Global credit funds & CLO's
May 2020
| Issue 223
Published in London & New York.
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May 2020 | Issue 223
Data funds
Fund performance
Index tranche investors make it work from home
Leading fund
Global asset management firm Orchard took the top spot in March as it returned an impressive 9.13% in an environment where over 90% of the Creditflux database posted losses. This pulled its YTD figure to 10.66% in a notable end to Q1.
“OLCF is engineered to take advantage of such dislocations in the credit markets to maximise its carry profile while being well positioned for turbulence, if and when it comes,” says Paul Horvath, chief executive officer of Orchard, “As such, the strategy intends to outperform and decorrelate from the rest of the markets in times of increased volatility.”
Launched in November 2017, the fund invests across a variety of credit instruments, as well as credit indices and credit derivative arbitrage.
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Top performers in March 2020 (%)
Orchard Liquid Credit Fund
Orchard Liquid Credit Fund vs Corporate long-short cumulative returns (%)
*Data since fund inception (Nov-17)
CORRECTION: An early version of this article incorrectly stated Orchard Liquid Credit Fund’s YTD returns were -1.71%, this has been corrected to 10.66%. Orchard Liquid Credit Fund and Olea Special Opportunity Fund’s AUM figures have also been corrected to <1.0bn from <0.5bn
Creditflux Index Returns March (%)
During this extraordinary month, funds taking long-short positions in credit stood out from the crowd. The top 10 funds in the month also managed to be part of the 7% that did not post losses as 60% of funds listed posted negative returns in the double digits.

Prosperise’s Pearl Vega fund returned 4.14% as it benefited from positive convexity while holding delta-hedged junior tranches. LMCG’s Serenitas Credit Gamma Fund also performed well after its corporate credit index tranche positions benefited from positive convexity to a large spread widening. Meanwhile, trading credit derivatives paid off for Hellebore’s Credit Arbitrage fund as it returned 2.02%, bringing YTD figures to 3.44%.
March brought a drastic drop in return figures as covid-19 swept across the globe. From a major outbreak to a full-blown global pandemic, the majority of credit funds struggled to keep above the surface as governments took exceptional measures to slow the spread of the virus.
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