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Algebris UCITS Funds plc - Algebris Financial Credit Fund

Europe hybrid bonds with AT1 focus. Active strategy with concentrated portfolio.

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About the Fund

Data as of

Algebris Investments is a London-based boutique asset manager founded in 2006 and private owned by Davide Serra, who is also the CEO of the firm. Algebris specialises in European financial institutions in particular bonds across the whole credit structure. The firm manages about EUR 24bn of assets.

The Algebris Financial Credit Fund is an actively managed bond strategy that aims to achieve a high level of current income and modest capital appreciation, by investing primarily in subordinated and hybrid bonds (Tier 1, Tier 2, contingent convertible (CoCo) bonds and preferred shares) issued by Global Systematically Important Financial Institutions (G-SIFIs). Portfolio exposure is typically Europe-only with >70% in AT1s.

The fund’s portfolio construction involves both top-down macro assessment and bottom-up bond picking. The top-down assessment considers prevailing market situation as well as a variety of macroeconomic risks. The bottom-up selection process involves fundamental analysis of individual bonds and also a review on the value and economic prospects of the issuer companies. Position taking typically happens with a change trigger, such as changes in fundamentals or financials or management of the issuer. The fund has a concentrated portfolio of >180 holdings.

Performance

Price Performance – Maximum Period

The FairHorizon Context

Investment-Time-Horizon in years

0 - 22 - 44 - 7 7 - 1010 - 1515+
Expected long-term return
2 - 4% p.a.
Expected volatility
3 - 5% p.a.

Building Block Returns

Algebris UCITS Funds plc - Algebris Financial Credit Fund

Ann. return (3-year):
11.44%
Ann. return (5-year):
5.03%
Ann. return (10-year):
7.33%
Ann. Standard Deviation (5-year):
7.71%

This fund provides an active approach to invest in the preferred and capital securities market, with a focus on European AT1s.

Benchmark Returns

iShares Global High Yield Corp Bond UCITS ETF

Ann. return (3-year):
8.47%
Ann. return (5-year):
3.18%
Ann. return (10-year):
4.57%
Ann. Standard Deviation (5-year):
8.74%

FairHorizon Benchmark Returns

Dimensional Funds PLC - World Allocation 60/40 Fund

Ann. return (3-year):
12.53%
Ann. return (5-year):
6.41%
Ann. return (10-year):
—
Ann. Standard Deviation (5-year):
9.71%
Link to the Funds FairSheet

The Dimensional World Allocation 60/40 Fund is our FAIRHORIZON Yellow reference benchmark solution that has 60% global developed equities and 40% global investment grade short-to-medium maturity bonds for global high risk bonds-like or multi-asset returns and volatility.

SHARING OUR PASSION FOR INVESTMENTS FAIRSHEET™  Algebris UCITS Funds plc - Algebris Financial Credit Fund  Page 1/2

Why we prefer this fund

Relevance of strategy

This fund provides an active approach to invest in the preferred and capital securities market, with a focus on European AT1s.

Manager expertise

This is the flagship fund of Algebris and is managed since inception by Sebastiano Pirro who is the CIO of the firm and Head of Financial Credit strategies.

Historical maximum drawdown & recovery time

Max drawdown (since inception)
-21.64%
Recovery Period
72 Days

Diversification

Credit Rating

  • A0.43%
  • Baa23.25%
  • Ba40.78%
  • Others35.54%

Sectors

  • Corporate86.97%
  • Cash12.71%
  • Others0.33%

Geography

  • United Kingdom17.54%
  • Spain16.80%
  • Italy14.61%
  • Cash12.71%
  • Germany10.79%
  • France10.03%
  • Netherlands6.21%
  • Switzerland5.42%
  • Ireland2.42%
  • Austria1.29%
  • Belgium0.70%
  • Others1.48%