SRP reviewed how some of the biggest funds of structured products registered in the UK and Ireland performed in December 2024.
Levendi Thornbridge Defined Return Fund
Levendi’s fund comprises of a diversified portfolio of defined return investments linked to major market equity indices. It aims to maximise the chance of generating an average medium-term annual return of six percent above GBP deposit rates.
Against a backdrop of UK and US markets registering a -1.38% and -2.5% loss, respectively, and European markets gaining 1.91%, the fund remained stable in December at -0.08%. Its cumulative performance for 2024 is 4.49% while the fund’s return over the past five years equals 28.99%.
Throughout December, the fund saw a healthy amount of roll, with three new positions being put on totalling £15m in notional - Nicholas Cogswell
“Throughout December, the fund saw a healthy amount of roll, with three new positions being put on totalling £15m in notional and with coupons as high as 8.92%,” Nicholas Cogswell (pictured), head of business development at Levendi Investment Management told SRP.
“As such the year closed with a whopping 32 positions autocalling, amounting to around £86m in aggregate notional rolled throughout 2024,” Cogswell added.
The average cover to achieve the target return was 38.8% while the average cover to capital preservation was 49.7%, with the worst performing position still enjoying a 43.1% buffer.
“This means that markets need to drop 43.1% for its capital to start being affected, with no cliff-edge experienced at the barrier level,” Cogswell said.
The fund’s assets under management (AuM) grew over 20% to £133.3m (US$163.9m) during 2024 whilst it recorded its longest streak of 11 consecutive months of positive returns.
“2024 was a brilliant year for the fund as well as the business as a whole […] we onboarded a number of new clients and are starting to see significant flows from them,” said Cogswell.
We’re incredibly lucky to now have a long, proven track record and history - Nicholas Cogswell
On 31 January 2025, the fund celebrated its seventh anniversary.
“We’re incredibly lucky to now have a long, proven track record and history. As such we are going into 2025 with a lot of momentum and the goal for the year is to compound that momentum even further.
“We expect to significantly grow the partners we work throughout 2025, not only commercially but also operationally. We have big goals for continuing to grow the fund's AuM and look forward to the year ahead,” Cogswell concluded.
At end-December 2024, the fund had 97.4% exposure to dual-index autocalls of which 60.1% is linked to the S&P 500/Eurostoxx 50; 35.8% is linked to the FTSE 100/S&P 500; and 1.5% is linked to FTSE 100/Eurostoxx 50.
Some 52.9% of the fund’s products are autocalling at current market levels.
Levendi Thornbridge Defined Return Fund has £133.3m (US$163.9m) AuM as of 31 December 2024. The fund was launched on 31 January 2018 and has a minimum subscription of £5m for institutional investors (B-Class) and £1,000 for retail investors (A-Class).
Atlantic House Defined Returns Fund
Launched in 2013 and with assets of more than £2 billion, this Dublin domiciled fund is one of the oldest and most established funds of structured products.
The fund aims to deliver an annualised net return of 7-8% of the medium to long-term in all but the bleakest market conditions. It will do so via an actively managed exposure to a diversified portfolio of structured products linked to global equity indices.
Aimed at advised and discretionary market investors, the fund benchmarks its performance to the Solactive United Kingdom Large Cap Ex Investment Trust Net Total Return Index, the Solactive US Large Cap Index and the Solactive Euro 50 Net Total Return Index.
December was a subdued month for the fund, which was down -0.19%, with the large cap markets of the UK, US and EU returning -1.3%, -2.8% and 1.9%, respectively. It’s cumulative performance for 2024 is 6.51%.
During the month there were six autocall maturities that had an average annual coupon of 8.83%. These were replaced with four new dual-index autocalls with average annual coupons of 9.0%.
End-December 2024, the fund’s average cover before capital loss was 35.89% with the average cover to achieve a positive return set at 31.35%.
The fund’s sensitivity (‘delta’) to market moves increased slightly and reached 37% at the end of the year. The average time to maturity of the investments held in the fund is currently 1.37-years.
Atlantic House Defined Returns Fund has £2.4 billion (US$3 billion) in AuM as of 31 December 2024. The fund was launched on 4 November 2013 and the minimum subscription is £5m or an equivalent amount in another currency. Key investor information risk and reward profile: six out of seven.
Atlantic House Global Defined Returns Fund
The UK investment manager launched another Dublin registered fund in June 2023. It aims to generate an annualised net return of 8-9% pa over the medium to long-term in all but the bleakest market conditions.
It will do so via an actively managed portfolio of structured products linked to global equity indices. To provide the return of capital to investors over time, the fund invests in US government bonds.
In December, the Solactive GBS Developed Markets Large & Mid Cap Index, the fund’s benchmark, was down -2.45% for the month but the fund itself was down just -0.40%. The cumulative performance of the fund for 2024 was 7.41% against 18.59% for the benchmark.
There was one autocall maturity in December while three new autocalls with average annual coupons of 9.75% were added during the month. The fund now comprises 27 autocall investments with maturity dates spread throughout the calendar.
The fund’s average cover before capital loss was 32.41% with an average cover to achieve a positive return of 26.88%. The average time to maturity of the investments held in the fund is currently 1.62-years.
The Atlantic House Global Defined Returns Fund has US$80.4m in AuM as of 31 December 2024. The fund was launched on 26 June 2023 and the minimum investment is US$10,000 or the equivalent in EUR, GBP or CHF. Key investor information risk and reward profile: six out of seven.
Fortem Capital Progressive Growth Fund
This Irish Ucits V Icav fund aims to provide positive returns of 6-7% along with reduced equity beta over the medium to long term. To provide capital growth it invests in structured products linked to major equity indices with a maximum of two underlying indices per investment.
The fund posted a negative return of -0.57% for December. However, its performance for the year, at 5.27%, is positive as is the performance since inception (33.66%). The average cover to capital preservation was 34.6% with the average cover to capital growth set at 33.6%.
Fortem Capital Progressive Growth Fund has £386.2m (US$474.8.7m) in AuM as of 31 December 2024. The fund was launched on 20 September 2017 and the minimum subscription is £5m. Key investor information risk and reward profile: four out of seven.
This fund, which is developed by Investec Wealth & Investment and Protean Capital, aims to generate income and capital growth through investments in structured products linked to major global equity markets.
The fund’s cumulative performance for 2024 was 5.58% while since inception it has returned 33.38%.
In December, the fund was invested in 43 structured products, including a Barclays FTSE Income Note 06/28 (3.63% of the fund), a CIBC Dual Index Income Note 08/29 (3.19%), and a Cacib FTSE Income Note 05/28 (3.07%).
Under current market conditions, the manager is anticipating annual growth of circa cash +3.5% over the longer term.
VT Protean Capital Elder Fund has £93.2m (US$114.6m) in AuM as of 31 December 2024. The fund was launched on 30 August 2017 and the minimum subscription is £2m for institutional investors and £100 for retail investors. Key investor information risk and reward profile: four out of seven.
VT SG UK Defined Return Assets Fund
Another fund from Valu-Trac (VT), the VT SG UK Defined Return Assets Fund is sponsored by Société Générale and will seek to achieve its objective – generating capital growth over the long term – primarily via exposure (indirectly by way of a swap) to a portfolio of defined return investments.
The portfolio is composed of 12 rolling up to six-year autocalls (each of which will have a potential maturity date on a different calendar month each year) which are designed to provide a defined return if the FTSE 100 is at, or above, a predefined level on a specified date.
During December, the fund returned -0.65%, ahead of the FTSE 100 Total Return Index which returned -1.29%.
The indicated gross redemption yield at the end of December 2024 decreased to 7.70%. The December observation point triggered a reset of that contract, with a new 5.30% coupon replicating that previously held. Following the month end, the January observation point also triggered a reset, with a new 5.60% coupon. The average time to maturity is 1.31-years. At current market levels, all the autocallable investments are likely to call within three-years.
VT SG UK Defined Return Assets Fund has £15.1m (US$18.5m) in AuM as of 31 December 2024. The fund was launched on 31 January 2018 and the minimum subscription is £5,000. Key investor information risk and reward profile: five out of seven.
Lowes UK Defined Strategy Fund
This Irish domiciled Ucits fund aims to provide capital growth over the medium to long term in rising, directionless or modestly falling UK equities markets by investing in structured products.
The fund moved little in December, ending down slightly at -0.26%.
Two strategies had observation dates during December, both leading to maturities.
The first was a FTSE 100-linked structured note with Credit Agricole as the counterparty, which matured on its first anniversary with a gain of 9.60% from a rise of 6.12% in the index.
The second strategy was a gilt collateralised over the counter (OTC) trade linked to a basket comprising the FTSE CSDI and Eurostoxx 50. This contract also matured on its first anniversary, giving a return of 8.15%.
Both strategies were replaced like-for-like, with coupons of 9.53% and 9.66%, respectively. The counterparty on the new structured note changed to Citigroup due to more competitive pricing.
As of end-December, the fund’s counterparty exposure was as follows: UK government (52.01%), Citigroup (8.29%), Crédit Agricole (4.10%), Morgan Stanley (7.91%), BNP Paribas (2.88%), Goldman Sachs (3.82%), UBS (5.63%), CIBC (3.57%), Santander (3.47%), Bank of America (3.59%) and Natixis (4.73%).
Lowes UK Defined Strategy Fund has £29.3m (US$36.5m) in AuM as of 31 December 2024. The fund was launched on 11 December 2018 and has a minimum subscription of £1m for institutional investors and £100 for retail investors. Key investor information risk and reward profile: five out of seven.
This Dublin registered fund (Ucits V) offers actively managed exposure to a portfolio of autocallable structured products linked to major equity indices. The products are backed by G7 government bonds, reducing counterparty bank risk.
Despite registering a negative performance for December at -0.18%, the fund’s cumulative performance for 2024 was in the green (14.31%). Since its launch in February 2020, it has provided an annual return of 5.02%.
The current portfolio comprises 15 step-down autocalls that pay an average coupon of 10.50% pa. The average distance above the final autocall barrier is 14.24%. If the product reaches the final observation date, the coupons are triggered if the underlying indices are above 80%, 75%, or in some cases, 65% of their initial level. All instruments are backed by G7 government bonds.
Thirty instruments have already matured, averaging a coupon of 9.36% pa.
Causeway Securities Defined Growth Fund has US$18.2m in AuM as of 31 December 2024. The fund was launched on 4 February 2020 and has a minimum subscription of $1,000. Key investor information risk and reward profile: six out of seven.
This UK open-ended investment company (OEIC) uses structured products to deliver reliable and consistent returns for portfolio managers allocating to alternatives.
In December, the fund posted a positive return of 0.96% while its cumulative 2024 performance is 7.37%.
Main contributors to the fund’s growth in December were a maturity from a secondary market Investec trade and coupon payments from some of the income notes it held.
The top 10 holdings of the fund included a Crédit Agricole FTSE/NKY Autocall (8.70% share); a UBS Reducing Autocall (6.79%) and a SCB Low Hurdle Autocall (5.65%).
As of 31 December 2024, the fund had exposure to 20 different counterparties. It is invested for 76.46% in core holdings and 15.33% in tactical holdings – both comprising broadly of structured products from a range of issuing banks. The remaining 8.21% were cash holdings. Its average cover to capital loss is 36% with the average cover to capital gain -12.63%.
The MGTS IDAD Refined Growth Fund has £2.61m (US$3.21m) in AuM as of 31 December 2024. The fund was launched on 23 August 2021. The minimum subscription is £50,000. Key investor information risk and reward profile: five out of seven.
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