Edmond de Rothschild

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EdR Fund Europe Convertibles Convertible bonds

Convertible bonds
Change in NAV (17/01/2018)
161.59 EUR
Laurent  LE GRIN–LU1103208846–
Laurent LE GRIN
Thibaut BAILLY–LU1103208846–
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
161.59 EUR
Change in NAV (17/01/2018)
4
1234567
Risk and reward profile
> 2 years
Recommended holding period
Change in NAV (17/01/2018)
161.59 EUR
Risk and reward profile
1234567
Recommended holding period
> 2 years
Laurent LE GRIN  
Thibaut BAILLY  
The identity of the managers presented in this document may change during the life of the product.
Contact

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 29/12/2017

Steinhoff dominated the news in the convertibles market. The company was expected to publish its annual results on December 6, but publication was postponed indefinitely, resulting in the immediate resignation of CEO Markus Jooste, amid speculation of accounting irregularities. These developments precipitated a plunge in its bond and share prices. The convertible bonds corrected to 35%, against an 89% rating prior to the results crisis. The stock, meanwhile, has lost more than 90% of its value. Our portfolio holds both the 2022 and 2023 bonds. We reduced a portion of our position (about 25% of the initial position) in the rebound that followed the fall — from 43% and 46.5% — just after Moody's downgraded it from Baa3 to B1. Steinhoff's outlook now depends on several factors such as creditors, and the extent of the accounting irregularities that could even result in the restatement of results for previous years. Moody's downgraded the company's credit rating to Caa1 on December 28. Our lack of positioning on German real estate, which is amply represented in the benchmark data, (such as Deutsche Wohnen and Leg Immobilien), did not help mitigate the negative impact of Steinhoff, which cost more than 200 bps. Otherwise, we have left our positioning unchanged, as in previous months, while entering the New Year. We still believe that real estate could suffer from a hike in interest rates. At present we are looking for more exposure to the cyclicals, financials and commodities sectors, such as oil.

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Change in NAV

Chart – Base 100 (17/01/2018)
Avertissement
You are about to download the historical data for a portfolio. Please note that past performance is not an indication of future performance and it may vary over time. They may be affected, for example, by changes in exchange rates

Performance I-EUR Cumulative Annualised
Since 01/01/2018

1.62 %

0.92 %

1.62 %

0.92 %

1 Year

3.08 %

7.81 %

3.08 %

7.81 %

3 Year

7.37 %

13.04 %

2.39 %

4.16 %

5 year

21.82 %

28.03 %

4.02 %

5.06 %

Since inception

61.59 %

53.25 %

5.18 %

4.60 %

Since 01/01/2018 1 Year 3 Year 5 year Since inception
Cumulative

Share class (I-EUR)

Benchmark

1.62 %

0.92 %

3.08 %

7.81 %

7.37 %

13.04 %

21.82 %

28.03 %

61.59 %

53.25 %

Annualised

Share class (I-EUR)

Benchmark

3.08 %

7.81 %

2.39 %

4.16 %

4.02 %

5.06 %

5.18 %

4.60 %

*Rolling periods

Annual performance



Statistics

VolatilityTracking ErrorCorrelation coefficientInformation ratioSharpe ratio
Share class I-EURBenchmarkShare class I-EURBenchmarkShare class I-EURBenchmarkShare class I-EURBenchmarkShare class I-EURBenchmark
1 Year*4.02 %3.42 %3.10 %0.66 %-1.72 %2.15 %
3 Year *6.08 %6.06 %2.43 %0.92 %-0.85 %0.74 %
Max. drawdownAlphaBeta
Share class I-EURBenchmarkShare class I-EURBenchmarkShare class I-EURBenchmark
1 Year*-3.97 %-0.07 %0.77 %
3 Year *-11.16 %-0.14 %0.92 %
Max. monthly gain Since inception6.78 %
Max. monthly loss Since inception-10.43 %
Share class I-EUR
Benchmark
1 Year* 3 Year * 1 Year* 3 Year *
Volatility 4.02 % 6.08 % 3.42 % 6.06 %
Tracking Error 3.10 % 2.43 %
Sharpe ratio 2.15 % 0.74 %
Alpha -0.07 % -0.14 %
Correlation coefficient 0.66 % 0.92 %
Information ratio -1.72 % -0.85 %
Max. monthly loss -10.43 %
Max. monthly gain 6.78 %
Max. drawdown -3.97 % -11.16 %
Beta 0.77 % 0.92 %

Fund information

Inception Date (Fund)
13/12/1993
Inception Date (Part)
22/07/2008
Legal form
SICAV
Benchmark
Exane Euro Convertibles Index
Currency (fund)
EUR
Currency (share class)
EUR
Distribution Policy
Accumulation
Valuation frequency
Daily
Minimum initial investment
500000.00 EUR
ISIN Code
LU1103208846
AuM (fund)
715 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
0,600 %
Current management fee
0.600 %
Subscription and redemption conditions
Daily before 12.30 am C.E.T. on day's net asset value
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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