Quant Global Income Strategy

The strategy offers exposure to a widely diversified portfolio of primarily Canadian & U.S. high quality fixed income built from a quantitative process with the aim to provide relatively high and consistent stream of income in a risk-controlled framework.

Strategy Information

For income-oriented investors who seek a bond investment offering the potential for a relatively high and consistent stream of income with an emphasis on high-quality fixed income securities. The strategy is managed using the firm's quantitative analytical capacities in an effort to maximize income while maintaining a relatively low risk profile.

Benchmark

FTSE TMX Canada Universe Bond Index

Value added objective

Benchmark + 1.50% (rolling 4 years)

Risk rating

Low

Style

Quantitative

High and persistant income

Rather than pursue only the highest income streams from potentially risky securities, the strategy seeks high and consistent income from diversified and high quality sources.

Improved diversification

Multi-sector approach seeks out the best income-generating ideas on a risk-adjusted basis, targeting multiple sources of income from a global opportunity set.

Quantitative efficiency

Quantitatively optimizes yield to maturity relative to downside risks.

High Yield

.%
Yield to Maturity

Prudence

.%
Value at risk (99%)

Protection

-.
Correlation when S&P500 is Negative

Efficiency

.
Sortino Ratio

Portfolio statistics

Sector (As of 09/30/2017) Strategy (DWE%*) Benchmark (DWE%) Deviation
*DWE% = Duration Weighted Exposure 100% 100% 0%
Government Bonds 5.7% 72.2% -66.5%
Investment Grade Corporate Bonds 53.4% 27.2% +26.2%
Residential Mortgages 13.0% 0% +13.0%
Commercial Mortgages 5.2% 0% +5.2%
High Yield Bonds / Emerging Market Debt 15.0% 0% +15.0%
Asset Backed Securities 4.0% 0.7% +3.3%
Cash and Equivalents 3.7% 0.7% +3.0%
Portfolio characteristics Constraints Strategy (DWE%*) Benchmark (DWE%) Deviation
Interest rate risk (duration) 0 - 5 years weighted duration 3.54 yrs 7.43 yrs -3.89 yrs
Credit risk (credit quality) Weighted quality >= BBB (Investment Grade) A+ AA- -1/3 grade
Currency risk Unhedged 0% 0% 0%

Performance Metrics

Portfolio metrics (5 yrs, as of 06/30/2017) Strategy Benchmark Peers*
*Peers = Morningstar Active Canadian Fixed Income Category
Annualized return 5.62% 3.26% 2.63%
Annualized standard deviation 4.89% 3.64% 3.11%
CVaR (99%) 3.99% 2.05% 1.86%
Sharpe ratio 1.00 0.70 0.61
Sortino ratio 1.89 1.26 0.95
Correlation when S&P500 is negative -0.19 -0.10 -0.02
Correlation when S&P500 is positive 0.17 -0.05 0.11
Annual returns 2013 2014 2015 2016 2017 Arithm. Avg
Value added +4.6% +1.4% -0.7% +6.0% +2.6% +2.8%
Nymbus Quant Global Income 3.1% 9.6% 2.5% 7.3% 3.0% 5.1%
FTSE TMX Canada Universe Bond Index -1.5% 8.2% 3.2% 1.4% 0.4% 2.9%

Portfolio Manager

Gabriel Cefaloni

Gabriel Cefaloni

Managing Partner
Chief Investment Officer

Mr. Cefaloni became Chief Investment Officer of Groupe Nymbus Capital Inc. in 2013 where he spearheads quantitative research and investment management operations. His career spans more than 10 years of capital markets experience. He served as partner and portfolio manager specialized in quantitative fixed income derivatives for GC Capital Asset Management. Prior to that, Mr. Cefaloni acted as a fixed income associate portfolio manager for ARB Group, a private investment firm. Mr. Cefaloni holds a B.Comm in Investment Finance with honors from Concordia University in Montreal and is recipient of the Chartered Investment Manager designation.

Disclaimer

This information does not reflect the expected performance of the fund (s) and is provided solely for the purpose of illustrating the experience of Nymbus Capital Group Inc. and estimated past results of its investment activities. This information is not and should not be interpreted as representing the future performance of the securities or the amounts, if any, distributed by the fund (s). They are provided for illustrative purposes only and should not be construed as forecasts or projections. Past performance is not indicative of future performance. Certain statements included in this document constitute forward-looking statements, including but not limited to statements that include the words "anticipate", "plan", "should" or similar expressions to the extent they relate to strategies. Forward-looking statements are not historical facts but reflect current expectations of Nymbus Capital Group Inc. with respect to future results or events. They are subject to a number of risks and uncertainties that could cause actual results or events to differ materially from current expectations. Although Groupe Nymbus Capital inc. believes that these forward-looking statements are based on reasonable assumptions, forward-looking statements are not guarantees of future performance. Accordingly, the reader is cautioned not to place undue reliance on these statements, given the uncertainty associated with them. Nymbus Capital Group Inc. undertakes no obligation to update or revise any forward-looking statement or information in light of new information, future events or any other factors that may affect such information, except as required by law. All information is from sources believed to be reliable, but its accuracy is not guaranteed. All company names, brand names and logos are the property of their respective owners. Bloomberg is a trademark and service mark of Bloomberg Finance L.P., a limited partnership of Delaware, or its subsidiaries. The Standard & Poor's S&P 500® Index and the S & P / TSX Composite Total Return Index are registered trademarks of Standard & Poor's, a division of McGraw-Hill Companies, Inc. "FTSE®", "Russell®" , "MTS®", "FTSE TMX®" and "FTSE Russell" and other trademarks and service marks related to the FTSE or Russell Indices are registered trademarks of the London Stock Exchange Group.

The Nymbus Quant Global Income strategy represents a modern and intelligent alternative to traditional fixed income exposures.