The Cheyne Fund (UCITS)

Investment Objective

The Cheyne Fund (UCITS) is a multi-strategy fund that gives access to Cheyne’s liquid alternative investment strategies, including corporate credit, long short equity, event driven and convertibles.

The fund:
▪ Seeks to capitalise on the attractive and complementary characteristics across liquid equity and credit alternative investment strategies, with their low respective correlations helping to deliver an attractive volatility profile in single fund format
▪ Targets net annualised returns of 8-9%, with attractive risk adjusted returns
▪ Charges a single fund level netted performance fee
▪ Offers daily liquidity

Latest Meeting Note

Meeting 19 Dec 2023

The Cheyne Fund (UCITS) is a multi-strategy fund offering access to Cheyne’s diverse liquid alternative investment strategies, which encompass corporate Credit, Equity Long/Short, Event Driven, and Convertibles. The fund is actively mana...

The Cheyne Fund (UCITS) is a multi-strategy fund offering access to Cheyne’s diverse liquid alternative investment strategies, which encompass corporate Credit, Equity Long/Short, Event Driven, and Convertibles. The fund is actively managed by an Investment Committee, under the leadership of Cheyne's Founder, Jonathan Lourie, who plays a pivotal role in managing strategy allocations. Importantly, the fund is not a fund of funds; rather, it directly invests in the underlying positions of its flagship strategies. Each strategy within the portfolio is capped at a maximum allocation of 40%, ensuring sufficient diversification. The allocation to the underlying strategies is dynamic, reflecting evolving market conditions and capitalizing on the perceived optimal opportunities. Opportunity assessment is based on the current value of more directional strategies, potential for alpha generation, and the shorter-term prospects emerging from broad-based market dislocations. The Portfolio Strategy Allocations are divided into five main categories (current allocations provided): Equity Long/Short takes the largest share with 30%, focusing on European mid-cap companies. This strategy is dynamically managed with a low-net approach, incorporating robust fundamental and thematic analysis alongside active trading. Credit/Risk Premia currently represents 25% of the portfolio, aiming to capture the value premium in predominantly IG credit. This is achieved using liquid credit default swaps with a short maturity profile, currently set at 2 years. The allocation for Credit/Market Neutral is 18%. It involves fundamental long/short investments in single name credits, maintaining an overall neutral net market exposure. Event Driven Equity accounts for 14% of the strategy, concentrating on merger arbitrage opportunities linked to announced corporate events, ensuring minimal net market sensitivity. Lastly, Convertibles have a 13% allocation. This strategy seeks to capture compelling asymmetric returns through convertible bonds, taking advantage of opportunities around new issuance.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.1 0.6 0.2 0.6 0.8 0.5 0.8 0.2 0.4 0.3 0.1 0.5 1.0
2022 1.0 0.2 0.6 0.9 0.6 0.5 0.7 0.8 0.4 0.1 0.2 0.4 0.8

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