In the second part of our funds of structured products roundup, we review how funds from Switzerland, the Netherlands, Luxembourg, Ireland, the UK and Canada performed in December 2024.
The objective of this Swiss open-ended fund is to provide an efficient investment in a diversified portfolio of barrier reverse convertible (BRC) products linked exclusively to equity indices of the major developed countries.
On the evening of 3 December, the fund sold its only position in the Kospi 200 with a profit at 100.72, a decision prompted by the unexpected declaration of martial law by the South Korean president, according to Vincent Bonnard, founding partner at Finanzlab.
Given the geopolitical uncertainty and potential risks to South Korea’s political and economic stability, we chose to minimise exposure - Vincent Bonnard
“Given the geopolitical uncertainty and potential risks to South Korea’s political and economic stability, we chose to minimise exposure […] the fact that the product was still trading above par made the decision easier,” he said.
A few days later, a spike in volatility allowed the fund to purchase a conditional coupon BRC on a basket comprising AEX, CAC 40, DAX and Nasdaq-100 issued via Raiffeisen and listed on the Swiss Stock Exchange.
“This marked Raiffeisen’s return to our portfolio, as they had issued the fund’s very first product back in October 2021,” said Bonnard, adding that this move not only capitalised on market conditions but also improved issuer diversification.
The fund closed the year at CHF118.09, giving an annualised performance of 3.91%, slightly below its annual target of 4 to 5%.
“This can be attributed to the general decline in market volatility, which impacted our average coupon, along with our steadfast commitment to a defensive strategy, reflected in the decision to maintain capital barriers at a very low level of 50% for new products,” said Bonnard.
Additionally, the fund's 11.77% performance in 2023 – also boosted by favourable mark-to-market levels at year-end – set a high benchmark that influenced 2024's comparative results.
“That said, we are very satisfied with the fund’s consistency. December marked the 16th consecutive month of positive monthly returns, and over the past 24 months, only August 2023 showed a minor decline of -0.09%. Furthermore, the fund’s volatility in 2024 was an exceptionally low 1.03%, reflecting its stability and resilience,” Bonnard (right) said.
By the end of December, the fund had exposure to 10 different issuers: BBVA (8.69%), Banque Cantonale Vaudoise (9.01%), Basler Kantonalbank (9.09%), Bank of America (8.62%), Banque Internationale à Luxembourg (7.87%), CIBC (15.23%), EFG (15.96%), Marex (8.85%), Raiffeisen (8.97%) and Vontobel (7.11%). Only 0.60% was held in cash.
The average coupon of the products included in the fund is 5.53% pa.
Finanzlab Multi Index Fund has CHF32.1m (US$35.4m) in AuM as of 31 December 2024. The fund was launched on 20 October 2021. There is no minimum subscription. Key investor information risk and reward profile: three out of seven.
This Dutch fund invests in a variety of structured products to generate an average long-term return at least equal to the average long-term return of equity markets in general, but with a lower level of risk compared to a diversified equity portfolio.
The fund closed December 0.60% higher relative to November and closed 2024 with a positive performance of 10.65%.
2024 was a year with few negative outliers, according to Jeroen Sinnige, managing director, portfolio management & sales at Market Stability Fund (MSF).
Only the beginning of August was a little turbulent due to movements in interest rates in Japan - Jeroen Sinnige
“Only the beginning of August was a little turbulent due to movements in interest rates in Japan, which resulted in the Japanese yen weakening and causing some global unrest on the stock markets,” Sinnige told SRP.
“This is a scenario in which the fund achieves a performance that is more or less equal to the interest received on the products in which it invests. The net asset value of the fund has therefore reached a nice plus of 10.65% for the whole of 2024, with limited volatility.
“Not only existing investors have responded positively to this, family offices and independent asset managers have also taken advantage of this development to invest in the Market Stability Fund,” Sinnige said.
During December, structures were redeemed for a total notional of approximately €104m. These revenues have largely been reinvested in new structures in both euros and dollars. A total amount of €88m has been invested in December.
“Due to rising share prices and relatively short term at which early redemption of our structures is possible, many products autocalled during the year. That is inherent to our strategy,” said Sinnige.
By using so-called stepdown autocalls, the probability of early repayment of the structures the fund is invested in increases during the term and reinvestment often takes place at lower levels than the level at which the redeemed products struck.
“In rising markets, early redemptions may mean that we enter new products at higher index levels.
“Due to the relatively short term of our products, currently a maximum of 12 months, and the scope for the redemption barriers, at least 40%, this risk is acceptable to us. It should not be forgotten that the coupons on our products are attractive precisely because of their short term,” said Sinnige (right).
End-December 2024, the conditional protection barrier was intact for all structures. The average buffer towards the protection barrier was nearly 38%, with a lowest buffer set up at nearly 34%. In addition, all structures were paying their coupon.
The average annual coupon decreased slightly compared to a month ago and amounted to 11.8%.
At the end of December, the fund’s liquidity position amounted to 16%. Some 74% of the fund’s structures are denominated in euros with the remaining 24% denominated in US dollars.
The Market Stability Fund has €146.4m (US$152.1m) in assets under management (AuM) as of 1 January 2025. The fund was launched on 1 January 2018 and the minimum subscription is €100,000. Key investor information risk and reward profile: five out of seven.
The Luxembourg domiciled Sicav fund aims achieve its objective of generating long-term returns consistent with the preservation of capital, through a strategy focused on structured notes linked to underlyings in the global pharmaceutical and biotechnology sectors.
The fund ended the year on a low with a -1.63% performance for December while its cumulative performance for the year was also negative at -8.34%.
At year-end, the fund comprised 17 structured notes from seven different issuers. The notes have an average maturity of 24.9-months while the average coupon is set at 23.86% pa. In total, the products are linked to 21 different underlying equity names.
Forte Pharma Fund has US$69.5m in assets under management (AuM) as of 31 December 2024. The fund was launched on 1 October 2020 and the minimum subscription is US$200,000.
Ballybunion Insignia Defined Returns Fund
Regulated by the Central Bank of Ireland, this fund primarily invests in euro-denominated autocalls.
For December, the fund declined by 0.2%. Two notes autocalled, delivering risk adjusted annualised returns of approximately 12% over the hold period while a defensively structured note yielding more than 12% was added.
The fund has relatively high cash holdings of 16.6% presently which the fund managers hope it will allow them to take advantage of opportunities that will present in Q1 2025.
As of 31 December 2024, the fund had exposure to 15 counterparties, including, among others, HSBC (10.1%), Crédit Agricole (8.5%), Itau (8.2%), CIBC (6.9%) and EFG (6.3%). Eighty-two percent of the fund’s assets is invested in step-down autocalls; 10% in a 100% capital protected note; and eight percent in a twin-win note. All notes are denominated in euro.
Ballybunion Insignia Defined Returns Fund has €26.3m (US$27.3m) in AuM as of 31 December 2024. The fund was launched on 10 February 2020. The minimum subscription is €100,000 or equivalent (Class A shares). Key investor information risk and reward profile: four out of seven.
The Canadian fund is a defensive equity income strategy that seeks similar returns to many structured notes investments while offering a diversified downside buffer.
Its cash secured put selling strategy generates returns by selling laddered, out-the-money one-year put options on diversified global equity indices. In addition to collecting premiums on selling equity index puts, the fund gets the added benefit of generating a yield on money market securities held as collateral (secured), against the puts it has sold up to the total value of the portfolio.
The fund’s performance for December was stable, at 0.19%, while the compounded performance for 2024 reached 5.16% at the end of the month.
Ninepoint Target Income Fund has C$28.2m (US$19.6m) AuM as of 30 September 2024. The fund was launched on 2 August 2022. The minimum initial investment is C$500 with minimum subsequent investments of C$25.
CI Structured Premium Yield Fund
Another Canadian fund designed to provide investors with regular distributions by replicating the outcome of an actively managed portfolio of diversified structured notes.
The fund, which launched on 28 January 2025, aims to achieve its objectives by investing in derivatives and/or structured notes that provide exposure to North American and/or global equity indices and securities.
Its benchmark is the CBOE S&P 500 PutWrite Index, which tracks the value of a hypothetical portfolio of securities that yields a buffered exposure to S&P 500 stock returns.
CI Structured Premium Yield Fund was launched on 28 January 2025. The minimum investment is C$500 initial and C$25 additional.
Schroder Income Maximiser Fund
The fund’s objective is to provide income and capital growth by investing in equity and equity-related securities of UK companies.
It targets an income of seven percent per year, but this could change depending on market conditions. The fund benchmark’s itself against the FTSE All Share Total Return Index and IA OE UK Equity Income Index. Its cumulative performance for December was -0.3% while in full year 2024 it has returned 12.6%. Currently the fund has 44 holdings.
Schroder Income Maximiser Fund has £776.7m AuM (US$966.5m) as of 31 December 2024. The fund was launched on 4 November 2005 and has a minimum initial subscription of £1,000 or monthly instalments of £50. Key investor information risk and reward profile: six out of seven.
Schroder Special Situations Fund (SSF) Structured Income
This Luxembourg Ucits fund aims to provide income and capital growth over rolling five-year periods by investing indirectly in a portfolio of autocallables linked to global equity market indices.
The fund’s performance for December was -0.80% while its cumulative performance for 2024 was 6.2%. Since inception the fund has returned 10.6%. The fund comprised 46 holdings as of 31 December 2024.
Schroder SSF Structured Income has US$12.9m in AuM as of 31 December 2024. The fund was launched on 1 June 2023. The minimum initial subscription is US$5m.
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