Family Office Forum Wiesbaden, 28 April 2015.

Präsentation zum Thema: "Family Office Forum Wiesbaden, 28 April 2015."—  Präsentation transkript:

1 Family Office Forum Wiesbaden, 28 April 2015

2 Sandra Crowl Member of the Investment Committee

3 Carmignac Patrimoine: 25 Years of Convictions and Risk Management
Strong long-term convictions based upon major structural themes Tactical management substantiated by significant adjustments in times of turbulent markets Performance since launch 2008 2008 Subprime crisis Global financial Crisis +786% Carmignac Patrimoine A EUR acc 1997 2000 1994 Asian crisis Tech bubble Credit crash 1991 Gulf War +342% Reference indicator* CP a long term example 2011 2001 European sovereign Debt crisis September 11th *50% MSCI ACWI (EUR) (reinvested nets dividends) + 50% Citigroup WGBI All Maturities (EUR) Source: Carmignac Gestion at 27/02/2015 Past performance is not a reliable indicator of future performance.

4 Active Management of Exposure Levels
Carmignac Patrimoine Equity exposure Dollar exposure Modified duration Dollar Exposure Equity exposure Euro Stoxx 50 exposure Modified Duration Source: Carmignac Gestion, 19/02/2015

5 Carmignac Investissement: Thematic Breakdown
At 31 December 2010 STRUCTURAL THEMES: 57.7% CYCLICAL THEMES: 40.1% ENERGY 15.4% METALS 12.4% 16.4% DEFENSIVE & INNOVATION GOLD MINES 12.3% 7.8% US GROWTH OTHERS & CASH 2.2% 33.5% US growth peaked at 3% in 3 q 2010 only just started to slow in 4q 2010 In the 2H of 2010 S&p and SX5e both gained 26-30% ( jul 2010-feb2011 to be precise) IMPROVED LIVING STANDARDS IN EM Source: Carmignac Gestion. 31/12/2010

6 Carmignac Investissement: Thematic Breakdown
At 31 March 2015 STRUCTURAL THEMES: 87.1% CYCLICAL THEMES: 6.4% 34.2% GLOBAL LEADERS ENERGY 1.6% MINING & MATERIALS 1.4% GOLD MINES 3.4% 29.4% US GROWTH OTHERS 5.8% CASH 0.7% 23.5% EM GROWTH Source: Carmignac Gestion. 31/03/2015

7 Our Secular View: a More Volatile Economic Cycle
US Debt, % of GDP 2014 US Real GDP Pas RT 2014 Source: Carmignac Gestion, CEIC, 31/12/2014

8 The New Normal: A World of Financial Repression
How to navigate volatile financial markets through non benchmark investing

9 Underlying Trends Remain Deflationnary
Positive for companies with pricing power Producer inflation Asia PPI 1 OECD PPI 2 1. Average of China, Singapore, Hong-Kong, Thailand, Malaysia, India, Pakistan, South Korea, Philippines. (local currency prices) 2. USD prices Source: OECD, DataStream, NBER; Minack Advisors

10 “New Generation” Indexed Bonds: Companies with High Visibility Offering Reasonable Growth and Significant Dividend Yield Scarce growth: examples of stock picking Sector Country EPS Growth 2016 Dividend Yield Health Care Switzerland 6% 2.9% Clothing Spain 14% 1.5% Health Care Germany 13% 1.7% But its not just exposure management its portfolio construction too CI an example Novartis eps 6 DY 2,9 Inditex EPS 14 DY 1,5 Bayer Eps 13 DY 1,7 Union pacific 14 DY 1,7 Rail Transportation United States 14% 1.7% Source: Carmignac Gestion, 31/12/2014

11 Global Conditions Are Disinflationary
Significant Easing of Monetary Policies In 2015 Global Conditions Are Disinflationary Russia Turkey Canada Australia India China Thailand Oman Morocco QE Sweden Eurozone Japan A global approach, essential to seizing worldwide opportunities

12 The Fed is Wary of a Monetary Policy Mistake
CENTRAL BANK POLICY RATES New Zealand Australia South Korea Norway Denmark Sweden Source: Bloomberg, NBER; Minack Advisors

13 Eurozone Yields: Powerful Technical Factors…
Fixed Income Strategy Eurozone Yields: Powerful Technical Factors… EUR bn for 2015 ECB’s sovereign bond purchases QE as % of gross issuance QE as % of net issuance Germany 107 68% 2,685% France 85 41% 99% Italy 73 27% 97% Spain 53 37% 94% Netherlands 24 48% 183% Belgium 15 45% 141% Austria 12 61% 189% Finland 7 75% 96% Ireland 46% 69% Portugal 10 57% 83% Total 393 43% 140% Source: JP Morgan, 26/03/2015

14 Eurozone Yields: Yields are Likely to Trend Even Lower
Fixed Income Strategy Eurozone Yields: Yields are Likely to Trend Even Lower Percentage of sovereign bonds offering negative yields Country 0-2 years 2-5 years 5-10 years 10-15 years +15 years Total Germany 100% 83% 0% 70% Finland 42% 57% Netherlands 34% 55% Austria 43% 53% France 13% 45% Belgium 20% 38% Ireland 51% 22% Portugal 60% 7% Spain 24% 5% Italy 17% 3% 34.1% Flows ? Portfolio effect, pension insurance push to longer maturities Source: Danske Bank Markets, April 2015

15 Fixed Income Strategy Yield Curve: The ECB’s Ultra-accommodative Stance has Led to the Flattening of Yield Curves Yield curve - Italy Yield curve - Spain 31/12/2014 31/12/2014 31/03/2015 31/03/2015 Curve flatenning Source: Bloomberg, 31/03/2015

16 ECB: Aggressive QE will Reduce Credit Risk
Spain 10y yield Italy 10y yield Fair value Fair value Portugal 10y yield Weak inflation and growth expectations could warrant further convergence in peripheral sovereign spreads Clear room for further compression to fair values Valuations ? Where is fair value? Fair value Source : Bloomberg, 17/02/2015

17 Eurozone Yields: Yields are Disconnected from the Fundamentals
Fixed Income Strategy Eurozone Yields: Yields are Disconnected from the Fundamentals IFO business climate index - Germany Real 10-year yields - Germany ?Fundamentals QE creates distortions new rule book Source: Bloomberg, 31/03/2015

18 Focusing on Forward-looking Indicators
Global leading indicators (proprietary tool) Source: Carmignac Gestion, February 2015

19 Carmignac Portfolio Global Bond
A Flexible and Opportunistic Style Enhancing a Total Return Approach

20 A Flexible, Non-Benchmarked Philosophy
Charles Zerah Fund Manager Carmignac Portfolio Global Bond AUM: € 1 187M A Flexible, Non-Benchmarked Philosophy    Wide Modified Duration Range Flexible Allocation Free from Geographical and Sectorial constraints Credit, Currencies Developed Markets Short Long -4 +10 Emerging Markets Through non benchmarked flexible appraoch CGB an example

21 Active and Opportunistic Approach
We actively manage our exposure to performance drivers according to our macro scenario We can pass from negative to positive currency exposure within few days Source: Carmignac Gestion, 31/03/2015 Financial CoCos (% of total assets) Japanese Yen Exposure EM local debt (% of total assets)

22 Trade-weighted GBP index
United Kingdom: A Strong Pound Sterling and Weak Inflation Could Bring Down Yields 10-year yield: 1.6%* UK 10-year yield vs inflation (as %) Trade-weighted GBP index New positions new convictions Source: LHS: Bloomberg, 28/02/2015 RHS: Bloomberg, 31/03/2015 * At 16/04/2015

23 New Zealand: Could Significant Deflation Risks Result In Lower Yields?
10-year yield: 3.2%* New Zealand 10-year yields Inflation (%) Inflation forecast in 1 year (%) Entry point Maintain core IG ratings best yeild risk ratio Source: Bloomberg, 31/03/2015 * 16/04/2015

24 Inflation in Sweden (annual change, as %)
Sweden: Low Inflation has Led The Central Bank To Take An Ultra Accommodative Stance Inflation in Sweden (annual change, as %) Persistently weak inflation 25 basis points interest rate cut Extension of QE, which now equates to 333% of net issuance Source: LHS: Bloomberg, 28/02/2015 RHS: JP Morgan, 15/02/2015

25 Active, Opportunistic Management With Regular Profit-Taking
Carmignac Portfolio Global Bond ‘s Dollar exposure Carmignac Portfolio Global Bond’s allocation to European peripheral government bonds EUR/USD Where are we today Source: Carmignac Gestion, 31/03/2015

26 Dollar: Monetary Policy Differential Benefits the Dollar vs. the Euro
Fixed Income Strategy Dollar: Monetary Policy Differential Benefits the Dollar vs. the Euro EUR/USD German/US 2-year yield spread Source: Bloomberg, 10/04/2015

27 Currencies: We Favour the Dollar While Diversifying our Currency Risk
Carmignac Portfolio Global Bond: net currency exposure Our positioning: Significant dollar exposure No exposure to EM currencies Protection? And alpha Source: Carmignac Gestion, 10/04/2015

28 Vulnerability to Shocks and Price of Risk
Credit Markets: Regulatory Ecosystem Reducing Vulnerability of European Financial System Vulnerability to Shocks and Price of Risk Vulnerability of Financial System Price of Risk Vulnerability of Financial System with Tighter Regulation What else is happening in Europe: Regulation disintermediation banks Size of shock Source: BoA ML, Carmignac Gestion, January 2014

29 Vulnerability to Shocks and Price of Risk
Credit Markets: Regulatory Ecosystem Reducing Vulnerability of European Financial System AT1 LCR Bailin SPE OLA NSFR PONV SSM G-SIFI Vulnerability to Shocks and Price of Risk PRA MDA O-SIFI SRF Basel 3 Living wills MPE Solvency 2 Liikanen Coco What else is happening in Europe: Regulation disintermediation banks DGS Leverage ratio CCB RRM Bailinable buffer SRM Dodd Frank Volker CCCB CCAR AQR CRD4 Source: BoA ML, Carmignac Gestion, January 2014

30 Credit spreads of « CoCos»
Credit: the Subordinated Segment (CoCos) still Offers Attractive Valuation CoCos Issuance (in million euros) Credit spreads of « CoCos» (in basis points) Other asset classes COCOs not the only one also structured credit Issuance should keep Rising Issuance Spreads have significantly tightened since 2013 (from 730 bp to 440 bp) The latest Spread Widening offers an Upside Potential on « CoCos » Source: Bloomberg, 10/04/2015

31 Carmignac Portfolio Global Bond : Allocation of Modified Duration Illustrates the Balanced Strategy
Financial Credit : 86 pb CoCos 65 pb Subordinated 18 pb Senior 3 pb Peripheral Sovereigns: 48 pb Spain 20 pb Portugal 12 pb Italy 9 pb Greece 7 pb Other developed market gov. bonds: 263 pb UK 143 pb New-Zealand 69 pb Sweden 36 pb Australia 23 pb Overall Modified Duration: 403 pb N.B. : la liste des contributions n’est pas exhaustive. Source : Carmignac Gestion, 17/04/2015

32 Carmignac Portfolio Global Bond: Performance Attribution
Net performance in Q (basis points) Sovereign bonds 484 Periphery 250 Other developed countries 234 Credit 199 Finance 160 Other 39 Currencies 508 Net performance 1,191 Peripheral sovereign debt (e.g. Spain, Italy, Portugal) + + Other developed market gov. bonds, especially from New Zealand and the UK Financials, supported by contingent convertibles + + Currency strategy, drawing strength from our dollar exposure Diversified earnings Source: Carmignac Gestion, 31/03/2015 Past performance is not a reliable indicator of future performance.

33 Conclusion: Carmignac Portfolio Global Bond
1 Disinflation and accommodative monetary policies around the world have established promising conditions for bond markets 2 Profit-taking on our peripheral sovereign debt while reallocating towards pockets of value in the bond universe (United Kingdom, New Zealand, European credit) 3 Tactical management of our dollar exposure through currency risk diversification 4 Continued flexible and opportunistic approach to bond and foreign exchange markets in order to maximise performance Source: Carmignac Gestion, 14/04/2015

34 Carmignac Portfolio Global Bond in Perspective
Charles Zerah Fund Manager Carmignac Portfolio Global Bond in Perspective 3-Year Performance Carmignac Portfolio Global Bond Morningstar Ranking (quartile) Perf. YTD +11.91% 3 years +32.19% Carmignac Portfolio Global Bond +32.19% 1 1 Morningstar Rating 3 years Overall Reference Indicator* +19.69% *JP Morgan GBI Global (EUR) Past performance is not a guarantee of future returns

35 Carmignac Portfolio Capital Plus
Carlos Galvis Fund Manager Carmignac Portfolio Capital Plus AUM: € 3 580M Carmignac Portfolio Capital Plus Maximising risk-adjusted returns through a multi-strategy portfolio Generating risk-adjusted returns through Directional and Relative strategies Managed with a maximum ex-ante volatility of 2.5% on annual basis Q1 Net Performance at 31/03/2015 (basis points) + Peripheral sovereigns strongly contributed to performance over the first quarter Rates strategy 117 Peripheral gov. bonds 101 Core gov. bonds 16 Credit strategy 36 Currency strategy 75 Equities 90 Money market 9 Net Performance 327 + Credit portion was supported by the strength of the European financial bonds Our exposure to the USD positively contributed to our currency strategy + Exposure to European equity markets added performance over the past months + Past performance is not a reliable indicator of future performance. Performances may vary over time. Source: Carmignac Gestion, 31/03/2015

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