017 Investment Growth Time Period: 01/11/2013 to 31/12/ ,5 106,8 106,0 105,3 104,5 103,8 103,0 102,3 101,5 100,8 100,0 12/ / / / / / / / /2017 EDM Ahorro Europe Diversified Bond - Short Term (Category) Historical Asset Class Breakdown Time Period: 01/03/2009 to 31/12/ ,0 100,0 80,0 60,0 40,0 20,0 0, Government % Municipal % Corporate % Securitized % Cash & Equivalents % Derivative % Country Exposure -10,0 0,0 10,0 20,0 30,0 40,0 Statistical Risk % Czech Republic 2,3 Denmark 2,1 Finland 1,3 France 7,7 Germany 2,9 Italy 6,6 Mexico 1,4 Netherlands 14,7 Portugal 8,2 Spain 31,8 Sweden 2,7 United Kingdom 3,5 United States 14,7 Unknown 0,0 Total 100,0 Credit Quality % AAA 7,9 AA 5,9 A 47,5 BBB 36,0 BB 1,6 B 0,0 Below B 0,0 Not Rated 1,0 Total 100,0 Time Period: 01/11/2013 to 31/12/2017 Alpha Beta Std Dev Tracking Error Sortino Ratio Correlation Sharpe Ratio EDM Ahorro -5,31 0,27 1,42 10,41-0,28 0,31-1,23 Category Average -5,62 0,22 0,68 10,70-0,42 0,26-3,95 EDM Asset Management Tel edm@edm.es
34 EDM Ahorro Corporate Bonds Return Date: 31/12/2017 Monthly returns Cumulative returns EDM Ahorro Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YEAR 0,08 0,47 0,37-0,06 0,14-0,07 0,26 0,03 0,12 0,25-0,02-0,11 1,45-0,47 0,05 0,99 0,96 0,27-0,08 0,72 0,19-0,16 0,12-0,62 0,53 2,50 0,36 0,52-0,05-0,02-0,07-0,52 0,32-0,45-0,93 1,16 0,43-0,65 0,08 0,62 0,40 0,32 0,21 0,37 0,34-0,05 0,28 0,01 0,04 0,23-0,37 2,43-0,22 0,53 0,35 1,14 0,10-0,71 0,56 0,13 0,48 0,78 0,27 0,06 3,50 1,72 1,13 0,25-0,35-1,11-0,89 1,12 1,96 0,80 1,11 0,60 0,67 7,20-0,20 0,52-0,06 0,16 0,41-0,31-0,08 0,73-0,03 0,63-1,29 1,53 2,00 0,41 0,42 0,38-0,19-0,04 0,01 0,44 0,63-0,23-0,01-0,33 0,23 1,73 0,60 0,52 0,44 1,03 0,43 0,83 1,29 0,38 0,34 0,35 0,63-0,10 6,94 0,34 0,23 0,20 0,30 0,20 0,11 0,51 0,36 0,09-0,45 0,58 0,66 3,15 0,03 0,28-0,07 0,03-0,26 0,02 0,39 0,43 0,17 0,24 0,19 0,13 1,58-0,21-0,02-0,43-0,19 0,15-0,13 0,48 0,34 0,10 0,03 0,10-0,20 0,01 0,25-0,15 0,11 0,48 0,43 0,36-0,16 0,34-0,08-0,41-0,14 0,14 1,18 0,12 0,44 0,31-0,01-0,06 0,04 0,15 0,15 0,03 0,28 0,15 1,61 0,18 0,28 0,43 0,45 0,21-0,11-0,03 0,53-0,28 0,04 0,50 2,22 YTD 1 year 2 years 3 years 5 years 7 years 10 years 15 years 20 years 1,45 1,45 3,99 4,07 10,33 20,63 35,37 44,51 64,02 Europe Diversified Bond - Short Term (Category) 0,25 0,25 0,92 1,01 4,30 9,32 14,92 26,53 50,43 Annualized returns EDM Ahorro Annualized volatility EDM Ahorro 1 year 2 years 3 years 5 years 7 years 10 years 15 years 20 years 0,63 1,33 1,59 1,49 2,01 1,82 1,57 1,55 Europe Diversified Bond - Short Term (Category) 0,38 0,52 0,73 0,73 1,05 1,05 0,92 0,91 Sharpe Ratio EDM Ahorro Europe Diversified Bond - Short Term (Category) Sortino Ratio EDM Ahorro Europe Diversified Bond - Short Term (Category) YTD 1 year 2 years 3 years 5 years 7 years 10 years 15 years 20 years 1,45 1,45 1,97 1,34 1,99 2,72 3,07 2,49 2,51 Europe Diversified Bond - Short Term (Category) 0,25 0,25 0,46 0,34 0,85 1,28 1,40 1,58 2,06 Benchmark correlation Alpha Beta Return Information Ratio (geo) Tracking Error Correlation R2 Statistical risk Up Capture Ratio Down Capture Ratio Longest Down-Streak Start Date Longest Down-Streak End Date Down Number Up Number Best Quarter Worst Quarter Gain/Loss Ratio Max Drawdown Overall Deviation Overall Capture Ratio 1 year 2 years 3 years 5 years 7 years 10 years 15 years 20 years 2,40 0,83 0,03-0,06 0,05 0,01 0,15 0,05 2,12 0,65-0,09-0,20-0,10-0,13 0,07 0,01 1 year 2 years 3 years 5 years 7 years 10 years 15 years 20 years 6,89 1,49 0,04-0,08 0,07 0,02 0,21 0,07 5,41 1,12-0,11-0,27-0,13-0,17 0,09 0,01 1 year 2 years 3 years 5 years 7 years 10 years 15 years 20 years 0,85 3,93-0,19-1,36-0,10 1,46 0,84 0,45 0,17 0,37 0,28 0,36 0,41 0,41 0,40 0,29 1,45 1,97 1,34 1,99 2,72 3,07 2,49 2,51-1,79 0,08-0,04-0,21-0,02 0,32 0,05 0,10 2,17 9,07 12,16 10,49 11,24 14,43 13,22 15,79 0,19 0,54 0,39 0,56 0,67 0,72 0,68 0,51 3,77 29,22 15,56 31,13 44,86 51,43 46,64 25,87 1 year 2 years 3 years 5 years 7 years 10 years 15 years 20 years 8,20 10,92 10,08 12,66 17,68 14,38 10,54 7,96-3,03-3,60 3,39 2,06 3,18-1,21-2,63-3,65 01/11/ /11/ /03/ /03/ /03/ /03/ /03/ /03/ /12/ /12/ /06/ /06/ /06/ /06/ /06/ /06/2015 4,00 8,00 15,00 19,00 28,00 35,00 55,00 73,00 8,00 16,00 21,00 41,00 56,00 85,00 125,00 167,00 0,91 1,15 1,15 1,35 3,93 3,93 3,93 3,93 0,01 0,01-1,06-1,06-2,33-2,33-2,33-2,33 6,53 3,45 1,94 2,75 2,90 3,69 3,60 3,54-0,13-0,67-1,71-1,71-2,33-2,33-2,33-2,33 2,11-2,71-3,03 2,97 6,16 5,57-11,90-4,01-2,18 EDM Asset Management Tel edm@edm.es
35 EDM Ahorro Corporate Bonds Return Date: 31/12/2017 Return Distribution Time Period: 01/01/2003 to 31/12/ ,0 120,0 100,0 80,0 Drawdown Chart Time Period: 01/11/2013 to 31/12/2017 0,0-0,2-0,4-0,6-0,8 Number of Periods 60,0 40,0 20,0 0,0-2,0-1,0 0,0 1,0 2,0-1,0-1,2-1,4-1,6-1,8 06/ / / / / / / /2017 EDM Ahorro EAA Fund EUR Diversified Bond - Short Term EDM Ahorro Europe Diversified Bond - Short Term (Category) 12M Rolling Annualized Return 10,0 5,0 0,0 Return -5, EDM Ahorro Europe Diversified Bond - Short Term (Category) 12M Rolling Annualized Volatility 4,0 2,0 Volatility 0, EDM Ahorro Europe Diversified Bond - Short Term (Category) 3Y Rolling Alpha Rolling Window: 3 Years 1 Month shift 5,0 0,0-5,0 Alpha -10, EDM Ahorro Europe Diversified Bond - Short Term (Category) 3Y Rolling Beta Rolling Window: 3 Years 1 Month shift 0,6 0,4 Beta 0, EDM Ahorro Europe Diversified Bond - Short Term (Category) EDM Asset Management Tel edm@edm.es
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EDM Ahorro Corporate Bonds Return Date: 28/02/2018 Snapshot Global Category Custodian / Administrator Auditor Domicile UCITS Morningstar Rating 3 Yr Morningstar Rating 5 Yr Fund s Data Inception Date Month
D D D D D D EDM Inversión Spanish Equities Return Date: 30/06/2017 Portfolio Date: 30/04/2017 Snapshot Category Custodian / Administrator Auditor Domicile Morningstar Rating Overall UCITS
D D D D D D ED M EDM Inversión Spanish Equities Return Date: 31/12/2016 Portfolio Date: 30/11/2016 Snapshot Category Custodian / Administrator Auditor Domicile Morningstar Rating Overall UCITS
D D
D D D D D D ED M EDM Inversión Spanish Equities Return Date: 31/08/2016 Portfolio Date: 31/07/2016 Snapshot Category Custodian / Administrator Auditor Domicile Morningstar Rating Overall UCITS
D D
D D D D D D EDM Strategy European Equities Return Date: 28/02/2018 Portfolio Date: 28/02/2018 Snapshot Category Custodian / Administrator Auditor Domicile UCITS 5 Years Risk-Reward Time Period:
Market Overview As of 4/30/2018
Asset Class Leadership Periodic Table Worst Best 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69 29.09 27.58 24.50 18.88 16.71 15.51 15.12 15.06
Market Overview As of 11/30/2018
Asset Class Leadership Periodic Table Worst Best 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69 29.09 27.58 24.50 18.88 16.71 15.51 15.12 15.06
1000G 1000G HY
Asset Class Leadership Periodic Table Worst Best 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69 29.09 27.58 24.50 18.88 16.71 15.51 15.12 15.06
Market Overview As of 1/31/2019
Asset Class Leadership Periodic Table Worst Best 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69 29.09 27.58 2 18.88 16.71 15.51 15.12 15.06 11.15 7.84 7.28 4.98 2.64 2.11 0.39-2.91-5.50-13.71 20.14
Market Overview As of 8/31/2017
Asset Class Leadership Periodic Table Worst Best 39.42 16.65 11.81 7.05 6.97 5.49 1.87-0.17-9.78 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69
Market Overview As of 10/31/2017
Asset Class Leadership Periodic Table Worst Best 39.42 16.65 11.81 7.05 6.97 5.49 1.87-0.17-9.78 5.24-26.16-28.92-36.85-37.00-37.34-38.44-38.54-45.53 78.51 58.21 41.45 37.21 34.47 27.45 26.46 20.58 19.69
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