FondsAnbieter- GAM: Weekly Manager Views.

27. August 2013 von um 11:00 Uhr
Wie beurteilen FondsAnbieter ihre Anlagerreigionen ? Wie fällt die Analyse der Kapitalanlagegesellschaften (KAG) über Fundamentaldaten, Währungen und Kapitalflüsse aus? Informationen direkt aus dem Research Centern der FondsBranche finden SJB FondsBlogger in der Kategorie "Anbieter. Berichten."

Bei der FondsAuswahl zählt die Unabhängigkeit vom Anbieter! FondsAnbieter-GAM: Financial companies’ reporting season for the second quarter proved in line with our expectations. However, the market has been volatile over the summer, impacted by the seasonally low liquidity levels and the Fed’s QE tapering comments. In the US, banks reported solid numbers that were on average above consensus, driven by solid loans growth and stronger credit quality. Credit growth in the US is around 6% year-on-year, while the non-performing loan ratio has declined to 4.5%, down from 7.5% in early 2010. The non-performing loans ratio in the credit card sector is particular encouraging at just 2.5%.

In the portfolio, we have long positions in Citigroup, Huntington, Fifth Third and Discover Financial Services. These are balanced by several shorts in expensive US regional banks, which are suffering from net interest margin compression.

Both life and non-life insurers in the USreported positive numbers for the second quarter. The current environment favours life insurers, as rising interest rates allow them to expand their operating margins. We own long positions in AIG, Protective Life and Assurant.

In Europe, the reporting season for banks was in line with expectations. Numbers were characterised by weak loans growth and still-deteriorating credit quality. The stabilisation of net interest margins and the sharp contraction of sovereign bond spreads came as positive developments. The portfolio has long positions in banks headquartered outside the eurozone, such as Lloyds Banking Group, Credit Suisse and DNB, where we are seeing an expansion of revenues margins. On the short side, we own banks where we expect further net interest margin compression, for example in Spain and Poland. In Spain, we expect the compression to be driven by the elimination of mortgage floors, while in Poland it will be the sharp cut in interest rates. European life insurance companies on average reported strong numbers, in particular those names that have exposure to the US market. Non-life and reinsurers disappointed, with weak combined ratios and outlooks. We hold longs in Prudential and AXA, where we expect to benefit from the growth potential of their Asian and US businesses, and in Resolution, Tryg and Swiss Re, where we hope to profit from strong cash flow generation and the potential for positive surprises regarding dividends and share buybacks.

German real estate companies reported strong cash flows on the back of rising rental income and good cost control. We own holdings in Deutsche Wohnen, GSW Immobilien and LEG

Immobilien. On 20 August, Deutsche Wohnen made a bid for GSW, offering a 15% premium on the share price. We believe that the premium is justified due to the potential for substantial cost synergies. For the moment, we retain both long positions.

The reporting season for emerging market companies was overall rather weak, and we are concerned by the increase in currency volatility. We remain net short emerging markets, with shorts in Latin American and South African banks.

US 10-year Treasury bond yields are now at almost 3%, compared to around 1.5% one year ago. The average 30-year US mortgage rate has increased from around 3.5% just four months ago to 4.5% now. This increase had a material negative impact on the origination volumes of US mortgages. Our view is that US banks should be able to offset this by increasing their lending in the commercial and industrial areas. Generally, rising interest rates are beneficial for the financial industry, as it allows banks and insurers to expand their operating margins.

From 2007 to 2011, the financial industry went from one crisis to the next, which prompted investors to tar the whole sector with the same brush, and adopt a top-down view. This made the sector very volatile and led to a disconnect regarding the fundamentals of many individual companies. With the financial system returning to normality, a bottom-up approach should work well in the future and makes us confident and optimistic for the outlook of the fund. The global financial sector is vast and its companies are very diverse, which we believe is conducive to alpha generation. At the same time, a normalisation following the crisis should also generate solid beta returns, which we expect to capitalise upon by increasing the fund’s beta somewhat compared to the past few years.

We did not materially change our allocation over the past few months, but we slightly rebalanced our net exposures to the USand Europe. As such, we reduced our net long exposure to the US and equally reduced our net short exposure to European names. In the coming months, we expect to reduce our net long exposure to highly cash-generative, defensive names in favour of growth-oriented stocks and turn-around stories. This is because financials have done their homework in our view, strengthening their balance sheets and improving their capital positions. Rising interest rates should be beneficial in particular for turn-around names, such as Italian banks. We therefore initiated small positions in UniCredit and Intesa Sanpaolo.

The euro class of World Invest Absolute Financials has gained 6.2% year-to-date and is marginally down for the quarter-to-date (to 19 August). The fund’s gross exposure is 93% and its net exposure is 19%. We reduced the gross before the holiday season due to the usual seasonal decline in liquidity and increase in volatility. However, going into September, we are planning to increase the gross exposure, taking advantage of the recent price dislocations. We continue to hedge all our currency exposure, which we believe is vital to keep volatility and unintended risk low. Overall, we are pleased with the fund’s performance for the year-to-date, especially in the context of the portfolio’s low volatility.

The first half of 2013 presented us with favourable market conditions, which we do not anticipate will remain steady over the coming six months. Hence, we are looking to lock-in our returns to-date and adjust our allocations for potentially less supportive market conditions. Within our equity allocations, many of the underlying managers are adopting a cyclical bias, particularly within the developed markets.

GAM Star Cautious rose strongly through late June and July, recovering losses associated with the announcement of the QE tapering plans by the Federal Reserve. This has come notably from our specialist credit position, which makes up 5% of the fund, representing a quarter of its 20% fixed income exposure. Indeed, such allocations set our fixed income offering apart from our peers, and we aim to provide a more exotic offering in order to generate benchmark outperformance.

Looking at our underlying allocations, we continue to hold a modest underweight to UKequities. In Asia, manager performance has proved divergent, although ultimately positive, while we have topped up our passive exposure to the Japanese equity market – originally bought during May’s dip – to bring the position to neutral weight and benefit from the summer rally. Comparing Asia against our US and European exposure, it is clear that the Far East is struggling to make any headway. Fortunately, our performance has not been significantly impacted by this lack of market direction, as we are positioned significantly underweight.

Turning to the emerging and frontier markets, trimming our manager line-up early in the year proved the correct decision as these names have failed to deliver since we sold the positions. Our frontier markets manager has proved the strongest of the allocation, delivering one of our largest contributions on the month, despite the small allocation size.

Within the global equity bucket, our listed private equity allocation continues to be the stand-out performer. Close behind is our specialist technology exposure, which features most prominently in GAM Star Global Equity.

Within the absolute return bucket, one manager has delivered outstanding returns since purchase in March. The strategy is equity long / short, but will soon cap as it approaches capacity constraints. The rest of the managers within the allocation have struggled to deliver year-to-date.

Having sold our gilt and index-linked exposure in March, the predicted performance downturn of these markets has come to fruition. We were pleased to avoid a sizable capital loss within this allocation, as markets tumbled due to a lack of clear guidance from the new Governor of the Bank of England, Mark Carney, and on speculation that Larry Summers will replace Ben Bernanke as Chairman of the Federal Reserve. We also remodelled the corporate bond book, favouring a sterling total return fund with a smaller AuM and a shorter duration over the previous holding. The adjustment has proved fruitful, with the manager outperforming since purchase.

Recent adjustments include allocations to the credit manager mentioned above, and to a global convertible bond fund, which shape our offering into something quite different from the majority of our peers and to-date have contributed to our outperformance.

We currently hold a modest allocation in gold, purchased after the recent sell-off in order to take advantage of mean-reversion opportunities. We view this holding a tactical allocation only.

GAM Diversity has delivered 6.6% year-to-date (to 29 July, USD class), comfortably outperforming a range of comparative single-manager and funds of hedge funds indices. We attribute the significant changes made to the portfolio’s structure over the past few years and consistently solid manager selection for the outperformance. The portfolio construction changes are most crudely seen in the conviction in our top-five holdings. At July end, they totalled a 47.6% allocation, whereas at year-end 2008 they comprised just 20%. Similarly, the portfolio has been concentrated from 61 to 19 positions over the same period.

Intra-portfolio correlation analysis of the multi-asset strategy shows that the diversification benefits of holding a greater number of managers peaks at the low-teen level. While a more sizable holdings number reduces blow-up risk within a portfolio, in today’s market holding a very broad spread of managers often doing similar things will merely hamper performance.

Within the strategy, we are working to ensure we are exposed to a sufficient level of risk to ensure our returns are attractive for investors. Assuming one can maintain a Sharpe ratio of around 1% over three-to-five years, then volatility levels need to be higher than in recent years to generate the required returns for the multi-strategy funds. The changes to the portfolio construction of GAM Diversity over recent years have generated this required rise in volatility, notability at a time when the volatility of the S&P 500 index has been declining.

Looking at the typical equity beta trends for hedge funds in general over the past five years, these reflect the fact that clients want lower volatility levels and fewer drawdowns from their funds, so, unsurprisingly, risk levels have come down across the industry. We are working against this trend to deliver more attractive returns with lower beta. Our managers are now focused on actively managing their beta – this, combined with the concentration of our own book, is resulting in overall more active management of the portfolio.

We have recently been using our proprietary analysis tools to study cross-correlation relationships to ensure all the positions in a portfolio are following disperse return sources. Selecting managers that are doing different things at different times can significantly reduce cross correlations within the fund and also allows us to more comfortably increase position sizes.

As mentioned before, we are pursuing three key objectives with the fund: deliver returns ahead of our peers; produce an interesting absolute return; and to try and compete against the top 25 single managers within the industry.

Looking at GAM Trading II, the eight-week volatility level is 7.4%. The risk in the book is currently dominated by two themes: Japanese (short currency, long equities and short rates) and long US dollar risk. In Japan, managers’ primary focus is the yen, but they are looking to increase their exposure to the Nikkei when or if it falls to around 13,000. Exposure to JGBs is largely options driven, opposed to outright holdings. US dollar risk exposure is a common theme across the macro universe, although the amount of risk exposure each manager has differs significantly. Another notable risk theme is short emerging markets, mainly via currencies.

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Über GAM

GAM wurde 1983 als FondsTochter der UBS gegründet. Von 1999 bis 2005 gehörte die Gesellschaft zum Bankhaus Julius Bär. Seit September 2009 ist GAM selbständig. Fonds: 450. Verwaltetes Vermögen: 36,9 Mrd. Euro. Anzahl der Mitarbeiter: 760. Geschäftsführer: David M. Solo.

 

Kategorien: Anbieter. Berichten.
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