FondsAnbieter- GAM: Weekly Manager Views.

06. November 2013 von um 13:00 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: The convertible bond asset class continues to perform well, in line with rising equity markets. The US market has reached a record high, with performance in Europe also remaining robust. The euro class of World Invest Absolute Strategy is up 6.1% for the year to-date and we have maintained our very conservative delta exposure, which reads 31 today, but the fund’s average figure for the year is 25. This partially explains our underperformance of the global convertible bond indices – the UBS Global Focus Investment Grade (Hedged) CB index is up 7.9% – although our Europe-centric focus has also impacted performance. The fund has no exposure to Japan and only a modest 25% exposure to the US, hence we missed some of the strong rallies that occurred in the first half of the year.

• However, the European markets are showing signs of a late catch-up, with good traction in earnings growth and Spain exiting from two years’ of recession. The primary market has been extremely strong, with Europe producing over 40 new issues year-to-date, totaling approximately EUR 15 billion. Maturities and redemptions have totaled approximately EUR 10 billion; the growth in the market has been beneficial in balancing the flood of inflows and keeping valuations in check. In the US, in contrast, the USD 36 billion of new issues has been overshadowed by approximately USD 50 billion of maturities and redemptions. This decrease in market size has challenged valuations and made it more difficult to identify interesting bonds that are fairly priced.

• Many of the inflows are coming from the ‘great rotation’ trade, as convertibles continue to offer investors the best way to reduce their duration risk and participate in equity market upside without completely abandoning the fixed income asset class. Credit spreads have been tightening substantially, possibly to over-done levels, with the ongoing nature of quantitative easing keeping default risks artificially low and credit spreads very tight. With credit spreads so tight, we anticipate seeing further flows out of the high-yield market and into convertible bonds.

• Corporate actions continue to be a primary driver of the market. We have seen deals and speculation fuel numerous M&A stories around convertible issues. For example, we opened a hedged position in Nokia at issue around a year ago. The bond offered a 5% coupon and full dividend protection and was issued at a very wide spread with cheap volatility so seemed like a good carry swap trade. When Microsoft announced it would be purchasing Nokia’s mobile phone unit, the convertible’s large change of control ratchet was not triggered although Nokia’s share price rallied 40%, meaning we made money on the gamma of our bonds, and the credit spread tightened significantly overnight. Reviewing the position based on the fundamentals of the

company – which has gone from being a cash-hemorrhaging mobile producer to a pure-play network operation with USD 7 billion in cash on its balance sheet – we predicted the equity delivering further upside, up to USD 5.50 per share from its value at the time of around USD 4.80. Hence, we undid the hedge we had on the convertible and bought the bond as an outright holding in our fund.

• Media speculation highlighted Alcatel as a possible target by Nokia, but we viewed this as an unlikely move. The convertible offers full dividend control protection plus the attractive change-of-control ratchet – if there was a takeover the bond will appreciate by 30% more than the bid price. Therefore it acts as a perfect equity proxy, which will break even in just over one year yet offers two years’ of call protection.

• Another interesting story in our market is British Land. Media coverage has suggested the Kuwait Investment Authority may take over the company for around GBP 9 per share. Like Nokia, British Land’s convertible also has a change of control ratchet, which represents around 4% upside. While the company’s equity did not move on takeover rumours, the convertible gained almost 6% on a delta-neutral basis. We sold 50% of our position on the basis that it seems unlikely that investors would be interested in paying a 40% premium for a REIT that was already trading at 5% above its net asset value, and because the bond was trading significantly above its change of control parity. We are holding the remaining stake on the basis that continued M&A speculation could push the equity higher.

• The fund currently has a yield of zero and an average credit spread of 200 bps. We are maintaining a short duration with half of the interest rate risk being hedged. The rho is -1.05.



Across our diversified portfolios, the equity-related strategies continue to work best. This goes for long / short equity, event driven and even for global macro managers. Looking at GAM Institutional Diversity, for example, the fourth quarter has started well. Depending on the final few days of the month, we would expect to end October up around 70 to 100 bps. At the moment, the year-to-date return (to 28 October) stands at 9.9% for the USD class.

• Our managers believe that equity markets will continue to be supported through year-end, with quantitative easing expected to remain in place in the near term. QE continues to be supportive for equities, in particular for US equities. We are mindful that this is a consensus position, but so far it is working well for our managers who can and do tactically change their portfolio net exposure levels. Although many equity-related managers have had a successful year so far, in general they are not taking risk off the table. They have reduced their net exposures somewhat, but are keeping gross exposures high. That way, they can protect some of their gains, but remain exposed to alpha opportunities.

• Within the Trading strategy, those of our managers that invest in equities have long experience in trading the asset class. We are very cautious here and do not want to own managers that are now newly considering investing in equities but do not have prior expertise in the asset class. Managers agree that risk in equities is to the upside due to continued QE, despite equities overall being arguably fairly valued. Our macro managers are willing to tactically and nimbly trade equities both long and short, and are focused on technicals and on investor demand dynamics.

• US economic data remains supportive, which is positive for managers, for example for those with long positions in equities, and to a smaller degree for those with long US dollar exposures. With regards to emerging markets, some managers think that they could suffer despite US growth, because US growth is not high enough to support substantial growth in emerging markets. Hence, these managers continue to bet on EM weakness via credit, sovereign bonds and currencies. In aggregate, our managers tend today to be long the US, while being short (to a lesser extent) emerging markets.

• GAM Trading II is down 0.4% so far in October and down 2.8% for the year to-date (USD class to 28 October). The fund remains fully invested and could make good progress within just a few days if conditions improve. For this to occur, we would need to see some stronger moves in the US dollar against various other currencies, a rally in the Nikkei, or further weakness in the yen or in emerging markets, where exposures remain significant. Meanwhile, trend managers are having their strongest month so far this year in October, with the unusual situation that their highest risk allocation by a wide margin is currently to equities. This could also mean that the rest of the year is likely to be supportive for this strategy.

• In the past, commodity managers were the best-performing sub-strategy grouping for GAM Trading II overall and usually the best performers in each single year. However, they have had a really poor year so far in 2013 and we believe that there are some structural reasons for this. Previously, banks’ commodity prop desks were supply / demand driven, ie fundamental investors. When a trend in, say, crops went too far away from the fundamental value, these prop desks would sell that crop and bring the price back to its fundamental value. As the prop desks are largely gone now, this element of correction is missing and prices are being pushed further away from fundamental value by the large trend managers. When corrections do occur they are sharper, which increases risk and volatility in this market for the same unit of return. Most fundamental supply / demand commodity managers have struggled in this environment and we have therefore reduced our exposures to them because this could be a structural market change. Instead, we have increased those managers that are more technicals and chart-savvy and focused on flows rather than on only on fundamental supply and demand dynamics.










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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