Edmond de Rothschild

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EdR Fund Europe Convertibles Convertible bonds

Convertible bonds
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Change in NAV (16/11/2018)
554.17 EUR
Cristina JARRIN–LU1103207525–
Cristina JARRIN
Thibaut BAILLY–LU1103207525–
Thibaut BAILLY
The identity of the managers presented in this document may change during the life of the product.
Risk and reward profile (1)
1234567
Recommended holding period
> 2 years
554.17 EUR
Change in NAV (16/11/2018)
4
1234567
Risk and reward profile
> 2 years
Recommended holding period
Change in NAV (16/11/2018)
554.17 EUR
Risk and reward profile
1234567
Recommended holding period
> 2 years
Cristina JARRIN  
Thibaut BAILLY  
The identity of the managers presented in this document may change during the life of the product.
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Investment objective

The objective is to grow the value of its assets in the medium term (3 to 5 years). The assets of the Sub-Fund are predominantly, but not exclusively, invested in convertible or exchangeable bonds with underlying assets in the eurozone. The Sub-Fund seeks to optimise the risk/return ratio over the specified period by diversifying its sources of return – underlying assets, sector, coupon, issuer, interest rate and currency – based on a systematic analysis of the various exposures.

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Commentary 31/10/2018

October was marked by a strong correction in global equity markets (MSCI World TR -6.80%, MSCI Europe TR -5.3% ) and credit spreads widening (Xover +25 bps). This risk aversion move across asset classes could be attributed to rising US Treasuries yields that touched 3.23%, continued trade tension and concerns over global growth slowdown. Up move in the US rates was triggered by positive US data and hawkish comments by Jerome Powell. It is also interesting to note that US real interest rates rose sharply while inflation break even decreased which clearly shows a tightening of financial conditions. The second half of the month saw not so stellar Q3 earnings season, for example half of Eurostoxx 600 companies have already reported and 37 of them announced profit warnings, which is higher than the five year average. Rising raw material costs are still the most cited negative factor by companies, followed by trade war and tariffs. However the EPS consensus growth for 2019 in Europe is still ticking higher at +9.3%. As for the safe heavens, the Bund yield was down 8 bps and yen appreciated from YTD high 114.5 level vs the dollar. As expected, Moody's downgraded Italy but stopped short of pushing it into high yield territory and maintained its stable outlook. Looking at latest economic numbers, PMIs continued to disappoint with flash estimate for composite falling to 52.7. October is usually a very quiet month for convertible global issuance amid earnings blackout period. We only saw 10 deals (7 in the US, 1 in Europe, 1 in Asia, 1 in Japan) for a total of 2.1 bn USD. We have participated to the new issue of JPM/Dufry, tendering the old bond like CBs. We took some profits on Severstal 2022 with good stock performance. On the options side we added new positions in LVMH, Ubisoft call options after recent stocks correction, took partial profits on our Sanofi calls and restriked lower our Fresenius call options. Hungarian sovereign fund MNV tendered its Gedeon Richter 2019 exchangeable bonds. On the more credit sensitive side of portfolio we reduced our Rallye/Casino 2022 exchangeable bonds after a positive credit news on the sale of Courrir at Rallye holding level and Vallourec 2022 CB ahead of Q3 results.

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Change in NAV

Chart – Base 100 (16/11/2018)
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Performance A-EUR Cumulative Annualised

–

–

–

–

–

–

-8.83 %

-1.74 %

–

–

-2.01 %

1.30 %

–

–

-0.08 %

2.65 %

Since inception

263.51 %

271.20 %

5.31 %

5.40 %

Since 01/01/2018 1 year* 3 years* 5 years* Since inception
Cumulative

Share class (A-EUR)

Benchmark

–

–

–

–

–

–

–

–

263.51 %

271.20 %

Annualised

Share class (A-EUR)

Benchmark

 –

-8.83 %

-1.74 %

-2.01 %

1.30 %

-0.08 %

2.65 %

5.31 %

5.40 %

*Rolling periods

Annual performance



Statistics

VolatilityTracking ErrorCorrelation coefficientInformation ratioSharpe ratio
Share class A-EURBenchmarkShare class A-EURBenchmarkShare class A-EURBenchmarkShare class A-EURBenchmarkShare class A-EURBenchmark
1 Year*5.67 %4.89 %3.51 %–0.79 %–-2.03 %–-0.35 %–
3 Year *5.53 %4.82 %2.71 %–0.87 %–-1.11 %–0.33 %–
Max. drawdownAlphaBeta
Share class A-EURBenchmarkShare class A-EURBenchmarkShare class A-EURBenchmark
1 Year*-9.82 %–-0.15 %–0.91 %–
3 Year *-9.82 %–-0.25 %–1.00 %–
Max. monthly gain Since inception8.99 %
Max. monthly loss Since inception-10.44 %
Share class A-EUR
Benchmark
1 Year* 3 Year * 1 Year* 3 Year *
Volatility 5.67 % 5.53 % 4.89 % 4.82 %
Tracking Error 3.51 % 2.71 % – –
Sharpe ratio -0.35 % 0.33 % – –
Alpha -0.15 % -0.25 % – –
Correlation coefficient 0.79 % 0.87 % – –
Information ratio -2.03 % -1.11 % – –
Max. monthly loss -10.44 % –
Max. monthly gain 8.99 % –
Max. drawdown -9.82 % -9.82 % – –
Beta 0.91 % 1.00 % – –

Fund information

Inception Date (Fund)
13/12/1993
Inception Date (Part)
13/12/1993
Legal form
SICAV
Benchmark
Exane Euro Convertibles Index
Currency (fund)
EUR
Currency (share class)
EUR
Distribution Policy
Accumulation
Valuation frequency
Daily
Minimum initial investment
1 Share
ISIN Code
LU1103207525
AuM (fund)
434 M (EUR)
Regulatory authority
CSSF
EU Regulation
UCITS
Management company
Edmond de Rothschild Asset Management (Luxembourg)
Delegated Management Company
Edmond de Rothschild Asset Management (France)
Incorporation
Luxembourg
Maximum management fee
1,000 %
Current management fee
1.000 %
Subscription and redemption conditions
Daily before 12.30 am C.E.T. on day's net asset value
Subscription fee
1.00 % max
Performance fee
15,000 %

Fund documentation

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(1) The rating grades the funds on a scale from 1 to 7. This rating system is based on the average fluctuations of the net asset value over the past five years. It corresponds to the variation range of the portfolio upwards and downwards. If the net asset value is less than 5 years old, the rating is determined by other regulatory calculation methods. Historical data such as those used to calculate the rating may not be a reliable indication of the future risk profile. The current category is neither a guarantee nor an objective. Category 1 does not signify a risk-free investment.

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