February 26, 2014 / 5:01 PM / 3 years ago

Fitch Affirms Lombard Odier's All Roads Fund 'Strong' Fund Quality Rating

6 Min Read

(The following statement was released by the rating agency) Link to Fitch Ratings' Report: LO Funds - All Roads here PARIS/LONDON, February 26 (Fitch) Fitch Ratings has affirmed LO Funds - All Roads' (All Roads) 'Strong' Fund Quality Rating, a fund managed by Lombard Odier Investment Management (LOIM). KEY RATING DRIVERS Fund Presentation All Roads is a sub-fund of LO Funds, Lombard Odier's Luxembourg SICAV, which is UCITS IV compliant. Launched in January 2012, All Roads is a diversified fund with EUR145m of assets as of end-December 2013. The fund uses a risk parity approach, first developed in 2008, implemented in a robust manner through internal funds, futures and CDS investments across five asset classes to deliver an Eonia +5% performance while limiting annual performance drawdowns to 10%. Investment Process The portfolio is rebalanced systematically against an equal risk weighted allocation derived from long-term asset correlations and short-term volatilities. Risk parity is also applied in the equity and commodity buckets while bond weights are based on a fundamental scoring of indebtedness and liquidity. This "smart beta" approach, pioneered by LOIM, improves back-tested Sharpe ratios and constitutes a competitive edge for the fund. Risk discipline is strongly embedded in the investment philosophy and model parameters. The fund adjusts its overall risk budget based on the accumulated fund's drawdown. Resources The fund is managed by the 20-staff Solutions team, with six focused on multi-assets. Pivotal to the process, a scalable proprietary quant platform supports model testing and portfolio monitoring and rebalancing. The fund also benefits from LOIM's dedicated trading desk and overall risk control framework. Track Record Since inception in January 2012, the fund has performed in line with Fitch's risk parity peer group but is below its performance target. The institutional mandates managed under the same approach since 2009 have delivered on their absolute objective since inception. In 2013, risk parity funds were challenged by duration and asset class correlation. Asset Manager LOIM is the asset management division of the Swiss private bank Lombard Odier SCA (AA-/Stable/F1+). The company managed USD48bn as at December 2013, including USD8bn in risk-based strategies. The infrastructure is well suited to the investment process. RATING SENSITIVITIES The rating may be sensitive to material changes in the investment or operational processes, or resources dedicated to the fund. A material adverse deviation from Fitch's guidelines for any key rating driver could result in a downgrade. For example, this may be manifested in significant structural deterioration in the fund's performance resulting from a model error or inadequacy, as measured by drawdown or underperformance relative to objective and peers. Fitch considers there is currently limited potential for a positive rating action due to the fund's already high rating. Fitch's Fund Quality Ratings combine Fitch's experience in qualitative fund analysis with rankings and performance data from Lipper, a Thomson Reuters company. Fitch's Fund Quality Ratings offer an independent, forward-looking assessment of a fund's key performance and risk attributes and consistency of longer-term returns, relative to peer group or benchmarks. The ratings focus on the fund manager's investment process, key fund performance drivers, risk management, and the quality of the fund's operational infrastructure. For more information, see www.fundmanagement.fitchratings.com To receive forthcoming Fund Quality Rating research, opt in here Contacts: Primary Analyst Manuel Arrive, CFA Senior Director +33 1 44 29 91 77 Fitch France S.A.S. 60 rue de Monceau Paris 75008 Secondary Analyst Richard Woodrow, CFA Analyst +44 20 3530 1388 Committee Chairman Ian Rasmussen Senior Director +1 212 908 0232 Media Relations: Hannah Huntly, London, Tel: +44 20 3530 1153, Email: hannah.huntly@fitchratings.com. Additional information is available at www.fitchratings.com. Applicable criteria, 'Fund Quality Ratings Criteria', dated 19 September 2011, are available at www.fitchratings.com. Applicable Criteria and Related Research: Fund Quality Ratings Criteria: Assessing Funds’ Investment Processes and Operational Attributes here Additional Disclosure Solicitation Status here ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: here. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

0 : 0
  • narrow-browser-and-phone
  • medium-browser-and-portrait-tablet
  • landscape-tablet
  • medium-wide-browser
  • wide-browser-and-larger
  • medium-browser-and-landscape-tablet
  • medium-wide-browser-and-larger
  • above-phone
  • portrait-tablet-and-above
  • above-portrait-tablet
  • landscape-tablet-and-above
  • landscape-tablet-and-medium-wide-browser
  • portrait-tablet-and-below
  • landscape-tablet-and-below