LEVENDI THORNBRIDGE DEFINED RETURN FUND A Blueprint for Returns NOT FOR DISTRIBUTION TO RETAIL INVESTORS.
LEVENDI TH THORNBRIDGE DEFINED RE RETU TURN FU FUND ▪ Levendi Investment Management ▪ The Fund, objectives, investment strategy ▪ Performance / comparisons versus popular funds ▪ Where does the Fund fit into portfolios ▪ Example investments ▪ Liquidity ▪ Fund analysis ▪ Risk management ▪ Share classes / fees and charges ▪ How to invest PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 10/24/2019 2 Management LLP which is authorised and regulated by the Financial Conduct Authority.
LEVENDI IN INVESTMENT T MANAGEMENT ▪ Specialist investment manager based in London ▪ $1bn in AUA ▪ Flagship UCITS V fund established on January 31 st , 2018 ▪ Levendi Team ▪ 2 Trading and Risk Management ▪ 1 Research ▪ 6 Distribution ▪ Expertise ▪ Structured products ▪ Pricing, and risk management ▪ Investment solutions PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 10/24/2019 3 Management LLP which is authorised and regulated by the Financial Conduct Authority.
OUR R PEOPLE FRANK COPPLESTONE, MANAGING PARTNER Frank has 25 years experience in structured products and derivatives, having started his career at Credit Suisse Financial Products. He spent a decade working as an equity-derivatives trader at Bankers Trust and Commerzbank before moving to Deutsche Bank to build and manage the Quantitative Products Engineering businesses. In 2008 he joined Morgan Stanley to run Financial Engineering in EMEA and Americas and later became Global Head of the Retail Structured Products platform at Morgan Stanley. Prior to launching Levendi Investment Management, Frank was the Global Head of Equities (Structured Products) at Jefferies. Frank holds a Doctorate from Oxford University. DAVID STUFF, MANAGING PARTNER David has been involved in equity derivatives, equity structuring and the structured product market for over 25 years. Before launching Levendi Investment Management David worked at J.P. Morgan, Barclays and RBS. David has worked with and for retail product providers, discretionary managers and institutional investors. ART NOBLE, RESEARCH AND ANALYSIS Art is responsible for the product analysis. Art started to develop the model that the Fund uses to evaluate risk and return immediately after the March 2012 paper from the FCA. Prior to working on this Art was developing statistical arbitrage strategies and portfolio optimisation tools at Noble and Co. At J.P. Morgan Art was responsible for marketing derivative products and had a particular focus on hedge fund derivative solutions and asset and liability modelling. He was also responsible for building pricing models, risk management tools and value-at-risk techniques that became RiskMetrics. PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 10/24/2019 4 Management LLP which is authorised and regulated by the Financial Conduct Authority.
A DEF EFENSIVE COVE VERED PUT T FU FUND FOR LOWER RIS RISK INV INVESTORS INVESTMENT INVESTMENT TARGET MARKET OBJECTIVES STRATEGY • Lower risk investors • Maximise the chance of • Invest in equity linked generating GBP LIBOR securities • Want a high chance of a +6% returns positive return in a wide • Implement a long dated, range of market conditions • Minimise the chance and low strike covered put scale of losses strategy • Daily liquidity • Maximise liquidity • Manage risk and control volatility with an active risk management overlay PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 10/24/2019 5 Management LLP which is authorised and regulated by the Financial Conduct Authority.
THE EQUITY IN INSURANCE PRE REMIUM THE EQUITY INSURANCE PREMIUM BENEFITS OF LONG DATED EQUITY LINKED SECURITIES The Equity Insurance Premium is the excess return that investors can receive through absorbing equity • Longer dated investments capture the increasing market risk. It is caused by three main factors: gap between risk-neutral forward values and investor forecast values • Regulation; Banks, Insurance Companies, • Pension Funds and other large investors are Long dated volatility is typically more stable and higher than short dated volatility. required by regulations to limit the effect of a large fall in equity markets • Low strike options normally have a higher volatility than higher strike options • Limited Capacity For Loss; Many investors including charities, trusts, endowments and • Lower volatility; mark to market volatility is reduced retail investors are unable to risk capital. Any by Autocall feature equity exposure must be hedged. • Return Multiplier; the return is typically conditional • Behavioural Factors; Investors have a strong loss on an Autocall feature. This increases the maximum aversion and are prepared to give up returns in return that is available order to avoid losses. PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 10/24/2019 6 Management LLP which is authorised and regulated by the Financial Conduct Authority.
WHAT T DOES TH THE FU FUND HOLD? The graphs below show current levels and updated at the release of each monthly factsheet. ISSUER EXPOSURE PRODUCT EXPOSURE MARKET EXPOSURE A+ Defensive UK Equity Autocall A European A- Cash Equity BBB+ Gilts ▪ Outer Ring is nominal exposure, inner ▪ Gilt backed investments reduce ▪ Simple defensive Autocalls ring is effective exposure issuer exposure ▪ Long maximum term ▪ Major equity market exposure only ▪ Notes where there is attractive ▪ Significant protection implied issuer funding ▪ Value approach to market selection ▪ Liquid, intraday pricing ▪ Maximum 10% exposure to any investment grade issuer PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 7 Management LLP which is authorised and regulated by the Financial Conduct Authority.
HOW MIG IGHT T TH THE FU FUND PERFORM? FUND RETURNS The fund is expected to have between 30% and 40% exposure under normal market conditions. It will have slightly less exposure as markets rise and slightly more exposure as markets fall Positive Equity Negative Equity Market returns Market returns Equity Market returns Fund can offer a Fund can offer Fund is expected to offer Fund is degree of protection positive better returns than expected to when equity returns returns when equity markets when underperform are more negative equity returns equity returns are low equity are slightly markets when negative equity returns are high PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 10/24/2019 8 Management LLP which is authorised and regulated by the Financial Conduct Authority.
RE REALISED FU FUND RE RETURNS Jan Feb March April May June July Aug Sept Oct Nov Dec Total 2018 0.54% 0.34% 2.32% (0.07%) (0.44%) 0.77% (0.47%) 0.95% (0.86%) (0.02%) (2.96%) 0.11% 2019 4.15% 0.55% 1.21% 0.41% (0.78%) 1.47% 0.96% (1.71%) 0.98% - - - 7.37% 110% UK Total UK Autocall Levendi 108% 106% Analysis from 31 Jan 18 31 Jan 18 31 Jan 18 104% Average Vol 12.7% 7.9% 5.3% 102% Annual Return 4.0% 3.5% 7.5% 100% 98% Max Vol 13.8% 9.0% 6.1% 96% Drawdown -13.2% -10.2% -3.8% 94% Sharpe 0.17 0.23 0.57 92% 90% Analysis of returns from 31 st Jan 2018 All indices rebased so that value as at 31 st Jan 2018 is 1,000 Levendi Thornbridge Defined Return Fund UK Autocall Index UK Total Return Source; Levendi, Bloomberg PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 10/24/2019 9 Management LLP which is authorised and regulated by the Financial Conduct Authority.
CAPITAL PRE RESERVATION; DE DEFENSIVE BY DE DESIGN 0.0% 6 STRATEGIES THAT AIM TO MINIMISE CHANCE AND SCALE OF -5.0% LOSSES • Limit exposure to main liquid equity markets -10.0% • Value approach to market selection • Gilt backed investments eliminate exposure to credit spreads / default -15.0% • Longer term investments • Progressive risk -20.0% • Risk management overlay controls market exposure -25.0% Jan 2018 Apr 2018 Jul 2018 Oct 2018 Jan 2019 Apr 2019 Jul 2019 SPXT Drawdown EAFE Drawdown Levendi Drawdown UKT Drawdown Source; Levendi, Bloomberg PROFESSIONAL INVESTORS ONLY. Levendi Investment Management Limited is an appointed representative of Thornbridge Investment 10/24/2019 10 Management LLP which is authorised and regulated by the Financial Conduct Authority.
LE LEVE VENDI VS S UK K EQU QUITY INCOME LEVE LEVENDI VS S TAR ARGETED AB ABSOLUTE RE RETURN RN Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 10/24/2019 11 and regulated by the Financial Conduct Authority.
LEVE LEVENDI VS S TAR ARGETED AB ABSOLUTE RE RETURN RN LEVE LEVENDI VS S STER ERLING STRA RATEGIC BONDS Levendi Investment Management Limited is an appointed representative of Thornbridge Investment Management LLP which is authorised 10/24/2019 12 and regulated by the Financial Conduct Authority.
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