The Cheyne Convertibles Absolute Return UCITS III Fund is the latest product that offers investors access to Cheyne’s 11-year track record in convertible bond management. The fund utilises convertible bonds plus effective hedge overlays to generate absolute returns. While Cheyne believes that selective unhedged convertibles can offer attractive risk-reward profiles, this fund also has the ability to hedge both equity and credit. In the hedged portion, it seeks to construct positions that are seen as “self funding”, where convertible income more than compensates for hedging costs. This has the effect of creating a portfolio containing a field of attractive optionality.
While the portfolio consistently has a weighting to each strategy, the allocation between these strategies is opportunistically rebalanced. This dynamic approach also means that return drivers will vary according to market conditions. For instance, directionality drives returns in a rising market while, in more volatile markets, returns are driven more by the hedged portion of the fund. Credit risk is something that the fund will take selectively, based on the manager’s long experience in credit analysis. As Europe’s largest synthetic credit manager (with assets over $50 billion), Cheyne’s expertise includes investment-grade credit, event driven and real estate debt, supporting this assumption of credit risk by the fund. Portfolio manager Akin Akinloye has 16 years of convertible bond management experience, including the management of Cheyne’s convertible bond funds from the firm’s inception in 2000. Akinloye’s history with Cheyne founders, Jonathan Lourie and Stuart Fiertz, extends even further back to 1994, when the trio worked together at Morgan Stanley. The UCITS III label seems almost semantic, since the superseded offshore fund followed the same strategy, operating with a profile in keeping with UCITS III broad regulations for its nine-year life. According to Akinloye, “The decision to offer the strategy in a UCITS wrapper was to enable the widest possible investor base access to Cheyne’s convertible expertise”. To answer asset class liquidity concerns, Akinloye says the “belly” of the $600 billion convertibles market has ample liquidity for this strategy to accommodate a €600 million target for a capacity review.
Regarding risk management, Cheyne’s own 150% cap on gross exposure is somewhat tighter than the 200% limit for “simple” UCITS. Empowering its risk management team with veto power and insisting they report to the board independently are further safeguards that go beyond the UCITS requirements. The fund’s performance in 2010 was +10.7% and up to the end of March this year, the fund is up 4.4% in the base EUR class. USD and GBP classes are also available. Liquidity is provided fortnightly and additionally on the final business day of every month.
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Showing posts with label cheyne capital. Show all posts
Showing posts with label cheyne capital. Show all posts
Cheyne Real Estate Debt Fund Wins Credit & Distressed Category at EuroHedge Awards
London, 28th January 2011 – Cheyne Capital Management (UK) LLP's ("Cheyne Capital") Real Estate Debt Fund (the "Fund") has won the Credit & Distressed Fund category in the tenth annual EuroHedge Awards.
The EuroHedge Awards recognise the top performing funds in the industry, based on an established quantitative methodology, primarily on Sharpe ratios and returns.
This award follows the Cheyne Real Estate Debt Fund's very strong performance in 2010 with a cumulative net return of +19.84% and a Sharpe of 4.56.
The Fund invests in senior real estate debt backed by commercial and residential property in the UK and Europe. The investment approach emphasises the valuation of the underlying real estate property and loan structure in order to identify undervalued securities in a stressed asset class. The assets are predominantly linked to Libor and offer attractive cash-on-cash yield.
Jonathan Lourie, founder and Chief Executive of Cheyne Capital, said: "This is Cheyne's fourth EuroHedge Award over the last seven years which, alongside the numerous other awards that the firm has won, reflects Cheyne's long history of creating and successfully managing innovative alternative investment products."
Stuart Fiertz, co-founder and President of Cheyne Capital, said: "I am delighted that the Real Estate Debt Fund has been given this award, which reflects the depth of expertise of the Fund's team. The Fund has consistently performed well since its launch in August 2009 thanks to its ability to find value in the current dislocation in European real estate debt markets."
John Hyman joins Cheyne Capital Management (UK) LLP
London, 18 November 2010 - Cheyne Capital Management (UK) LLP ("Cheyne Capital") is pleased to announce the appointment of John Hyman as a Partner. Mr. Hyman will leverage his extensive industry experience to help Cheyne Capital to further develop its equity business, launch new products and research investment ideas.
This appointment follows a period of renewed momentum at Cheyne Capital which has seen capital inflows from new and existing clients since early 2009. Cheyne Capital's Real Estate Debt Fund, launched in August 2009, its Total Return Credit Fund, launched in May 2009 and the European Event Driven Fund, launched in October 2009, have all returned over 20% since inception.
"John Hyman's appointment comes at an important time in Cheyne's development as the firm sees strong returns from flagship funds. John's global markets expertise will be invaluable to Cheyne as we build out our equities business," said Jonathan Lourie, Chief Executive.
"John will be a key addition to our team. We are seeing a raft of new opportunities in the markets and we look forward to benefiting from John's considerable insight and knowledge as Cheyne continues to innovate and pioneer new ways to secure strong returns for investors," commented Stuart Fiertz, President.
John Hyman said: "I am delighted to be joining Cheyne, a firm with a leading position in Europe and considerable intellectual capital in key asset classes such as credit, real estate debt and equities. I look forward to contributing to its growth and supporting its continued development."
John Hyman has over twenty-three years experience in the equities industry. He worked at Morgan Stanley for seventeen years as Co Head of Global Capital Markets, Co Head of Global Equity Capital Markets and oversaw all Morgan Stanley's Equity transactions in EMEA and Asia from 2005 to 2009. John was also a member of Morgan Stanley's Global Management Committee. Before that, John spent six years at Lehman Brothers.
Cheyne Capital's CIO Chris Goekjian on leverage
European lawmakers are watering down their proposals for an across-the-board cap on hedge fund leverage, says Cheyne Capital Chief Investment Officer Chris Goekjian to Reuters Insider.
Watch the full interview at: http://blogs.reuters.com/fundshub/2010/09/13/cheyne-capital-on-leverage/
Watch the full interview at: http://blogs.reuters.com/fundshub/2010/09/13/cheyne-capital-on-leverage/
Cheyne Capital NewsLetter - Outlook for 2010
After the traumatic economic dislocation in 2008, which resulted in an almost unprecedented destruction in value for investors worldwide, 2009 saw some return to normality in valuations and returns. We are pleased to report that Cheyne had a very busy and successful year in terms of repositioning to better reflect current market opportunities, adding new management, new fund managers, new investment vehicles, and helping our investors achieve attractive returns. Today Cheyne Capital manages net assets of approximately US$ 5.5 billion across corporate credit, real estate and asset-backed strategies, event driven, convertible bonds, equity longshort, equity macro, and fund of funds.
Most major equity indices were up over 20% in 2009 and over 65% from the March 2009 lows. To put this rally in context, despite a solid 2009, equities will exit the noughties with their worst 10-year performance history on record (eg MSCI World Index is down -17% since 1999). Equities are more reasonably valued today on several key metrics, for example, the forward P/E ratio is 50% lower than it was 10 years ago, the dividend yield is 2x higher, and the risk-free rate of return is 40% lower. Prior to the last decade, there have been thirteen 10-year periods with negative stock returns. In every subsequent 10-year period, the annual returns have exceeded 10% and doubled the return of government bonds. Improving corporate profits, the re-emergence of M&A, reasonable valuations and, eventually, positive fund flows should be supportive for equities in 2010, but greater selectivity will be required. In 2009 smaller cap equities rallied the most as illustrated by the equally-weighted S&P 500 index which outperformed the S&P 500 by a whopping 20%. As a firm we believe the best risk-reward in equities today is in large cap equities with iconic brands, strong balance sheets, foreignsourced earnings, and pricing power.
Meanwhile, strong funds flows into credit should ensure a continuation of the robust performance enjoyed by investment grade credit in 2009 and fuel ongoing compression between crossover and investment-grade spreads. Even at current levels, investment-grade is pricing in Depression-era default rates, which Cheyne Capital feels are unlikely to be realised, given the healthy liquidity profiles and access to capital that most investment-grade credits continue to enjoy. Nonetheless, individual credit selection remains key both to avoiding defaults and maximising returns from trading names within the funds. Cheyne's rigorous research capability positions us to identify trading opportunities, and should renewed deterioration in economic conditions or a cessation of the global carry trade precipitate a new round of spread widening, we will be well placed to avoid the problematic names in our long-only portfolios and position them for trading gains in our long-short funds.
European high yield performed extremely well in 2009 and yields continue to look attractive for institutional and retail investors seeking good yield in a lower interest rate environment from an asset class where default rate expectations, although still higher than long run averages, are coming down fast. On the supply side, LBO/fallen angel borrowers needing to refinance shorter term debts and extend past the big wall of 2014/2015 maturities will focus on the high yield market, given loan market new issuance remains relatively sluggish. Forecasts of supply into Europe suggest EUR 40-45bn+ of new issuance for 2010. This should lead to a transformation of the European high yield market in terms of breadth and depth. Moving into 2010, there is a much smaller distressed bond market focused on actual distressed assets, as opposed to good companies with distressed bond prices. This is highlighted by the proportion of European high yield bonds trading under 60 which fell from 51% at the end of 2008 to 3.9% at the end of 2009. Nonetheless, Cheyne believes that 2010 will be another positive year for European high yield, although not to the extent of 2009, and expects to see many trade opportunities around the refinancing wall event that Cheyne is well placed to take advantage of, including inter alia bond tenders, distressed exchanges, debt-for-equity offers, and bond calls.
Following the extraordinary dislocation of the European asset backed market in 2008, the market recovered substantially in 2009. Over the course of 2010, we expect continued strength for first pay, good quality, highly rated asset backed bonds (RMBS or single loan CMBS), as real money accounts and hedge funds continue to enter the space. Spreads in this sector will, we believe, continue to tighten over the course of the year prompting investors to look for yield further down the capital structure. Cheyne believes the asset backed market offers substantial value against other fixed income asset classes. This will be a key opportunity for investors with the ability to analyse the underlying properties and related capital structures. With a focus on those specific market segments that continue to amply discount a reversal of the burgeoning global economic and financial markets recovery, we approach 2010 with fresh optimism.
Most major equity indices were up over 20% in 2009 and over 65% from the March 2009 lows. To put this rally in context, despite a solid 2009, equities will exit the noughties with their worst 10-year performance history on record (eg MSCI World Index is down -17% since 1999). Equities are more reasonably valued today on several key metrics, for example, the forward P/E ratio is 50% lower than it was 10 years ago, the dividend yield is 2x higher, and the risk-free rate of return is 40% lower. Prior to the last decade, there have been thirteen 10-year periods with negative stock returns. In every subsequent 10-year period, the annual returns have exceeded 10% and doubled the return of government bonds. Improving corporate profits, the re-emergence of M&A, reasonable valuations and, eventually, positive fund flows should be supportive for equities in 2010, but greater selectivity will be required. In 2009 smaller cap equities rallied the most as illustrated by the equally-weighted S&P 500 index which outperformed the S&P 500 by a whopping 20%. As a firm we believe the best risk-reward in equities today is in large cap equities with iconic brands, strong balance sheets, foreignsourced earnings, and pricing power.
Meanwhile, strong funds flows into credit should ensure a continuation of the robust performance enjoyed by investment grade credit in 2009 and fuel ongoing compression between crossover and investment-grade spreads. Even at current levels, investment-grade is pricing in Depression-era default rates, which Cheyne Capital feels are unlikely to be realised, given the healthy liquidity profiles and access to capital that most investment-grade credits continue to enjoy. Nonetheless, individual credit selection remains key both to avoiding defaults and maximising returns from trading names within the funds. Cheyne's rigorous research capability positions us to identify trading opportunities, and should renewed deterioration in economic conditions or a cessation of the global carry trade precipitate a new round of spread widening, we will be well placed to avoid the problematic names in our long-only portfolios and position them for trading gains in our long-short funds.
European high yield performed extremely well in 2009 and yields continue to look attractive for institutional and retail investors seeking good yield in a lower interest rate environment from an asset class where default rate expectations, although still higher than long run averages, are coming down fast. On the supply side, LBO/fallen angel borrowers needing to refinance shorter term debts and extend past the big wall of 2014/2015 maturities will focus on the high yield market, given loan market new issuance remains relatively sluggish. Forecasts of supply into Europe suggest EUR 40-45bn+ of new issuance for 2010. This should lead to a transformation of the European high yield market in terms of breadth and depth. Moving into 2010, there is a much smaller distressed bond market focused on actual distressed assets, as opposed to good companies with distressed bond prices. This is highlighted by the proportion of European high yield bonds trading under 60 which fell from 51% at the end of 2008 to 3.9% at the end of 2009. Nonetheless, Cheyne believes that 2010 will be another positive year for European high yield, although not to the extent of 2009, and expects to see many trade opportunities around the refinancing wall event that Cheyne is well placed to take advantage of, including inter alia bond tenders, distressed exchanges, debt-for-equity offers, and bond calls.
Following the extraordinary dislocation of the European asset backed market in 2008, the market recovered substantially in 2009. Over the course of 2010, we expect continued strength for first pay, good quality, highly rated asset backed bonds (RMBS or single loan CMBS), as real money accounts and hedge funds continue to enter the space. Spreads in this sector will, we believe, continue to tighten over the course of the year prompting investors to look for yield further down the capital structure. Cheyne believes the asset backed market offers substantial value against other fixed income asset classes. This will be a key opportunity for investors with the ability to analyse the underlying properties and related capital structures. With a focus on those specific market segments that continue to amply discount a reversal of the burgeoning global economic and financial markets recovery, we approach 2010 with fresh optimism.
Cheyne Capital Profile
Cheyne Capital is one of Europe’s leading alternative asset managers. Cheyne Capital Management (UK) LLP is authorised and regulated by the UK FSA. Cheyne launched its first fund in 2000 and today is diversified across a number of strategies including corporate credit, event-driven, real estate, equity, and equity-linked investing. The Cheyne group currently employs approximately 170 people with its primary offices in London, New York, and Bermuda.
Cheyne Capital has been ranked Europe's 12th largest Hedge Fund in 2009 by The Hedge Fund Journal.
The Hedge Fund Journal annually lists Europe's largest hedge fund managers by assets under management.
Headquarters:
Stornoway House, 13 Cleveland Row, London, SW1A 1HD. United Kingdom
Key Executives:
Mr. Jonathan Harry Lourie - Chief Executive Officer
Mr. Stuart Chapin Fiertz Co - Founder
Mr. Christopher Goekjian - Chief Investment Officer
Mr. Gary John Ibbott - Chief Financial Officer
Mr. Jeff Bronheim - General Counsel
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