SBEsif
Swan Bond Enhanced is a SICAV-SIF vehicle that invests in a highly diversified buy and hold portfolio of global liquid short-term bonds, with an average maturity of around 1 year. Leverage is used to increase invested capital up to 250% of NAV depending on market conditions.
The fund has been launched in June 2013 and has been managed with the same strategy since inception. Target Return is 3 months LIBOR + 350 bps. The fund has daily NAV calculation and is available in different currencies: EUR, CHF and USD.
Swan Bond Enhanced
Performance
Investment strategy
- • Swan Bond Enhanced strategy invests in Global Ultra Short-Term Bonds that is levered up to 250% of the NAV, adapting geographical and sector exposure to actual markets conditions.
- Leverage is deployed in a dynamic way: when credit spreads widen Swan Bond Enhanced increases its invested capital, trying to capture the excess spread available vs the cost of funding.
- There is no direct and predetermined relation between credit spread and leverage: the leverage is a direct consequence of attractiveness of credit markets. Generally, higher credit spreads create more opportunities to invest in new credits that were tight before.
- Bonds’ maturity up to 30 months; Callable bonds are NOT considered as Short-Term; no AT1/Hybrids. Average Duration around 1 year.
- Buy and Hold approach: bonds are sold only when spreads become too tight or as precautionary liquidation due to credit deterioration.
- FX risk completely hedged: the bonds in portfolio are all in hard currencies, hedged back in EUR using forwards.
- High fragmentation: portfolio diversified from a sector and geographic standpoint (limitations on maximum weight for country/sector); no single issuer higher than 3% weight.
- The investment decision is focused primarily on a fundamental analysis of default risk at the issuer/security level focusing on liquidity/cash flow analysis and evolution of credit metrics.
Characteristics of the fund
- Strong asset liquidability and cash generative profile (around 10% of bonds mature every month).
- Strong Diversification with 201 bonds out of 152 issuers.
- Average Spread Duration of 1.37 (16 months). Spread duration contribution of 2.66.
- Geographical breakdown: Developed Markets 88% – Emerging Markets 12%
- No negative return in any full calendar year since inception, the only exception being 2022.
| ANNUAL RETURN TARGET | LIBOR +3.50% |
|---|---|
| STANDARD DEV. AVERAGE from start (daily 1 yr) | 1.93% |
| EXCESS RETURN (last 1 yr) | 5.00% |
| SHARPE RATIO from start (daily 1 yr) | 2.38 |
