Kempen Non-Directional Partnership - Class A

Profile

Kempen Non-Directional Partnership (KNDP) is a fund-of-hedge-funds with a diversified exposure to hedge fund strategies. The portfolio typically consists of 10 to 20 underlying hedge funds. The fund has an unconstrained mandate and can invest in a wide array of primarily non-directional strategies, ranging from relative value strategies (e.g. arbitrage and long/short equity with limited directionality) to event driven strategies. The fund can invest in all asset classes and the structure of the fund also allows for investments in less liquid opportunities like distressed debt.

Hedge funds are sourced through an extensive industry network that shares a preference for focused, independent investment managers above the larger traditional asset managers. The concentrated investment approach allows for a thorough due diligence process that is executed by an experienced and specialized team. The members of the Investment Committee have an average industry experience of over twenty years.

The objective of the fund is to generate a long-term return in excess of Euribor + 2%.

Management team

Michiel Meeuwissen, Remko van der Erf, Igor Puljic, Jeanne Spronck

Performance per 2017-09-30 (rebased)

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Performance per 2017-09-30

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  Fund
1 month 0.5 %
3 months 1.7 %
This year 5.4 %
2014 2.3 %
2015 -0.4 %
2016 3.6 %
3 years (on annual basis) i 2.2 %
5 years (on annual basis) i 4.2 %
Since inception (on annual basis) i 2.7 %
Till May 2006 the portfolio consisted of fund-of-hedgefunds and as of May 2006 the portfolio consists of direct investments in hedge funds. Performance is shown after deduction of ongoing charges. The value of your investments may fluctuate. Past performance provides no guarantee for the future.
More information can be found on the documents page of this fund

Key figures

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Total fund size
EUR 116.57 M 2017-10-31
Number of shares
441,460 2017-09-30
Net Asset Value i
EUR 17.55 2017-10-31
Kempen Non-Directional Partnership (the Sub-Fund) is a sub-fund of Kempen Alternative Investment Fund Sicav (the “Fund”), domiciled in Luxembourg. Kempen Capital Management N.V. (KCM) is the management company of the Fund. KCM is authorised as a management company and regulated by The Netherlands Authority for the Financial Markets. The Sub-Fund is registered under the license of the Fund at the The Netherlands Authority for the Financial Markets.

The information in this document provides insufficient information for an investment decision. Please read the Key Investor Document and the prospectus. These documents of the Fund are available on the website of KCM (www.kempen.com/investmentfunds). The Subfonds is registered for offering in a limited number of countries. The countries where the subfund is registered can be found on the website. The value of your investment may fluctuate. Past performance provides no guarantee for the future.

Market developments per 2017-09-30

Global equity markets generated a return of circa 4% in Q3-2017, in local currencies. Regionally, Emerging Markets were strongest while European equity markets lagged the rest of the world. As the USD continued to decline versus the EUR, global equities were up only 1% when measured in EUR. Sticking to developed market currencies, GBP initially continued its decline against EUR, from 1.13 to 1.08, but following hawkish rhetoric of the Bank of England the trend reversed and GBP closed the quarter at 1.13 again. Developed market interest rates saw a slight increase with the 10-year German rate going from 0.38% to 0.48% (after peaking at 0.60% in early July) and the 10-year US rate increasing only modestly from 2.27% to 2.31%. Corporate credit spreads continued their decline helping this category to eke out a modestly positive return despite rising rates. Finally, many commodity markets witnessed rising prices with oil (as measured by WTI per barrel) increasing from $46 to $52 and copper prices moving up 10%.

In this environment, Structured Credit, Macro / Systematic, and Multi-Strategy managers performed best, with one manager out of each these three strategies featuring this quarter’s top-3 contributors (discussed in next chapter). Structured Credit managers continued their winning streak (+2.9%, contributing +49bps), posting 19 consecutive months of positive performance. Gains were broad-based and although Structured Credit spreads have tightened over the past few years, they are still at much wider levels than similarly rated corporate credit, while the underlying fundamentals are strong. There was one star performer within the group of Macro / Systematic managers, helping this strategy to put up a solid number (+2.8%, contributing +40bps). Multi-Strategy managers were positive across the board (+2.8%, contributing +62bps), again with one manager being the key driver. Credit / Distressed managers generated a solid return (+1.7%, +22bps), driven by a wide variety of situations including restructurings and post-reorganization equities.

More information can be found in the Investment Letter on the documents page of this fund.

Portfolio developments per 2017-09-30

On the individual manager level 12 out of 15 core holdings (excluding holdings < 1%) contributed positively with the top-3 managers being:
1. DE Shaw Composite (+5.6%, contributing +0.56%). This multi-strategy manager generated gains across its Quant Equity and its Discretionary Macro book. Within the Quant Equity book, long-term US forecasts were strongest, but money was made across regions as well as types of models. In the Macro book, gains came from Commodities and Equities (short Oil majors amongst others).
2. Pharo Gaia (+7.3%, contributing +0.54%). This EM-focused Global Macro manager generated gains in (quasi)-sovereign credit and EM rates. Within (quasi-)sovereign credit, key winners were Argentina, Portugal and Petrobras. Within EM rates, Brazil was the gift that keeps on giving.
3. One William Street (+3.6%, contributing +0.37%). This Structured Credit manager generated the strongest gains in RMBS, with CMBS, CLOs, Consumer ABS, and CMBX Relative Value positions also contributing positively.

There were no detractors of significance in Q3-2017.

WHEN THE STORM IS OVER …
From 2008 through 2014, KNDP was invested in an Insurance Linked Securities (ILS) manager. In a 2014 Investment Letter we explained why we had decided to redeem this investment, highlighting that “due to benign loss activity over recent years and a global chase for yields, expected returns on insurance-linked securities have been pushed down to a level where we believe it no longer compensates for the risks (of insured disasters)”. In the ensuing two years, insured catastrophe losses continued to come in at modest levels, but 2017 is a very different year. Hurricanes Harvey (August, Texas), Irma (August, Florida), and Maria (September, Puerto Rico) have been a devastating humanitarian disaster first and foremost. But these hurricanes are also among the top-10 costliest insured events over the past 47 years (adjusted for inflation) and collectively they are expected to contribute to about $100 billion in industry insured losses. With that, 2017 looks set to become a year where the average ILS manager is confronted with a loss that evaporates 2015-2016 returns.

We are always looking to source attractive alternative sources of return through investments in non-traditional strategies. Examples of such strategies are Distressed Debt, Structured Credit, Merger Arbitrage, and ILS. Often, the best opportunities arise after a period of stress causing the supply-demand dynamics to shift materially in favour of investors. By way of example, the Great Financial Crisis caused a wave of defaults leading to significant opportunities for Distressed Debt. Similarly, selling pressure from European banks and Maiden Lane in 2011 led to attractive opportunities for Structured Credit. More recently during 2015, Merger Arbitrage became an interesting opportunity because M&A deal volumes reached record highs whilst there was only limited capital available to arbitrage away pricing inefficiencies. Capital was limited due to the regulatory environment and many event driven managers being caught up in a few large deal breaks (e.g. AbbVie/Shire).

Now, record insured catastrophe losses naturally raise the question whether ILS might become an interesting investment opportunity again? First indications are that this might be the case, but this is not a given yet. On the one hand losses are significant and on top of that a lot of ILS capital is “trapped” until pending claims are settled. This causes up to 25% of ILS capital to be unavailable to provide reinsurance during the January renewal season. On the other hand, (i) these losses - despite large - fall well within modelled expectations, i.e. these are not tail events, (ii) (re)insurance companies went into this hurricane season with record high capital allowing them to absorb losses, and (iii) there is said to be significant capital waiting on the side-lines and ready to step in should pricing improve. It is too early to tell, but in any case we are stepping up our analysis and due diligence on the ILS space, including on-site visits with all key players in this market during October, in order to determine whether we should re-enter this strategy.

PORTFOLIO COMPOSITION
During the quarter, we added an investment in OZ Credit Opportunities (‘OZCO’) to the portfolio. This fund was launched in 2011 and invests in Structured Credit as well as Credit / Distressed, in the US and in Europe. The allocation between strategies is actively shifted to where the opportunity set is best, while risks on a position level are well-managed. The combination of a relatively modest fund size (less than $2 billion) with a significant infrastructure at the firm level allows OZCO to participate in opportunities where size matters. The fund is managed by James Levin, who has impressed with strong returns for OZCO over the years. Per October 1st 2017 the fund was invested in 15 holdings (excluding holdings < 1%).

The look-through net equity exposure increased from 14% to 15% and the look-through net corporate credit exposure increased from 9% to 11%. Only a very small part of the net equity exposure comes from Equityrelated managers with the majority coming from Macro / Systematic, Credit / Distressed, and Multi-Strategy managers.

More information can be found in the Investment Letter on the documents page of this fund.

Kempen Non-Directional Partnership (the Sub-Fund) is a sub-fund of Kempen Alternative Investment Fund Sicav (the “Fund”), domiciled in Luxembourg. Kempen Capital Management N.V. (KCM) is the management company of the Fund. KCM is authorised as a management company and regulated by The Netherlands Authority for the Financial Markets. The Sub-Fund is registered under the license of the Fund at the The Netherlands Authority for the Financial Markets.

The information in this document provides insufficient information for an investment decision. Please read the Key Investor Document and the prospectus. These documents of the Fund are available on the website of KCM (www.kempen.com/investmentfunds). The Subfonds is registered for offering in a limited number of countries. The countries where the subfund is registered can be found on the website. The value of your investment may fluctuate. Past performance provides no guarantee for the future.

Performance per 2017-09-30 (rebased)

No chart data available

Performance per 2017-09-30

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  Fund
1 month 0.5 %
3 months 1.7 %
This year 5.4 %
2014 2.3 %
2015 -0.4 %
2016 3.6 %
3 years (on annual basis) i 2.2 %
5 years (on annual basis) i 4.2 %
Since inception (on annual basis) i 2.7 %
Till May 2006 the portfolio consisted of fund-of-hedgefunds and as of May 2006 the portfolio consists of direct investments in hedge funds. Performance is shown after deduction of ongoing charges. The value of your investments may fluctuate. Past performance provides no guarantee for the future.

Dividends

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Distributing
No

Risk analysis (ex post) per 2017-09-30

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  3 years
Maximum drawdown i -5.10 %
Tracking error i 2.18 %
Information ratio i 1.49
Beta i 0.62
Kempen Non-Directional Partnership (the Sub-Fund) is a sub-fund of Kempen Alternative Investment Fund Sicav (the “Fund”), domiciled in Luxembourg. Kempen Capital Management N.V. (KCM) is the management company of the Fund. KCM is authorised as a management company and regulated by The Netherlands Authority for the Financial Markets. The Sub-Fund is registered under the license of the Fund at the The Netherlands Authority for the Financial Markets.

The information in this document provides insufficient information for an investment decision. Please read the Key Investor Document and the prospectus. These documents of the Fund are available on the website of KCM (www.kempen.com/investmentfunds). The Subfonds is registered for offering in a limited number of countries. The countries where the subfund is registered can be found on the website. The value of your investment may fluctuate. Past performance provides no guarantee for the future.

More information can be found in the the document Facts and Figures on the Documents page of this fund.

Kempen Non-Directional Partnership (the Sub-Fund) is a sub-fund of Kempen Alternative Investment Fund Sicav (the “Fund”), domiciled in Luxembourg. Kempen Capital Management N.V. (KCM) is the management company of the Fund. KCM is authorised as a management company and regulated by The Netherlands Authority for the Financial Markets. The Sub-Fund is registered under the license of the Fund at the The Netherlands Authority for the Financial Markets.

The information in this document provides insufficient information for an investment decision. Please read the Key Investor Document and the prospectus. These documents of the Fund are available on the website of KCM (www.kempen.com/investmentfunds). The Subfonds is registered for offering in a limited number of countries. The countries where the subfund is registered can be found on the website. The value of your investment may fluctuate. Past performance provides no guarantee for the future.

Ongoing charges

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Management fee i
0.75 %
Service fee i
0.08 %
Taxe d'abonnement i
0.05 %
Indirect costs i
1,94% (estimate excl. possible performance fees)
Ongoing charges last financial year i
2.82 %

Other costs

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Entry fee
0,00 %
Exit fee
0,50 %
Kempen Non-Directional Partnership (the Sub-Fund) is a sub-fund of Kempen Alternative Investment Fund Sicav (the “Fund”), domiciled in Luxembourg. Kempen Capital Management N.V. (KCM) is the management company of the Fund. KCM is authorised as a management company and regulated by The Netherlands Authority for the Financial Markets. The Sub-Fund is registered under the license of the Fund at the The Netherlands Authority for the Financial Markets.

The information in this document provides insufficient information for an investment decision. Please read the Key Investor Document and the prospectus. These documents of the Fund are available on the website of KCM (www.kempen.com/investmentfunds). The Subfonds is registered for offering in a limited number of countries. The countries where the subfund is registered can be found on the website. The value of your investment may fluctuate. Past performance provides no guarantee for the future.

Share class details

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Share class
A i
Investor type
Institutional & Private
Distributing
No
Objective
To generate a long term return in excess of Euribor +2%
Investment category
Hedge Fund Solutions
Universum
Global multi assets
Inception date
2001-10-01
Domicile
Luxembourg
May be offered to all investors in
The Netherlands
May be offered to professional investors only in
Luxembourg, United Kingdom
UCITS status i
No
Status
Open-end i
Base currency
EUR
Share class currency
EUR
Management company
Kempen Capital Management N.V.
Custodian
J.P. Morgan Bank Luxembourg S.A.

Tradability

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Listed
no
Pricing frequency
Subscriptions monthly on the first business day, redemptions quarterly, on the first business day of January, April, July and October
ISIN i
LU0138381354
Entry period purchase order
In order to be executed, orders must be received by J.P. Morgan Bank Luxembourg S.A. 5 business days before the dealing day. Your distributor may use longer entry periods.
Entry period sell order
In order to be executed, orders must be received by J.P. Morgan Bank Luxembourg S.A. 90 calendar days before the dealing day.Your distributor may use longer entry periods.
Details
Settlement for subcriptions is due 5 business days before the applicable dealing day. Settlement for redemption will normally take place within 19 business days after the appllicable dealing day.
Kempen Non-Directional Partnership (the Sub-Fund) is a sub-fund of Kempen Alternative Investment Fund Sicav (the “Fund”), domiciled in Luxembourg. Kempen Capital Management N.V. (KCM) is the management company of the Fund. KCM is authorised as a management company and regulated by The Netherlands Authority for the Financial Markets. The Sub-Fund is registered under the license of the Fund at the The Netherlands Authority for the Financial Markets.

The information in this document provides insufficient information for an investment decision. Please read the Key Investor Document and the prospectus. These documents of the Fund are available on the website of KCM (www.kempen.com/investmentfunds). The Subfonds is registered for offering in a limited number of countries. The countries where the subfund is registered can be found on the website. The value of your investment may fluctuate. Past performance provides no guarantee for the future.
Kempen Non-Directional Partnership (the Sub-Fund) is a sub-fund of Kempen Alternative Investment Fund Sicav (the “Fund”), domiciled in Luxembourg. Kempen Capital Management N.V. (KCM) is the management company of the Fund. KCM is authorised as a management company and regulated by The Netherlands Authority for the Financial Markets. The Sub-Fund is registered under the license of the Fund at the The Netherlands Authority for the Financial Markets.

The information in this document provides insufficient information for an investment decision. Please read the Key Investor Document and the prospectus. These documents of the Fund are available on the website of KCM (www.kempen.com/investmentfunds). The Subfonds is registered for offering in a limited number of countries. The countries where the subfund is registered can be found on the website. The value of your investment may fluctuate. Past performance provides no guarantee for the future.

KCM Vision

Kempen Capital Management is an asset manager with a long-term investment approach. We strongly believe in engaged shareholdership that benefits all stakeholders. As a long-term responsible investor, we firmly believe that active ownership and shareholder engagement contribute to positive change across the board.

Our KCM wide approach to responsible investment

To put our vision into action we engage with our investment targets on a wide array of strategic, financial, environmental, social and governance (ESG) topics. Our long-term investment worldview paired with thorough analysis and an experienced and diverse ESG team allow us to use both voting and engagement as means to consistently encourage positive change. Through this process of constructive engagement, we are able to contribute to the development of principles and standards of corporate responsibility within companies.

Fund approach to Responsible Investment

  • As we invest in hedge funds, we don't actively choose to invest in a certain company.
  • During our thorough due diligence process we ask managers what efforts they make regarding responsible investing.
  • Also, we check on as annual basis whether our funds have any exposure to the companies on our exclusion list.
  • We hope that by continuing to ask our managers about their ESG and RI policy, they will start considering formulating an RI policy especially if faced with similar queries from other investors.
  • When a manager is or becomes a signatory or informs us about a RI policy they are using, we open a dialogue to discuss the topic and find out what drove them to their current RI stance.
Kempen Non-Directional Partnership (the Sub-Fund) is a sub-fund of Kempen Alternative Investment Fund Sicav (the “Fund”), domiciled in Luxembourg. Kempen Capital Management N.V. (KCM) is the management company of the Fund. KCM is authorised as a management company and regulated by The Netherlands Authority for the Financial Markets. The Sub-Fund is registered under the license of the Fund at the The Netherlands Authority for the Financial Markets.

The information in this document provides insufficient information for an investment decision. Please read the Key Investor Document and the prospectus. These documents of the Fund are available on the website of KCM (www.kempen.com/investmentfunds). The Subfonds is registered for offering in a limited number of countries. The countries where the subfund is registered can be found on the website. The value of your investment may fluctuate. Past performance provides no guarantee for the future.