Investment Grade Quarterly Update – October 2020
This bond fund aims to achieve a positive return over 3 years with a volatility of maximum 3% per annum, while respecting risk diversification.
The fund invests worldwide mainly in shorter-term investment-grade bonds and similar fixed-interest or floating-rate securities in various currencies of diverse issuers that meet specific sustainability criteria. The fund's average maturity is 3.5 years. The fund can use derivative financial instruments for hedging purposes.
The experienced and diverse investment team takes high-conviction decisions based on rigoros macro-economic, technical and issuer analyses. To define the investment universe, the team applies a two-step sustainability screening based on a proprietary scoring model: 1) to exclude issuers active in controversial businesses, like tobacco, alcohol, weapons, or gambling, or intensively using fossil resources, 2) to include only those issuers whose sustainability scores exceed the defined minimum. In line with their continuous assessment of market developments, the team flexibly allocates interest-rate and credit risks in the portfolio, striving to benefit throughout the economic cycle.
We believe that Environmental, Social and Governance (ESG) factors can have an influence on the value of our investments and the main objectives should always be to enhance investor returns and to play a part in promoting better outcomes. This is why we decided to launch the Vontobel Fund - TwentyFour Sustainable Short Term Bond Income, within which we apply both positive and negative screening based on our proprietary ESG model.
The Fund has an ESG overlay of both negative and positive screens. A positive screen is applied to any issuer who scores greater than or equal to 34 in the TwentyFour Observatory ESG system/scoring model, while a negative screen helps enable the Fund to avoid companies with material production1 in the following sectors:
Tobacco Alcohol Weapons Animal Testing For Cosmetic Purposes Gambling Coal Intensive Industries Adult Entertainment UN Global Compact Violators2
Our initial modelling, where we applied an ESG overlay to our existing Absolute Return Credit fund’s performance, showed that the higher the ESG score (and therefore the higher the positive screen), the higher the return would have been, but also the higher the volatility. We chose a score of 34 as our modelling showed this would have given the best possible risk-adjusted returns (Sharpe Ratio), while keeping volatility less than 3% at all times, and having a high level of portfolio diversification.
(as at 31st December 2019)
*Negative and Positive screens would only be applied to a fund following the Sustainable, Long Only, Short Duration Credit approach, not to the existing Vontobel Fund - TwentyFour Absolute Return Credit Fund
1 We define 'material production' as meaning sources of revenue greater than 5%. We do however strongly believe in rewarding those companies who are providing solutions to ESG problems and/or are making positive strides to improve the direction of their company from an ESG perspective. Thus we have the flexibility when deciding whether a negative screen ultimately applies to take a view on the ESG 'Momentum' of a company.
2 We will not knowingly hold any issuer producing cluster munitions and landmines (anti-personnel mines) in line with international conventions.
3 Refers to the Vontobel Fund - TwentyFour Absolute Return Credit Fund G Share Class in GBP.
All data is as at 30 Nov 2020 unless otherwise indicated.
|Portfolio Manager||TwentyFour Asset Management LLP|
|Share Class Currency||GBP|
|End of fiscal year||31 August|
|Share Class Launch date||22 Jan 2020|
|Fund Registrations||AT, CH, DE, ES, FI, FR, GB, IE, IT, LI, LU, NL, PT, SE|
|Share Class Registrations||CH, GB, LI, LU|
|Highest since launch||100.26|
|Lowest since launch||95.91|
|Fund size in mln.||GBP 38.23|
|Share class size in mln.||GBP 23.37|
|TER*||0.35% (28 Feb 2020)|
|Depository||RBC Investor Services Bank S.A.|
|Management Company||Vontobel Asset Management S.A.|
|Swiss Paying Agent||Bank Vontobel AG|
|Swiss Representative||Vontobel Fonds Services AG|
|Share class||Currency||ISIN||Distrib.||Type||Launch date||Management fee||TER*||TER Date|
|AHI (hedged)||EUR||LU2081486727||Dist||Institutional||22 Jan 2020||0.40%||0.56%||28 Feb 2020|
|AQG||GBP||LU2081485596||Dist||Institutional||22 Jan 2020||0.25%||0.35%||28 Feb 2020|
|AQI||GBP||LU2081485919||Dist||Institutional||22 Jan 2020||0.40%||0.50%||28 Feb 2020|
|AQNG||GBP||LU2081485679||Dist||Retail||22 Jan 2020||0.25%||0.39%||28 Feb 2020|
|G||GBP||LU2081485240||Accum||Institutional||22 Jan 2020||0.25%||0.35%||28 Feb 2020|
|HI (hedged)||EUR||LU2081486560||Accum||Institutional||22 Jan 2020||0.40%||0.56%||28 Feb 2020|
|NG||GBP||LU2081485323||Accum||Retail||22 Jan 2020||0.25%||0.39%||28 Feb 2020|
All data is as at 30 Oct 2020 unless otherwise indicated.
|Factsheets & Commentaries|
|AGM EGM invitation||Jan 2020|
|Articles of Association||Apr 2016|
|Notification to Investors||Nov 2019|
|Sales Prospectus||Dec 2019|
|Annual Report||Aug 2019|
|Semi-Annual Report||Feb 2020|
|UK Tax Reporting||Aug 2019|
|Holiday Calendar 2020||Jan 2020|
|Order Subscription Form||Jan 2020|
|Sanctioned Countries||Sep 2016|
|Shareclass Naming Convention||Nov 2019|