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.
|Sector (As of 09/30/2017)||Strategy (DWE%*)||Benchmark (DWE%)||Deviation|
|*DWE% = Duration Weighted Exposure||100%||100%||0%|
|Investment Grade Corporate Bonds||53.4%||27.2%||+26.2%|
|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|
|Portfolio metrics (5 yrs, as of 06/30/2017)||Strategy||Benchmark||Peers*|
|*Peers = Morningstar Active Canadian Fixed Income Category|
|Annualized standard deviation||4.89%||3.64%||3.11%|
|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|
|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%|
Gabriel CefaloniManaging 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.
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.