Lupus alpha CLO High Grade Invest

WKN: A2ADWF

ISIN: DE000A2ADWF1

Lupus alpha CLO High Grade Invest (ISIN: DE000A2ADWF1) offers indirect access to a diversified portfolio of secured corporate loans (senior secured loans) by investing in CLO tranches with very high credit ratings (minimum rating of A-/A3). Investors are subject to significantly lower volatility and fewer drawdowns due to the high credit rating than with broader investments in CLOs. The Fund is also characterised by low interest rate sensitivity.

Detailed presentation will start 12 months after inception of the fund. For more informations please contact us. 

Fund data

Current fund data as of 12/12/2018

Currency EUR
Issue price 103.96
Redemption price 99.96
Fund volume 11.95 Mio.
Launch date 04 May 2017
Minimum investment amount 1,000
Distribution frequency 6annually
Portfolio managers Stamatia Hagenstein, Norbert Adam, Michael Hombach, Dr. Klaus Ripper
Performance fee none
Administration fee 50,25 p.a. %
Subscription fee 44 %
Fondspreisveröffentlichung www.fundinfo.com
  • Source: Lupus alpha; gross performance (BVI method): The gross performance considers all costs incurred at Fund level (e. g. management fee) and assumes reinvestment of any distributions. Costs incurred at customer level such as sales charge and securities account costs are not included. Unless otherwise specified, all indicated performance data show the gross performance. Please note: Past per-formance is not a reliable indicator for future performance.
  • Source: Lupus alpha; the net performance assumes a model calculation based on an invested amount of EUR 1,000, the maximum sales charge and a redemption charge (see master data). It does not include individual costs of the investor, such as a securities account fee. (To this effect, please refer to the price list of your securities account provider.) Please note: Past performance is not a reliable indicator for future performance.
  • Volatility: Volatility is the range of variation of a security price or index around its mean value over a fixed period of time. A security is regarded as volatile if its price fluctuates heavily. Maximum loss 90 days: The maximum loss specifies an investor's potential loss if he had bought during the past 90 days at the highest price and sold at the lowest price. VaR 95 – 10: Value at Risk defines the level of loss which will not be exceeded within 10 days with a probability of 95%. VaR 99 – 10: Value at Risk defines the level of loss which will not be exceeded within 10 days with a probability of 99%. Sharpe Ratio: Sharpe Ratio is the excess return (Fund performance less money market rate) in relation to the range of variation (volatility) and shows the yield of the Fund per risk unit. The higher the Sharpe Ratio, the more yield has been generated in relation to the risk incurred.
  • The sales charge is the difference between the sales price and the unit value. The sales charge varies depending on the type of the Fund and the distribution channel and usually covers the advisory and distribution costs.
  • The management fee is the fee for managing the Fund and taken from the Fund's assets; it is paid to Lupus alpha for the management and administration of the Fund
  • Distributing Funds do not reinvest the generated income, they pay out the income to the investor.

Performance chart

Performance since 01.07.2014: +1.75 %
As of: 31.07.2014
Performance

Performance (gross in EUR):¹

fromtoLupus alpha CLO High Grade Invest
1 month31.10.201830.11.2018-0.08 %
90 days31.08.201830.11.2018-0.02 %
1 year30.11.201730.11.2018-0.82 %
3 yearsn.a.n.a.n.a.
5 yearsn.a.n.a.n.a.
this year29.12.201730.11.2018-0.75 %
since inception04.05.201730.11.20180.68 %
since inception p.a.04.05.201730.11.20180.43 %

12-month-timeframe (gross)Lupus alpha CLO High Grade Invest
30.11.2017 - 30.11.2018-0.82 %

Key Risk ratios (gross):³

as ofLupus alpha CLO High Grade Invest
Volatility p.a.30.11.20180.83 %
Maximum Draw Down 90 Days30.11.2018-0.82 %
Sharpe Ratio30.11.20180.95
Modified Duration30.11.20181.80
Cupon (incl. Cash + Time Deposit)30.11.20181.77 %
Yield to Maturity (incl. Cash + Time Deposit)30.11.20182.50 %
Fund structure

Maturity of CLO´s as of 30/11/2018

Ratingstucture as of 30/11/2018

Top ten holdings as of 30/11/2018

GLGE 5X CLO 18/31 C18.64%
ADAGI V-X CLO 18/31 B1R8.37%
Babson Euro CLO 2014-2 B.V. CLO 17/29 CR4.19%
HLAE 2016-1X CLO 18/31 B1R4.19%
CGMSE 2014-2X CLO 18/31 A2RA4.19%
CRNCL 2018-10X CLO 18/31 B14.19%
Ares European CLO VIII BV4.19%
CRNCL 2015-5X CLO 17/30 CR4.18%
CORDA 5X CLO 17/30 B-2R4.17%
Cadogan Square CLO IX DAC CLO 17/30 B4.17%
Highlights
  • Access to European CLO market and thus a broadly diversified European corporate loan portfolio
  • Investments in CLO tranches with a rating of A-/A3 or higher to ensure high levels of protection
  • Low interest rate sensitivity due to variable interest rates of CLO tranches
  • Transparency and liquidity of a UCITS IV-compliant mutual fund
  • Compliant with German Insurance Supervision Act (VAG) (guarantee assets in accordance with German Investment Regulations – AnIV)
Team expertise

Lupus alpha CLO High Grade Invest is managed by a highly experienced team of CLO experts who have been working together successfully for more than a decade.

  • Excellent market access and network
  • Proprietary databases
  • Methodically sound, experienced risk management
  • Complete control over trading process
Investment concept

Lupus alpha CLO High Grade Invest offers investors access to a diversified portfolio of secured corporate loans based on collateralised loan obligations (CLOs) by investing exclusively in CLO tranches with a high rating (min. A-/A3). CLOs are securitisations of secured corporate loans generally issued by a special purpose vehicle and divided into tranches with different credit risks and ratings.

This mutual fund is tailored to the needs of risk-averse fixed income investors seeking an attractive alternative with a positive expected return.

Each individual CLO is managed by a CLO manager (who selects the underlying corporate loans (senior secured loans). Lupus alpha CLO High Grade Invest then selects the best CLOs from those available on the market according to specific criteria (e.g. cash flow stability or historic default rates).

The selection process for individual CLOs is divided into a number of stages.

In the first stage, managers assess the relative attractiveness of the CLOs available on the market based on comprehensive market research. The individual CLOs and various tranches are then assessed in terms of risk and return as part of manager selection, portfolio analysis and structural analysis.

Active management of the loan pool (by the CLO manager) and the active selection of CLO tranches by Lupus alpha doubles the alpha potential.

Investment objective

The Fund pursues a return target of 1.5% p.a. that should be achieved with low single-digit volatility (2-3% p.a.). Interest income is distributed regularly, providing investors with stable cash flows.

Opportunities and Risks

Chancen

  • Lupus alpha CLO High Grade Invest offers indirect access to the European corporate loan market.
  • The Fund exploits the return potential of corporate loans while at the same time protecting investors against default (minimum rating of A-/A3).
  • By indirectly acquiring loans via CLOs, it is possible to construct a liquid portfolio that also meets UCITS and VAG (German Insurance Supervision Act) requirements.
  • Low dependence on general changes in interest rates. Regular interest payments generate steady returns.

Risiken

  • Counterparty default risk: If counterparties and issuers do not fulfil or only partially fulfil their contractual payment obligations, this can result in losses for the fund. Even when securities are carefully selected, losses caused by the financial collapse of issuers cannot be ruled out.
  • Concentration risk: If investment is concentrated on particular assets or markets, the fund becomes particularly heavily dependent on the performance of these assets or markets.
  • Liquidity risk: If securities are traded in a relatively narrow market segment, it can be difficult to resell them in situations where there is insufficient liquidity. If counterparties do not fulfil or only partially fulfil their contractual payment obligations, this can result in losses for the fund. Even when securities are carefully selected, losses caused by the financial collapse of issuers cannot be ruled out.
  • Risks connected with derivatives transactions, particularly options: Changes in the price of the underlying asset can devalue an option. Options have leverage effects that impact the fund more strongly than the underlying asset. When selling options, there is the risk that the fund will suffer an indefinite loss amount.
  • Operational risks: The fund can become the victim of fraud, criminal acts or errors by company employees or external third parties. Finally, management of the fund can be negatively impacted by external events such as fires, natural disasters or similar.
Disclaimer

This fund information is provided for general information purposes. The fund is a mutual funds (“UCITS”) launched by Lupus alpha Investment GmbH in Germany or launched by Lupus alpha Investment S.A. in Luxembourg.

This information is not designed to replace the investor's own market research nor any other legal, tax or financial information or advice. The information presented does not constitute an invitation to buy or sell or investment advice. It does not contain all key information required to make important economic decisions and may differ from information and estimates provided by other sources or market participants. We accept no liability for the accuracy, completeness or topicality of this information. All statements are based on our assessment of the present legal and tax situation. All opinions reflect the current views of the portfolio manager and can be changed without prior notice. Full details of our funds and their licenses of distribution can be found in the relevant current sales prospectus and, where appropriate, Key Investor Information Document , supplemented by the latest audited annual report and/or half-year report. The relevant sales prospectus and Key Investor Information Documents prepared in German are the sole legally-binding basis for the purchase of funds managed by Lupus alpha Investment GmbH or Lupus alpha Investment S.A. You can obtain these documents free of charge from Lupus alpha Asset Investment GmbH, P.O. Box 11 12 62, 60047 Frankfurt am Main, upon request by calling +49 69 365058-7000, by emailing service@lupusalpha.de or via our website: www.lupusalpha.de.

If funds are licensed for distribution in  Austria the respective sales prospectus, Key Investor Information Document and the latest audited annual report or half-year report are available from the Austrian paying and information agent UniCredit Bank Austria AG based in A-1020 Viena, Rothschildplatz 1. Fund units can be obtained from banks, savings banks and independent financial advisors. Neither this fund information, nor its contents, nor any copy thereof may be sent to third parties, changed in any way or copied without the prior written consent of Lupus alpha Asset Management AG. By accepting this document you agree to comply with the provisions above. Subject to change without notice.

Portfolio Manager

Experienced fund managers

Lupus alpha CLO High Grade Invest is managed by the Lupus alpha Credit team members, who have exceptional expertise and have already been working together successfully for more than a decade.

Stamatia Hagenstein
Portfolio Management Fixed Income Credit


Norbert Adam
Portfolio Management Fixed Income Credit


Michael Hombach
Portfolio Management Fixed Income Credit


Dr. Klaus Ripper
Portfolio Management Fixed Income Credit