Longchamp Autocall Fund

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Strategy Overview

The Longchamp Autocall Fund (the “Fund”) seeks to deliver an annualized performance net of fees higher than that of €STR Capitalized +8.5Bps +6.3% over the recommended investment period of 5 years minimum.

To achieve this goal, the investment manager essentially implements a strategy based on an Autocall portfolio diversified in terms of underlyings, issuers and entry points.

The Fund is structured around two main blocks:

  • A “Core” allocation, the Autocall portfolio
  • A “Satellite” allocation, the Diversification portfolio

The allocations’ weightings target 70% for the Autocall portfolio is 70% and 30% for the Diversification portfolio.

The “Satellite” portfolio of diversification aims to mitigate the effects of significant equity market corrections.

Characteristics of the Strategy:

  • Exposure to European and U.S. equity markets
  • More defensive profile than direct exposure to equity markets
  • Diversification of issuers, entry points and sectors
  • Partial protection of capital
  • Underperformance vs underlying in bull markets

Longchamp Asset Management benefits from its team’s expertise in structured products and has developed a unique expertise around three main blocks:

  • Research: Selection tools of the most interesting underlyings from a quantitative and qualitative point of view
  • Technical: Independence in the valuation of instruments for risk analysis
  • Execution: Best price and selection, and diversification of counterparties

Funds Facts

Legal Structure:

Fonds Commun de Placement (« FCP ») UCITS français

Umbrella Fund:

N/A

Fund Manager:

Longchamp Asset Management SAS

Passporting:

Approved in France

Base Currency:

EUR

Other Currency Share Classes:

N/A

Liquidity:

Weekly (every Friday that is a Business Day)

Dealing Deadline (Subscription):

12:00 midday French time 1 Business Day prior to the relevant Dealing Day

Dealing Deadline (Redemption):

12:00 midday French time 1 Business Day prior to the relevant Dealing Day

Settlement Date (Subscription):

5 Business Days after the relevant Dealing Day

Settlement Date (Redemption):

5 Business Days after the relevant Dealing Day 

Share A | FR0013405461

Performance as of 2024-02-27

NAV

1 252,79 €

YTD

+1,21%

MTD

+0,44%

3 YEARS

+26,61%

LTD

+25,28%

Past performance is not an indicator of future performance.

Informations

bENCHMARK

The annualized performance net of fees can be compared to:

  • €STR Capitalized + 8.5Bps + 5% for the share class C
  • €STR Capitalized + 8.5Bps + 6% for the share classes B and D
  • €STR Capitalized + 8.5Bps + 6.30% for the share class A

 

Investment Universe
  • The Autocall portfolio underlyings are U.S. and European main equity indices or equities from these indices
  • Autocalls can have one or more underlyings
  • The investment management team selects the Autocalls by seeking a balance between the choice of coupons, the capital protection barriers, the coupon protection barriers and the early recall barriers
  • The investment management team may also invest in diversification strategies aiming to provide decorrelation to equity markets

Key Professionals

David Armstrong

President – Managing Director

David is Chief Executive Officer at Longchamp Asset Management, which he founded in 2013. Previously, he was a Managing Director at Morgan Stanley & Co. International Plc, heading the investment bank’s Funds and Fund Linked business globally. In particular, he was in charge of the FundLogic UCITS Platform and served as President of the French asset management company, FundLogic SAS. Prior to joining Morgan Stanley, David had spent fourteen years within the Global Equity and Derivatives Solutions division at Société Générale. After joining the group in Paris, David moved to Milan to head the global capital markets operations including all Equity and Fixed Income activities. He also chaired the Italian alternative asset management company, Lyxor SGR. Thereafter, he moved to New York to head up Structured Products Sales for the Americas. David holds a master’s degree in Business Administration from EDHEC, Lille, France.

 
Lorenc Golemi

Head of Financial Engineering and Chief Risk Officer

Lorenc is the Chief Risk Officer at Longchamp AM. Before joining Longchamp AM, Lorenc worked in consultancy and advisory in investment banking and asset management. Previously he worked as Portfolio Manager, Risk Manager and Financial Engineer at UBS AM, CommerzBank and Dresdner Kleinwort Benson. He was in charge of systematic strategies and risk management of volatility and absolute return funds. Lorenc holds an Engineer degree in computer science and a master’s degree in applied mathematics.

 
Raphaël Darmon

Junior Portfolio Manager

Raphaël joined Longchamp AM as a Junior Portfolio Manager. Previously, we worked as a Sales Assistant at la Société Générale Corporate et Investment Banking (SGCIB) within the Cross Asset Solutions team. Before joining SGCIB, he worked at La Française Global Investment Solutions (LFIS) in the London Alternative fund Sales team.

Raphaël holds a Master’s degree in Quantitative Finance from EM Lyon Business School.

Shares

Investor profil
Shares
Currency
ISIN
BBG Code
Inception
Mgmt Fee
Perf Fee

Institutional *

AEURFR0013405461LONAUTA FP29.04.20190.60%20%

Institutional

BEURFR0013405685LONAUTB FP17.02.20200.90%20%

Retail

CEURFR0013405693LONAUTC FP17.09.20191.90%20%

Institutional

DEURFR0013405701LONAUTD FP29.04.20190.90%20%

Risk Profile

The risks to which the holders are exposed are as follows:

  • Risk of loss of capital: the Fund does not benefit from any guarantee or protection; therefore, the capital initially invested may not be returned even if subscribers hold their units for the recommended investment period.
  • Risk related to the loading period of the portfolio (“Ramp-Up”): during the Ramp-Up (which may extend over several months), the Fund may not be fully exposed to the Autocall strategy. Consequently, during this period, the Fund’s performance may be less than the performance objective.
  • Risk related to discretionary management: when managing the Fund, the Investment Manager uses a specific investment process, techniques and risk analysis in its investment decisions, but there is no guarantee that its investments decisions will produce the expected results. In particular, the Investment Manager may not select the types of Autocalls or equity indices, equity sectors as Autocalls reference underlyings that would have delivered a better performance. In addition, the Investment Manager may decide not to fully expose the Fund to the Autocalls strategy for a period whereas full exposure would have delivered a better performance. As a result, the management objective may not be achieved and the investor may experience capital losses.
  • Equity market risk: stock and equity indices prices on the equity market may fluctuate according to investors’ expectations. The Fund may experience significant fluctuations in prices at any time, both upwards and downwards (due in particular to the price evolution of the underlying instruments), which may end up in some cases to the total loss of the amount invested. The drop of equity markets may lead to a drop of the Fund’s net asset value.
  • Implied volatility risk: the Fund is exposed to derivative products whose valuation depends on variables that are not observable directly on the financial markets and that are difficult for the investor to observe. In particular, an increase in the implied volatility of the underlying most often causes a decline in the valuation of derivatives, which results in a fall in the net asset value of the Fund.
  • Interest rate risk: Interest rate risk is the risk of depreciation of rate instruments (long-term and/or short-term) resulting from the variation of interest rates. For example, the price of a fixed-rate bond tends to fall in the event of a rise in interest rates. The Fund is indirectly sensitive to changes in interest rates via its investments in Autocalls: in the event of a significant rise in interest rates, the value of the assets may fall.
  • Currency risk: The fund is exposed to currency risk. It may be exposed to securities with embedded derivatives in USD.
  • Counterparty risk: counterparty risk arises from the Fund’s use of over-the-counter (OTC) held financial instruments and/or temporary securities purchase and sale operations. The Fund is exposed to the risk that the counterparty will not fulfill its performance obligations under the OTC (in particular the Autocalls). The default of the counterparty (or the default of the counterparty to any of its obligations) in the context of these transactions may have a material adverse effect on the Fund’s net asset value.
  • Risks relating to securities financing transactions and risks related to the management of financial guarantees: these transactions and related guarantees may create risks for the Fund, such as:
    • Counterparty risk (as previously described),
    • Legal risk,
    • Risk of conservation,
    • Liquidity risk (i.e. the risk resulting from the difficulty of buying, selling, terminating or valuing a security or a transaction due to a lack of buyers, sellers or counterparties), and where appropriate,
    • Risks related to the reuse of collateral (i.e. mainly the risk that the financial guarantees delivered by the Fund will not be returned to it, for example as a result of the default of the counterparty).
  • Liquidity risk: the counterparties selected in “direct method” (purchase of Securities) and/or “synthetic exposure method” (via swap) are selected on a commitment of liquidity of the instruments. Nevertheless, the fund may remain exposed to a liquidity risk. Financial futures are inherently liquid enough, but under certain circumstances may have a low level of liquidity. In addition, the Fund may be exposed to trading difficulties or the temporary inability to trade certain securities in which the Fund invests or those received as collateral, particularly in the event of a counterparty’s failure to trade and temporary acquisitions and sales of securities and/or total return swaps (TRS).
  • Derivative risk: the Fund uses derivatives that are OTC derivatives for investment and/or hedging purposes. These instruments are volatile and may be subject to various types of risks, including but not limited to market risk, liquidity risk, counterparty risk, legal risk and operational risk. In addition, investments in OTC derivatives may have limited liquidity in the secondary market and it may be difficult to evaluate such a position. For these reasons, there is no guarantee that derivative strategies will achieve the intended purpose.
  • Specific risks related to Autocalls: an Autocall has a variable maturity and can be recalled early on a reminder date. In the event of an early recall of an Autocall or a maturity, the Fund may be subject to reinvestment risk because the Fund may not be able to replace it with an Autocall offering similar characteristics. In the case of Autocalls on several underlyings, the Fund may be exposed to a risk of correlation between the underlyings.
  • Risk related to investment in barrier option derivatives: the Fund is exposed to derivatives whose valuation depends on the level of the underlying on certain dates. The sensitivity of the Fund’s valuation to variations of the underlyings’ prices is increased close to these dates, in particular, at certain market levels that may amplify upwards or downwards the market movement effect of the Funds’ underlyings.
  • Risk of partial participation in the rise of the equity market: between their launch date and maturity, the evolution of Autocall’s value may deviate from that of their underlying stock or index. In particular, the performance of these products since inception is limited upward by the earnings cap mechanism (conditional coupons); therefore, the shareholder may only partially benefit from the increase in underlying shares or equity indices.