Boussard & Gavaudan : BGHL – July 2022 Newsletter – Marketscreener.com

MONTHLY NEWSLETTER JULY 2022
BGHL NA € 27.40
Estimated NAV BGHS LN £ 23.91
OVERVIEW
Estimated AUM €341m
Firm AUM €2.5bn
Share price €22.40 (discount to NAV: 18%)
NAV PERFORMANCE
BGHL is a closed-ended investment company which invests in BG Fund, Boussard & Gavaudan’s flagship fund with 18 years of track record.
BGHL’s investment objective is to deliver an annual return, net of fees, of 400 to 600 basis points above the risk-free rate over the business cycle, irrespective of market performance. The risk-free rate is “Compounded euro short-term rate index”.
BG Fund is driven by bottom-up fundamental and event catalyst research, combined with extensive multi-asset arbitrage and derivative expertise. Typically, investment ideas are catalyst driven with a focus on special situations and events.
Capital is dynamically allocated to the firm’s best ideas and these ideas are categorized into four main types of strategies: Equity, Volatility, Credit and Trading strategies.
Annualized Performance +6.63%* since inception
Annualized Volatility 5.31%* since inception
Sharpe Ratio
1.15* since inception
Beta to Euro Stoxx 50® (Total Return)
0.04* since inception
*Performance displayed is for EUR share class net of fees with income reinvested. Performance data is estimated and unaudited.
PERFORMANCE REVIEW
BGHL and BG Fund ended the month down -2.99% (EUR share class) and -2.74% (USD A share class) respectively vs Euro Stoxx 50® Total Return (+7.44%).
BG Fund Capital Allocation
BG Fund Performance
Jul 2022
Attribution
Year-to-date
Equity Strategies
Equity Strategies
Credit Strategies
Volatility Strategies
Trading Strategies
Special Situations
Catalyst & Value
24%
15%
20%
22%
19%
-2.09%
0.09%
0.01%
0.59%
-1.34%
-5.86%
0.46%
-0.07%
0.28%
-0.13%
CORPORATE UPDATE
Since the restart of the share buyback program on 17 December 2019, the firm has bought back 3,609,939 shares. The current number of shares outstanding excluding treasury shares for both the EUR and GBP share classes is 12,446,842.
CONTACTS
Emmanuel Gavaudan +44 20 3751 5389 eg@bgam-uk.com
François-Xavier Baud + 33 1 4490 3947 fx.baud@bgam-fr.com
Vanessa Levi + 44 20 3751 5422 vanessa.levi@bgam-uk.com
Benjamin Sturges + 44 20 3751 5417 benjamin.sturges@bgam-uk.com
Robin Lowe +1 212 837 2302 robin.lowe@bgam-uk.com
Risk warning: Past performance is no guide to future performance. The value of holdings may fall as well as rise and investors may not get back their initial investment. Performance displayed is for the EUR share class net of fees with income reinvested and is calculated on a NAV to NAV basis. Performance data is estimated and unaudited. All figures are correct as of 30th June 2022 unless otherwise stated.
Source: Bloomberg, Boussard & Gavaudan.
General information
Investment manager
Boussard & Gavaudan Investment Management LLP
Company domicile
Guernsey
Website
www.bgholdingltd.com
Management fee
1.5% p.a.
Performance fee
20% with HWM
SEDOL
ISIN
Reuters
Bloomberg
EUR Euronext
B1FQG45
GG00B1FQG453
BGHL.AS
BGHL NA
EUR LSE
B28ZZQ1
GG00B1FQG453
BGHL.L
BGHL LN
GBX LSE
B39VMM0
GG00B39VMM07
BGHS.L
BGHS LN
GBX Euronext
B39VMM1
GG00B39VMM07
BGHS.AS
BGHS NA
Boussard & Gavaudan Holding Limited (“BGHL”) is a Guernsey closed-ended investment company and is registered with the Dutch Authority for the Financial Markets as a collective investment scheme under article 1:107 of the Dutch Financial Markets Supervision Act. BGHL invests its assets in order to provide exposure to multiple alternative investment strategies managed by the Investment Manager. The investment objective is to produce long-term appreciation of its assets. BGHL seeks to achieve this by investing in BG Fund (“the Fund”). In addition, a proportion of the net assets of BGHL may, at the discretion of the Investment Manager, be invested in other hedge funds and financial assets selected by the Investment Manager. BGHL aims to generate a target NAV annualized return of Eonia capitalized + 400/600 bps over the business cycle, net of all fees.
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Net Asset Value (NAV)
Estimated NAV*
Estimated month to date return*
Estimated year to date return*
Estimated inception to date return*
Market information
EUR share Market close
EUR share Premium / discount to estimated NAV
Sterling share Market close
Sterling share Premium / discount to estimated NAV
Transactions in own securities purchased into treasury
Number of shares
Average Price
Range of Price
Ordinary Shares
Shares issued
Shares held in treasury
Shares outstanding
Total value of the investments of BGHL based on the estimated NAV for the shares outstanding
Market capitalisation of BGHL based on the share price for the shares outstanding Amsterdam (AEX) market close for the Euro Share and London (LSE) market close for the Sterling share
*
Euro share
Sterling share
€ 27.4033
£23.9109
-2.99%
-2.78%
-6.15%
-5.51%
174.03%
139.11%
Amsterdam (AEX)
London (LSE)
€ 22.40

-18.26%


£20.00

-16.36%
Euro share
Sterling share
0

€ 0.00



Euro share
Sterling share
12,316,588
130,254
0
0
12,316,588
130,254
BGHL
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IV.
BGHL TRACK RECORD
BGHL Track Record – Historical NAV Returns Summary (Net of Fees)
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BGHL is invested in BG Fund (net of an amount retained by BGHL for working capital and other requirements).
As of 1 August 2022, 99.61% of BGHL net asset value is invested in BG Fund. BGHL has a maximum exposure limit to BG Fund of 110%. The remained BGHL net asset value is made up of direct investment and cash.
JULY HIGHLIGHTS
Equity markets in Europe and the US rallied sharply in July, reversing the trend of recent months. The Euro Stoxx 50® Total Return finished the month up +7.44% and the S&P500® Total Return up +9.22%. Credit markets also tightened with iTraxx Crossover® (S37) moving to 509bps from 580bps over the course of the month. The market implied volatility measure VStoxx® decreased from 29.8% to 22.3%.
In July BG Fund returned -2.74% (USD A class) with positive contributions from convertible bonds, volatility trading and mandatories strategies overshadowed by idiosyncratic moves on several specific equity special situations which drove the majority of negative performance, along with a negative contribution from trading strategies.
While the equity market backdrop remains choppy and low liquidity prevails in many asset classes, the forward- looking opportunity set is starting to become very interesting as we transition to a new paradigm: the end of negative rates, easy financing and always-positive equity markets has moved to a state of high inflation, economic slowdown, likely recession, and continued interest rate increases.
The markets in Europe and elsewhere are becoming far more discriminating in the type and pricing of financing offered to corporates needed to both re-finance and meet growing needs for capital in a more challenging environment. Given the enormously higher cost of borrowing, with both rates and credit spreads widening, we expect a significant resurgence in the issuance of new hybrid paper (convertible bonds, mandatories, and private deals/ corporate collars) which makes for a potentially very attractive arbitrage environment. Bank syndicate desks see the potential pipeline for primary building, and we hear the same story directly from European corporate CFOs who have been readjusting expectations and many expect to be coming to market with hybrids to meet their financing needs. As well as the expectations of primary issuance, in the secondary market we are starting to see new arbitrage and distressed opportunities emerge, particularly with dislocations between credit and equity valuations. We expect the flow of new issuance to help the market re-price, resetting long-only manager holdings which should improve overall liquidity.
This environment should be favourable for BG Fund across the full range of its core arbitrage strategies. We are positioned to deploy more capital into these areas while continuing to drive returns from the event and special situations strategies which continue to offer idiosyncratic risk premia with hard catalysts. The portfolio remains well- hedged with its characteristic long vol/convexity and delta neutral risk profile.
JULY COMMENTARY
Volatility strategies
Mandatory convertible bond arbitrage
Mandatory convertible bonds contributed +6bps in July. There was no specific activity to highlight and performance was due to small positive repricing. There was no primary activity during this period in Europe.
Convertible bond arbitrage
Convertible bonds (excl. mandatories) contributed +41bps in July, offsetting last month’s negative performance.
The European convertible bond market, much like the high yield market was driven by a risk on mode in July. The cross-over index tightened by 71bps over July, helped towards the end of the month by an earnings season which started with less negative news than expected. Poor liquidity still prevailed in the secondary market on both bids and offers which helped to drive prices and create price dispersion. The primary market was muted with one small retap
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Boussard & Gavaudan Holding Limited published this content on 11 August 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 11 August 2022 07:20:06 UTC.

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