SRP reviewed how the various funds of structured products performed in December and full year 2022.

In part one of a two-part article, we looked at funds from Switzerland, the Netherlands, Ireland and the UK.

Finanzlab Multi Index Fund

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.

The fund delivered a positive performance of 1.82% for the year and ending with a net asset value (NAV) of CHF101.68.

The theoretical value of the fund, calculated by valuing each component at its redemption value assuming the indices remain at their current levels, also increased, and was at CHF106.7, suggesting an even better performance in 2023, according to Vincent Bonnard (pictured), founding partner, Finanzlab.

Launching the fund and entering a bear market shortly afterwards was not our preferred scenario - Vincent Bonnard, Finanzlab

The fund was created on 20 October 2021, which means 2022 was its first complete year. By the end of January, it was fully invested in six structured products on equity indexes of the major developed countries, such as Vontobel’s BRC with conditional coupon on Eurostoxx 50, S&P 500 and Swiss Market Index or the BRC with conditional coupon on Cac 40, Dax and Ibex 35 issued by EFG.

“Highly attractive coupons of an average of 7.32% were obtained, thanks to a very active search for the best price from numerous issuers and the absence of distribution fees included in the products,” said Bonnard.

Falling equity indexes and rising volatility, induced by markets facing inflation, rising interest rates and the war in Ukraine, nevertheless hampered the fund's performance during the year.

“In this difficult context, our choice to trade products with very defensive barriers, at 50% of the strike, combined with the continuous collection of coupons, very low transaction costs and a flat TER (total expense ratio) of only 0.75%, allowed the fund to close the year with a positive performance of +1.82%,” said Bonnard.

At the same time, volatility (7.49%) and max drawdown (-5.11%) remained limited during the year.

In parallel to the challenges posed by the markets, the fund successfully managed the addition of new clients, increasing its assets under management (AUM) by 132% to end the year at CHF10.47 million.

“Launching the fund and entering a bear market shortly afterwards was not our preferred scenario. But in hindsight, it was an opportunity for the fund to prove its resilience in a difficult environment,” said Bonnard.

“As one of the only structured product funds with a positive performance over the year, moreover in Swiss Francs, we receive a lot of positive feedback from our clients and are particularly pleased with the performance of the fund,” he said.

Finanzlab Multi Index Fund has CHF10.5m (€10.6m) AuM. The fund was launched on 20 October 2021. There is no minimum subscription. NAV as of 31 December 2022: CHF101.68.

Mondriaan Structures Fund

This Dutch domiciled fund invests in structured products with a conditional principal guarantee.

The fund closed December 0.33% lower than November, which resulted in a positive performance of 0.29% for 2022. Since its inception on 1 January 2018, the fund has provided a positive return of 29.78%.

The value development of our fund was slightly positive over the whole of 2022 - Jeroen Sinnige, Mondriaan Structures Fund

“The value development of our fund was slightly positive over the whole of 2022 in an environment in which both equity and bond markets showed negative returns,” said Jeroen Sinnige, managing director portfolio management at Mondriaan Structures Fund.

Both the buffers to the redemption and coupon barriers decreased compared to November. The conditional protection barrier is intact for 38 out of the 40 structures. The average buffer towards the protection barrier was close to 31% at the end of December. In addition, only two out of the 40 structures have a negative buffer to the coupon barrier.

During December, one structure expired at nominal value while six products were terminated early including their coupon payment. There was also one structure sold prior to maturity to reduce risk.

Multiple coupon payments were paid throughout December. These revenues were reinvested in six new structures with relative high coupons.

Mondriaan Structures Fund has €105.3m assets under management (AuM). The fund was launched on 1 January 2018. The minimum subscription is €100,000. There is a management charge of 0.72% pa. Key investor information risk and reward profile: five out of seven. Net asset value (NAV) as of 30 September 2022: €129.78.

Atlantic House Defined Returns Fund

Launched in 2013 and with assets of more than £1.5 billion, this Dublin domiciled fund is one of the oldest and most established funds of structured products. The fund benchmarks its performance to the Solactive United Kingdom 100 Net Total Return Index, the Solactive US Large Cap Index and the Solactive Euro 50 Net Total Return Index.

The benchmark UK, US and EU large cap markets fell 1.3%, 5.9% and 4.3% over the month, while the Defined Returns Fund fell just 1.1%. The funds’ performance for the year was flat at -0.05%.

Contrary to previous years when the majority of the delta was to the UK market, the delta is now quite evenly split mainly between the UK, US and EU markets. The total delta is 60% which is around the long running average for the fund with these three markets sharing 48% of this.

According to its fund managers, the fund remains in a healthy position looking ahead to 2023. If markets are flat going forward the current yield of the fund is 8.6%. The average cover to achieve a positive return is 23.70% while the average cover before capital loss is 31.14%, indicating the fund still has a ‘substantial’ cushion should markets continue to struggle in 2023.

Atlantic House Defined Returns Fund has £1.52 billion (€1.73 billion) in AuM. The fund was launched on 4 November 2013. The minimum subscription is £5m or an equivalent amount in another currency. Key investor information risk and reward profile: six out of seven. NAV as of 30 December 2022: 1.7200 (Accumulator share class).

Ballybunion Insignia Defined Returns Fund

This fund is regulated by the Central Bank of Ireland and primarily invests in euro denominated autocalls.

The Defined Returns Fund NAV fell by 5.2% during December and finished the year down 18%. 

One product autocalled mid-December, which saw a realised gain of 6.25% from a six-month hold. As a result of this and additional subscriptions received, the fund held a higher level of cash than normal across the year-end.

The fund is 100% invested in euro-denominated step-down autocalls. It has exposure to 12 issuers, including, among others, Leonteq (9.4%), Crédit Agricole (9%), Raiffeisen Switzerland (8.6%), Société Générale (8.6%) and Marex (7.7%).

Ballybunion Insignia Defined Returns Fund has €19.7m AuM. The fund was launched on 10 February 2020. The minimum subscription is €250,000 or equivalent (Class A shares). There is a management charge of 1% pa. Key investor information risk and reward profile: four out of seven. NAV per share as of 31 December 2022: 91.26.

Causeway Defined Growth Fund

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.

The fund registered a result of -3% for December, while its performance for 2022, at -10.20%, was also negative.

The current portfolio comprises 16 step-down autocalls that are each linked to a worst-of basket of three indices – mainly benchmarks such as FTSE 100, S&P 500, Eurostoxx 50, Russell 2000 and Swiss Market Index. These products pay an average coupon of 9.9% pa and their average distance above the final autocall barrier is 2%. If the product reaches the final observation date, the coupons are triggered if the underlying indices are above 80%, or in some cases, 75% of their initial level.

Twenty products have already matured, paying an average coupon of nine percent pa.

Causeway Securities Defined Growth Fund has $21.5m (€19.9m) AuM. The fund was launched on 4 February 2020. The minimum subscription is $1,000. Key investor information risk and reward profile: six out of seven. NAV as of 30 December 2022: 0.9716 (USD Class A).


The Dutch open-ended fund invests in bonus and discount certificates on both indices and individual shares that are listed in Germany. Besides that, put options are bought to mitigate the risks of a (sharp) global decline in the financial markets.

Bufferfund limited its losses in December to -2.6% but ended the year on a disappointing -10.65%. The fund has an overweight position in certificates on growth stocks, partly due to their potential for a high bonus return. However, with some of these stocks falling by 50% or more in 2022, many of these certificates have breached their buffer, resulting in the expiry of the bonus return.

The fund is currently invested in bonus certificates (55%), capped bonus certificates (42%), options (two percent) and cash (one percent).

Bufferfund has €17.9m AuM. It was launched on 18 August 2016. The minimum subscription is €100,000. There is a management charge of 0.96% pa. The fund is not regulated. NAV as of 31 December 2022: €89.55.

Idad Refined Growth Fund

This UK open-ended investment company (OEIC) aims to have an allocation of at least 50% to structured products, however it is expected that normally this will be more than 80%.

The fund recorded a fall of -1.15% in December while its performance for full year 2022 is -9.30%.

The top 10 holdings of the fund included a BNP Paribas Classic Autocall on the FTSE 100 and S&P 500 (6.70% share), a BBVA Triple Index Classic Autocall (6.48%) and a Marex Pharma Classic Autocall (4.43%).

As of 31 December 2022, the fund was invested for 78.83% in core holdings and 13.45% in tactical holdings – both comprising broadly of structured products from a range of issuing banks. The remaining 7.72% were cash holdings. Its average cover to capital loss is 31.03% with the average cover to capital gain -14.46%.

For the next 12 months, the fund’s managers hare hoping to position the portfolio more aggressively, as they remain optimistic of positive returns for bonds and equities, which should see many of its structure notes ‘mature successfully’ in 2023.

Idad Refined Growth Fund has £3.8m (€4.3m) AuM. The fund was launched on 23 August 2021. The minimum subscription is £50,000. There is a management charge of 0.60% pa. Key investor information risk and reward profile: five out of seven. NAV as of 30 December 2022: 90.58p (Class A) and 89.56p (Class R).