Fund & Asset Manager Rating Group
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1 Aug 10 Jan 11 Jun 11 Nov 11 Apr 12 Sep 12 Feb 13 Jul 13 Dec 13 May 14 Oct 14 Managed by La Française Asset Management Full Rating Report Fund & Asset Manager Rating Group Balanced Funds / France Key Rating Drivers Multi-Asset Fund: is a flexible multi-asset fund managed by La Française Asset Management (AM). It may adjust its equity exposure from 0% to 65% and invest across a broad range of asset classes using funds, trackers and futures. It has a volatility target of 10%. Figure 1 Fund Features Asset La Française AM management company Portfolio Gilles Mainard managers Antoine Garcia Inception date 5 April 2001 Size EUR344m (December 2014) Lipper Mixed asset EUR classification Strategy Flex - Global Long-only balanced fund of funds Reference index 50% DJ Stoxx 600 net of div.; 50% Euro MTS Global (closing) Share classes Jurisdiction Source: Fitch R (Primary): FR I:FR France Disciplined Process: The fund s investment process is well defined, based on La Francaise AM s asset allocation and a qualitative, well-monitored fund selection. Committees have been simplified, allowing greater reactivity and team interaction across assets, in Fitch Ratings view. They are formalised and comprehensively documented. Staff Reorganisation: Investment management resources has been reorganised after the departure of the former chief investment officer (CIO). Joel Konop, who was the fund s portfolio manager (PM), has been appointed CIO for cross-asset investments and is no longer involved in day-to-day fund management. The fund has been managed by Gilles Mainard, who has 15 years experience, since February Leveraging Broader Investment Resources: The technically well-equipped PMs are also supported by a financial engineering team, which produces highly detailed, multi-layer weekly investment risk analytics dashboards, and benefit from interaction with the other investment professionals of La Francaise AM covering equity, bonds, credit and emerging markets. Well Established Manager: La Francaise AM, owned by La Française (EUR42bn assets under management at end-december 2013) is rated High Standards by Fitch. It is profitable and its size allows it to cover most asset classes while preserving organisational flexibility. Adequate Operational Set-Up: The operational set-up passes Fitch s operational assessment (see page 6). The implementation of investment strategy is straightforward, using funds, trackers, and futures. The operational framework is appropriate, with standard terms and recognised third parties. Solid Long-Term Track Record: The fund has outperformed the Lipper Category "Mixed Euro Flex - Global" and its reference index since inception in 2001, and is in the first quintile of the category over one year. has a Lipper Leader score for consistent return of '4' over three and five years, and '5' (best quintile) over 10 years to December Analysts François Vattement, CFA francois.vattement@fitchratings.com Figure 2 Fund Performance and Assets (Base = 100) Assets (RHS) Reference index (LHS) Fund (LHS) Lipper category (LHS) (EURm) Charlotte Quiniou, CFA charlotte.quiniou@fitchratings.com Source: Lipper 14
2 Nov 11 Apr 12 Sep 12 Feb 13 Jul 13 Dec 13 May 14 Oct 14 Fund & Asset Manager Rating Group Figure 3 Fund Statistics Calendar returns (%) Year Fund Reference index a Lipper category Statistics (1 year) Volatility (%) 9.2 Sharpe ratio 0.8 Max. drawdown (peak-totrough, -5.0 weekly data points) (%) a Reference index is 50% Euro MTS global/ 50% DJ Stoxx 600 div.reinv Source: Lipper Qualitative Assessment Investment Process Investment Philosophy is a flexible, multi-asset fund that aims to optimise its performance with a volatility target of 10%, by discretionarily adjusting its equity exposure from 0% to 65% and diversifying its asset allocation across various asset classes (eg high yield or emerging markets), using funds, trackers, and futures. It may also be directly invested in fixed-income assets, typically government bonds. The fund s maximum market exposure in 2014 was 145%. The philosophy of the fund, which largely relies on structural/macro views, has remained the same since its launch in Nonetheless, quantitative inputs were brought to risk calibration after 2008, and the challenging 2011 markets, where the fund faced market turbulence and a severe correction, have led to enhancements to the monitoring of underlying funds, and a more pragmatic approach (eg use of futures contracts for tactical management). The reference index used by the fund (50% DJ Stoxx % EuroMTS Global), which has not reflected the fund s relative performance at times, is not fully consistent with the fund s global investment universe. The fund s internal objective is to capture around 60% of markets increase, predominantly European equity markets, while preserving capital in adverse periods, ie to suffer no more than 40% of equity market drops. Although the fund may invest in absolute return funds, it remains directional, long biased and tends to suffer in down equity markets. Figure 4 Key Investment Features Target volatility: 10% max Modified duration: 0 to 10 Equity exposure: 0 to 65% Small Caps: 0 to 30% Emerging mkts equities: 0 to 25% High yield bonds: 0 to 30% Emerging mkts debt: 0 to 25% Alternative strategies: 0 to 10% Commodities: 0 to 10% Mutual funds: up to 100% Max global exposure: 185% NAV Source: La Francaise Figure 5 Evolution of Fund's Allocation 100% 80% 60% 40% 20% 0% Fixed Income Diversification¹ Equities ¹ Balanced, commodities and alternative funds Source: La Francaise AMA Related Criteria Fund Quality Ratings Criteria (September 2014) Research La Française AM s mainly fundamental research-driven investment processes are implemented in a disciplined manner that emphasises top-down inputs and committee-driven decision making. The sequence of investment committees has been simplified, allowing greater flexibility and effective information sharing across investment teams, a notable improvement for the cross-asset investment process. Committees inform the overall strategic positioning of portfolios and support the formulation of investment themes to drive bottom-up selection and portfolio construction. Small PM teams are responsible for feeding committee discussions and implementing investment strategies. The fund s primary PM participates in the equity and credit committees, and sources ideas from them, as well as from external conferences and sell-side analysts. In total, funds are monitored (all asset classes combined) and around 150 are in the portfolios. The fund s main performance driver remains asset allocation, and the team often favours in-house funds (representing 30% of the portfolio on average) where the expertise exists. The fund also invests in trackers and external funds for certain asset classes and on strategies/styles that are not available or well represented at La Francaise, such as mid-caps equities, US equities and emerging/frontier markets. Fund selection is performed using Lipper for track records, complemented by robust qualitative due diligences. Decision Making and Portfolio Construction The decision-making process is disciplined. Investment decisions and main asset allocation bets are discussed, validated and monitored during a weekly multi-asset meeting, completed by another weekly follow-up meeting involving the other asset classes heads. A risk budget is defined and an allocation range is formalised during these meetings. Tactical adjustments are performed using futures, mainly on equity indices. These are largely part of the top-down process, rather than implemented on the desk as a macro overlay. The team aims to select the asset classes whose risk/reward is most attractive. Position sizing is based on contribution to risk and extreme risk scenarios. The currency risk of underlying funds is systematically hedged in euros. However, currency is actively managed through a discretionary approach at portfolio level. The PM may also rely on technical analysis, 2
3 for entry point purposes only. Portfolio Monitoring Portfolio monitoring is facilitated at the front-office level by a Risk Data module. It notably includes a multifactor value at risk (VaR) model, which allows the identification of idiosyncratic risks and shows how VaR is influenced by deterministic and historical stresses at the portfolio and asset class levels. Numerous back tests are also performed on investment strategies considered. The module allows customised views (by asset class, geographic area and instrument type). The risk-management team performs second-level monitoring and generates weekly risk and performance reports using Risk Metrics. These include current risk budget consumption, various metrics and stress tests, alpha contributions, betas, correlations, rolling alpha, alpha versus beta and back tests results. PMs have total transparency on underlying strategies for in-house funds. External funds are not examined holding by holding, although key indicators, broad sector allocation, largest exposures and style biases are analysed. The monthly monitoring committee reviews all underlying funds in relation to their respective peer groups. Underlying fund market sensitivities (duration or equity beta) are stored for further monitoring. Figure 6 Staffing, La Française Des Placements Functions No. Multi asset team 11 Other investment 26 professionals Equity 6 Fixed income 14 Emerging markets 4 Small caps 2 Support/financial 4 engineering Market risk control 12 Source: La Française AM Operational Front-Office Workflows The operational setup is relatively simple, as the investment strategy is essentially implemented via funds. PMs input their orders in the central system (Light Trade) and these are then straight-through processed. Futures are traded electronically. Other operational activities, such as net asset value validation, position keeping, cash management, subscription and redemptions, are all handled in Light Trade. Investment constraints are monitored by the middle office (13 staff) but there is no full pre-trade control aside from data input error alerts. However, transactions on invested funds can be amended or cancelled until the instruction is sent, which makes the lack of pre-trade less critical. Resources Staffing The multi-asset team (11 portfolio managers) was substantially reorganised following the move of fund of hedge funds activities to the new partnership Tages Capital in early 2014, and after the departure of the former CIO. The overall CIO function was discontinued and asset class CIOs were appointed instead for equity, fixed income and cross-asset investments. The resulting structure is a flatter, simple framework that gives greater empowerment and accountability to PMs, aimed at shorter and more direct interactions and workflows among teams. Joel Konop, who was the fund s PM until February 2014, has been appointed CIO for crossasset investments and is no longer involved in day-to-day fund management. The fund has since been managed by Gilles Mainard, with Mr Garcia as backup. Mr Mainard has 19 years of market experience, of which 15 years have been as a multimanager with a focus on fund selection and equity fund of funds management. He has been at La Francaise AM for eight years. He reports to François Rimeu, Head of Total Return and Cross-Asset Investments, who reports to Joel Konop. The whole team (11 PMs) manages about 50 funds. The PMs are well supported by a financial engineering team (four staff) and benefit from the views/inputs of La Francaise AM s broader investment team (40 staff in total, see Figure 6). Investment risk, control and operational teams provide adequate oversight and support. 3
4 Technology The IT environment is satisfactory, matching the needs of the fund. Light Trade, the company s central in-house tool, contains all portfolio and asset data and provides pricing, order placement, position monitoring and net asset value approval functionalities. Light Trade is well adapted, and interfaced with other applications. It is complemented by ad hoc vendor solutions for risk management (Risk Data and Risk Metrics). The IT team comprises 12 project managers, with a clear development policy. PMs were equipped earlier this year with a Risk Data portfolio management module allowing fully fledged monitoring of risk indicators breakdown, trade simulation and risk budget monitoring. Particularly relevant to the fund s strategy, this on-the-desk equipment gives PMs more autonomy and flexibility. Figure 7 AUM Breakdown by Asset Class Excl. mandates, as at Sep 14 Figure 8 Equity 6% Alternative 3% Money market 16% Fixed income 49% Multi-asset 23% Source: La Française AM AUM Breakdown by Client Type As at Sep 14 Corporates 5% Financial institutions 10% Insurance (3rd party) 17% Other 10% Source: La Française AM Institutional 23% Insurance (group) 38% Asset Manager Ownership and Financial Conditions La Francaise AM, part of La Francaise Global AM, is the securities investment arm of La Francaise, an asset management group, which is 86% owned by Credit Mutuel Nord Europe. The group managed EUR45bn at end-june 2014, through La Francaise Global Asset Management, La Francaise Global Real Estate Investment Management and La Francaise Global Investment Solutions. For more information on La Francaise AM s financial condition, see the Full Rating Report available at Client Base La Francaise AM s client base is evenly split between institutional and wholesale investors (see Figure 7), the vast majority of which are French. The balanced process primarily focuses on retail and private banking distribution. LFP Patrimoine Flexible s client base includes insurance (88%, mostly from Credit Mutuel Nord Europe, the group s ultimate parent) and third-party distributions (11%). The rest are split between retail/private clients and mutual funds of La Francaise AM. Institutional Experience and Market Presence La Francaise AM has managed balanced funds since 2001, for institutional, private banking and retail investors. Multi-asset, flexible and absolute return products totalled EUR6.5bn under management, representing 20% of La Francaise AM s total assets under management at end- September 2014., with EUR344m under management at end-december 2014, is the flagship of the company s flexible multi-asset offering. Its assets under management have been growing over 2014, mostly from group internal inflows/reallocation. Stability In 2013 La Francaise AM delegated the management of its alternative multi-management strategies to Tages Capital, with which it has established a partnership, through the acquisition of 40% of the company. At end-2013 it entered into a joint-venture with Inflection Point Capital Management, which will advise, under the Strategically Aware Investing approach, on the EUR1bn of equity assets managed by La Francaise AM. The departure of the former CIO has led to a staff reorganisation, including the change of the fund s primary PM, as highlighted in Resources above. However, Fitch does not consider these changes likely to affect the continuity of the fund s philosophy or its ability to deliver on its mandate. 4
5 Figure 9 Operational Assessment Pass Attention required x Fail Service providers & asset segregation Custodian BNP Paribas Security Services (BPSS), third largest European custodian, A+/Stable/F1 Segregation of assets Assets are segregated as per regulations Administrator BPFS (BNP Paribas Group) Auditors Deloitte & Associes Stability in service Unchanged since inception of the fund providers Others Clearers: Newedge (joint venture with equal ownership by Crédit Agricole CIB and Société Générale) and BNP Regulation & governance Regulated vehicle French FCP UCITS compliant Governance No fund board as per regulation; BPSS as trustee Control framework Internal control (three staff), risk management (12 staff) reporting to chief executive officer and chairman of La Française AM Group respectively Valuation & pricing Pricing responsibility Undertaken by BPFS and validated by manager, as per regulation Pricing policy Underlying assets are funds and futures and Back-office reconciliations Source: Fitch prices come from usual data vendors Holdings and cash are reconciled daily between the manager and the administrator/custodian Fund terms Liquidity management Fee structure Conflicts of interest Management of conflicts of interest Alignment of interests Daily subscription and redemptions (dealing cutoff 10am and D+3 settlement) underlying assets have daily liquidity Management fees of 1.75% (1.30% for I class) and performance fees of 20% above benchmark (50% DJ Stoxx 600/50% Euro MTS Global) with a cap of 2.392%, performance net of tax Part of a banking group banking affiliate with no investment banking activity Saving scheme for employees, invested in La Française des Placement s funds Disclosure & transparency Clear strategy Clear investment strategy, properly representation described in marketing documentation Level of disclosure Transparency to investors in the form of a detailed monthly fund factsheet (public) and detailed reporting (for investors only). Detailed market newsletter, notably covering house views. Important Notice A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the fund advisor and its agents in connection with the distribution of the fund. Investors should review the prospectus and/or legal information, which Fitch understands includes, inter alia, the jurisdictions in which the fund is registered for sale. 5
6 The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings. ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEB SITE AT PUBLISHED RATINGS, CRITERIA, AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE, AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Copyright 2015 by Fitch, Inc., Fitch Ratings Ltd. and its subsidiaries. 33 Whitehall Street, NY, NY Telephone: , (212) Fax: (212) Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. In issuing and maintaining its ratings, Fitch relies on factual information it receives from issuers and underwriters and from other sources Fitch believes to be credible. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology, and obtains reasonable verification of that information from independent sources, to the extent such sources are available for a given security or in a given jurisdiction. The manner of Fitch s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer, the requirements and practices in the jurisdiction in which the rated security is offered and sold and/or the issuer is located, the availability and nature of relevant public information, access to the management of the issuer and its advisers, the availability of pre-existing third-party verifications such as audit reports, agreed-upon procedures letters, appraisals, actuarial reports, engineering reports, legal opinions and other reports provided by third parties, the availability of independent and competent third-party verification sources with respect to the particular security or in the particular jurisdiction of the issuer, and a variety of other factors. Users of Fitch s ratings should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating will be accurate and complete. Ultimately, the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports. In issuing its ratings Fitch must rely on the work of experts, including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. Further, ratings are inherently forward-looking and embody assumptions and predictions about future events that by their nature cannot be verified as facts. As a result, despite any verification of current facts, ratings can be affected by future events or conditions that were not anticipated at the time a rating was issued or affirmed. The information in this report is provided as is without any representation or warranty of any kind. A Fitch rating is an opinion as to the creditworthiness of a security. This opinion is based on established criteria and methodologies that Fitch is continuously evaluating and updating. Therefore, ratings are the collective work product of Fitch and no individual, or group of individuals, is solely responsible for a rating. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. All Fitch reports have shared authorship. Individuals identified in a Fitch report were involved in, but are not solely responsible for, the opinions stated therein. The individuals are named for contact purposes only. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed or withdrawn at anytime for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the tax-exempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from US$1,000 to US$750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from US$10,000 to US$1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act 2000 of the United Kingdom, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. 6
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