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Lawrence Park Capital Partners Credit Strategies Fund. June 2014. Disclaimer. - PowerPoint PPT Presentation

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PowerPoint Presentation

June 2014

Lawrence Park Capital PartnersCredit Strategies FundDisclaimerTHIS SUMMARY HAS BEEN PREPARED FOR INFORMATIONAL PURPOSES ONLY, SOLELY AS A PRELIMINARY DOCUMENT TO DETERMINE INVESTOR INTEREST REGARDING LAWRENCE PARK CREDIT STRATEGIES FUND (THE FUND), WHICH IS DESCRIBED HEREIN. EXCEPT AS OTHERWISE DESCRIBED IN THE FUNDS CONFIDENTIAL PRIVATE PLACEMENT MEMORANDUM (THE PPM), DATED March 3, 2014, THIS DOCUMENT MAY NOT BE REPRODUCED FOR ANY PURPOSE OR PROVIDED TO OTHERS IN WHOLE OR IN PART WITHOUT THE PRIOR WRITTEN PERMISSION OF THE FUND MANAGER OF THE FUND (THE FUND MANAGER). AN OFFER OR SOLICITATION WILL BE MADE ONLY THROUGH THE PPM, AND WILL BE SUBJECT TO THE TERMS AND CONDITIONS CONTAINED IN THE PPM. THIS SUMMARY DOES NOT CONSTITUTE AN OFFER TO SELL OR BUY ANY SECURITIES. THE INFORMATION SET FORTH HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS INTENDED TO BE READ IN CONJUNCTION WITH THE PPM. ALL INFORMATION AND OPINIONS AS WELL AS ANY FIGURES INDICATED HEREIN ARE SUBJECT TO CHANGE WITHOUT NOTICE. THE INVESTMENT RATES OF RETURN SET FORTH HEREIN DO NOT REFLECT MANAGEMENT FEES, EXPENSES OR CARRIED INTEREST TO BE CHARGED BY THE FUND MANAGER.

THIS PRODUCT WILL BE AVAILABLE TO ACCREDITED INVESTORS AS THAT TERM IS DEFINED UNDER CANADIAN SECURITIES LEGISLATION. IN ONTARIO, IN ORDER FOR INVESTORS TO BE CONSIDERED ACCREDITED INVESTORS, INVESTORS MUST MEET CERTAIN ELIGIBILITY REQUIREMENTS WITH REGARDS TO FINANCIAL ASSETS AND/OR INCOME HISTORY. AN INVESTMENT IN THE FUND WILL INVOLVE SIGNIFICANT RISKS DUE, AMONG OTHER THINGS, TO THE NATURE OF THE FUNDS INVESTMENTS. THE RISK FACTORS WILL BE CONTAINED IN THE PPM. INVESTORS SHOULD HAVE THE FINANCIAL ABILITY AND WILLINGNESS TO ACCEPT RISKS WHICH ARE CHARACTERISTIC OF THE INVESTMENTS DESCRIBED HEREIN. THIS PRESENTATION DOES NOT CONSIDER THE SPECIFIC INVESTMENT OBJECTIVES, FINANCIAL SITUATION OR PARTICULAR NEEDS OF ANY RECIPIENT. NO ASSURANCE CAN BE GIVEN THAT THE FUNDS INVESTMENT OBJECTIVE WILL BE ACHIEVED OR THAT THE INVESTORS WILL RECEIVE A RETURN OF THEIR CAPITAL. ACCORDINGLY, THE PPM SHOULD BE READ IN ITS ENTIRETY AND REVIEWED BY POTENTIAL INVESTORS LEGAL AND FINANCIAL ADVISORS.

CONFIDENTIAL22Specialists in Global Fixed Income.Lawrence Park Capital Partners

CONFIDENTIAL3Strong, Experienced Team.Disciplined, repeatable process.3Lawrence Park Credit Strategies FundOver 28 months of performance in the Lawrence Park Credit Strategies Fund*:Net return of 18.59% in 28 months/7.58% annualized returnSharpe ratio of 4.07; Sortino ratio of 6.30 26 months of positive returnsAnnualized volatility of 1.53%Very low correlation to traditional fixed income and equity markets

CONFIDENTIAL4Capital Preservation.Low Volatility.Consistent Returns.*A Series; Sharpe and Sortino ratios based on daily returns4Lawrence Park Capital Partners

CONFIDENTIAL5Established in 2011Toronto-based alternative Fixed Income specialistC$350m million Assets Under ManagementPortfolio Manager Lawrence Park Credit Strategies FundSub-advisor United FI PoolPortfolio Manager CI Lawrence Park Strategic Income FundVeteran Fixed Income Team with significant international expertisePartnered with CI Financial

5Distinctly Canadian, Uniquely Global

CONFIDENTIAL6Andrew Torres: Founder & Chief Investment Officer19+ years Global Fixed Income and Portfolio ManagementFormer Vice Chair & Global Head of Credit Trading for TD SecuritiesFormer Partner and Portfolio Manager for Aladdin Capital Management UKJason Crowley, CFA: Partner, Portfolio Manager17+ years Global credit portfolio manager, proprietary trader, global risk managerFormer Managing Director & Senior Bond Trader, Bank of Nova ScotiaJohn B. Young, CFA: Partner, Chief Risk & Financial Officer18+ years Global fixed income manager, convertible arbitrage specialistFormer Chief European Portfolio Manager for Fore Research & ManagementFormer Managing Director and Convertible Arbitrage Specialist, TD Securities

6A Solid, Seasoned, and Professional TeamPartners and staff combine for over 70 years experience trading, structuring, and building fixed income credit businesses globallyEstablished investment strategy honed over two decades managing multi-billion dollar portfoliosProprietary investment strategies employed using bank capital

Senior partners bring extensive experience from major global financial centres: London, New York, and TorontoFirst hand knowledge and understanding of the nuances of each market/regionExperience evaluating and hedging credit opportunities across multiple currencies and marketsExtensive long-standing relationships with sell side communityDaily insight into the inventories and axes of 42 global bond dealer and broker desks

CONFIDENTIAL77The Lawrence Park ApproachProcessIdentify bonds which have become dislocated from normal pricing relationships, taking advantage of market inefficiencies and changes in investor sentimentFocus on investment grade corporate bonds, which offer greater liquidity and are more resilient in times of market stressHedge out interest rate risk and currency risks, significantly reducing Fund volatility

FoundationNimble, mean reversion approach to tradingTechnical based screening analysis with in-depth fundamental overlayActive trading strategy with timely profit taking and redeployment of capitalLow exposure to interest rate movesDisciplined trading governed by strong risk metrics/controls

ResultsTarget net annual returns of 6-10%Low volatility: low correlation to traditional asset classes: superior risk-adjusted returns.

CONFIDENTIAL88

CONFIDENTIAL9The Bond Market is a massive, decentralized network of market participantsFinding Relative ValueThe Lawrence Park Credit Strategies Fund invests and profits from the inefficiencies across Global Bond Markets

MaturitySpreadExample: Royal Bank of Scotland Subordinated DebtPlot of Royal Bank of Scotland subordinated debt in various currencies, as at April 7, 2014. For illustrative purposes only.9Consistent Returns

CONFIDENTIAL10JanFebMarAprMayJunJulAugSeptOctNovDecTotal 20120.53%0.36%-0.43%1.33%1.61%0.89%1.59%1.06%0.54%1.03%8.83%20131.12%0.42%0.43%0.52%0.54%-2.52%0.53%0.21%0.00%1.18%0.92%0.94%4.33%20140.44%1.32%0.87%0.85%0.48%0.41%4.45%Corporate Bond IndexCorporate Spread Index*Series A returns5410With Low Volatility

CONFIDENTIAL1111Superior Risk-Adjusted Returns

CONFIDENTIAL12Sharpe Ratio*LP CSF4.07DEX0.76TSX0.70BGCI2.46*As of June 30th, 2014*Sharpe Ratio: [Annualized return - Risk Free Rate (1%)] / [Annualized Vol]LPCSF: LP Credit Strategies Fund Series A, net of all feesDEX: XCB-T, an ETF based on the DEX Corporate Index, net of all feesBGCI: Barclays Global Credit Index, excess returns in Canadian Dollars12Low Correlation To Traditional Asset Classes

CONFIDENTIAL13Correlation (R-value)TSX0.281DEX-0.063BGCI0.59313Portfolio Diversification

CONFIDENTIAL14As of June 30, 201414Portfolio Construction

CONFIDENTIAL15Core CreditBest selections from global marketsLong positions with interest rate hedges in placeMomentum TradingOpportunities arising from:Short-term price dislocationsNew issue calendarSupply/demand considerations Event driven movementCarry and Roll DownShort dated securities that provide income: coupon and convergence to maturitySecurities generally have less than three years to maturityCredit ArbitrageTaking both long and short positions in securities of the same company.Capturing anomaliesCross currencyCapital structureCurve tradingRelative ValueTaking a long position in one companys securities vs. taking a short position in another companys securities, or a short position in an index

15Strategy Allocation2

CONFIDENTIAL1616Return Attribution-Strategy2

CONFIDENTIAL1717Risk Metric: Change in CS01

CONFIDENTIAL18The sensitivity of the value of the portfolio to a 1 basis point change in credit spreads. 18Risk Metric: Change in CS1%

CONFIDENTIAL19The sensitivity of the value of the portfolio to a 1% change in the credit spread of each bond in the portfolio. This risk measure describes the behaviour of the value of the portfolio to a non-parallel change in credit spreads19Portfolio Trends

CONFIDENTIAL20Top Ten Holdings

IssueIssuerRatingSectorBACN 6.29 02/15 CADBELL ALIANT REGIONAL COMBBBCommunicationsWU 5.93 10/16 USWESTERN UNIONBBBFinancialVSNCN 3.95 3/17 CADVERESEN INCBBBEnergyRCICN 5.8 5/16 CADROGERS COMMUNICATIONS INBBB+CommunicationsCUFCN 4.274 6/17 CADCOMINAR REITBBB-FinancialWNCN 3.78 10/16 CADGEORGE WESTON LTDBBBConsumer, Non-cyclicalJNPR 3.1 3/16 USDJUNIPER NETWORKS INCBBBCommunicationsEMPACN 3.52 8/18 CADSOBEYS INCBBB-Consumer, Non-cyclicalBPLN 2.744 02/17 CADBP CAPITAL MARKETS PLCAEnergyHEQCN 2.203 3/17 CADCHIP MORTGAGE TRUSTAAAFinancialMacroeconomic ThemesGlobal interest rates to remain volatile as central banks grapple with uneven growthUS wage inflation to become a more pressing issue heading into 2015Credit fundamentals remain broadly stable with low default rates

Portfolio & Trading ThemesCorporate credit spreads remain reasonably valued compared to historic tights, and adequately compensate for default riskNew issue supply to remain robust, fuelled by increased M&A activityBank & Insurance sectors continue to restructure capital profile to meet regulatory hurdlesSelect opportunities in European and Emerging Market credit over North America20Risk Management

CONFIDENTIAL21Market Risk Management PolicyStop-loss limits for trade groups as well as the overall portfolioExtensive daily risk reports Detailed risk management policy manualRegular portfolio review by Risk CommitteeNon-trading risk committee chairMinimum mandated weekly meetingsFull audit trail with committee member sign-off

Committee Chair: John Young, CA, CFA

21Risk

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