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OFFON

BOUSSARD & GAVAUDAN HOLDING LIMITED

(BGHL)
  Report
Real-time Quote. Real-time Euronext Amsterdam - 01/17 09:25:17 am
23.6 EUR   +0.43%
03:45aBOUSSARD & GAVAUDAN HOLDING LIMITED, - BGHL (EUR) : NAV(s)
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01:30aBGHL (GBP) : NAV(s)
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01:30aBGHL (EUR) : NAV(s)
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BGHL - October 2021 Newsletter

11/02/2021 | 01:40pm EST

MONTHLY NEWSLETTER OCTOBER 2021

BGHL NA € 28.65

Estimated NAV BGHS LN £ 24.83

OVERVIEW

Estimated AUM €359m

Firm AUM €2.5bn

Share price €23.00 (discount to NAV: 20%)

NAV PERFORMANCE

BGHL is a closed-ended investment company which invests in BG Fund, Boussard & Gavaudan's flagship fund with 18 years of track record.

BGHL's investment objective is to deliver an annual return, net of fees, of 400 to 600 basis points above the risk-free rate over the business cycle, irrespective of market performance. The risk-free rate is "capitalized EONIA".

BG Fund is driven by bottom-up fundamental and event catalyst research, combined with extensive multi-asset arbitrage and derivative expertise. Typically, investment ideas are catalyst driven with a focus on special situations and events.

Capital is dynamically allocated to the firm's best ideas and these ideas are categorized into four main types of strategies: Equity, Volatility, Credit and Trading strategies.

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Year

2021

0.99%

0.57%

0.04%

2.81%

-0.24%

0.23%

0.45%

0.80%

1.72%

2.71%*

10.48%*

2020

1.12%

2.55%

-10.12%

4.98%

1.41%

1.70%

1.25%

-0.25%

1.93%

1.45%

4.37%

2.98%

13.26%

2019

-0.41%

-0.58%

1.04%

-0.76%

0.59%

0.95%

1.92%

1.57%

-1.66%

-0.54%

0.79%

1.14%

4.07%

2018

0.70%

1.34%

-0.60%

-0.58%

0.03%

-0.25%

-2.92%

0.18%

0.49%

-2.35%

-1.40%

-0.88%

-6.15%

2017

0.59%

1.55%

0.08%

3.78%

1.16%

-0.07%

0.43%

-0.11%

-0.52%

-0.13%

-1.16%

0.22%

5.87%

2016

0.48%

2.02%

1.18%

0.70%

1.68%

-0.59%

0.78%

0.47%

-0.01%

-1.08%

0.09%

1.32%

7.22%

2015

2.96%

1.15%

-0.36%

1.12%

2.06%

-1.92%

3.56%

0.87%

-1.47%

0.80%

4.80%

1.25%

15.65%

2014

2.81%

-0.01%

-0.74%

1.62%

1.53%

-0.58%

0.08%

0.52%

-1.08%

-0.93%

3.16%

0.37%

6.85%

2013

0.89%

0.74%

-0.59%

0.24%

1.27%

0.83%

0.96%

0.47%

1.07%

1.57%

2.28%

3.14%

13.60%

2012

3.90%

2.01%

-0.16%

0.54%

-0.61%

-0.32%

0.12%

1.29%

0.04%

0.83%

0.42%

1.08%

9.45%

2011

0.71%

0.57%

2.16%

0.01%

-0.05%

-0.85%

-0.80%

-0.20%

-2.17%

2.49%

-3.92%

-0.39%

-2.58%

2010

1.35%

0.59%

1.62%

0.81%

-1.10%

1.00%

2.11%

-0.32%

0.79%

2.11%

0.04%

1.97%

11.49%

2009

3.34%

-0.17%

1.20%

5.01%

4.17%

0.92%

1.91%

2.63%

2.92%

1.47%

0.30%

0.69%

27.15%

2008

-2.10%

-0.01%

-2.32%

0.78%

1.29%

-2.98%

-1.19%

0.32%

-10.49%

1.67%

1.55%

1.09%

-12.30%

2007

3.13%

1.45%

4.68%

0.73%

1.38%

-2.27%

0.85%

-2.21%

-0.32%

1.82%

-2.16%

-1.38%

5.56%

2006

-

-

-

-

-

-

-

-

-

-

2.27%

2.82%

5.15%

Annualized Performance +7.27%* since inception

Annualized Volatility 5.33%* since inception

Sharpe Ratio

1.26* since inception

Beta to Euro Stoxx 50® (Total Return)

0.04* since inception

*Performance displayed is for EUR share class net of fees with income reinvested. Performance data is estimated and unaudited.

PERFORMANCE REVIEW

BGHL and BG Fund ended the month up +2.71% (EUR share class) and +2.77% (USD A share class) respectively vs Euro Stoxx 50® Total Return (+5.15%).

BG Fund Capital Allocation

BG Fund Performance

Oct 2021

Attribution

Year-to-date

Equity Strategies

Equity Strategies

Credit Strategies

Volatility Strategies

Trading Strategies

Special Situations

Catalyst & Value

29%

13%

20%

24%

13%

0.85%

1.16%

-0.02%

0.35%

0.43%

4.95%

-0.65%

2.11%

2.01%

0.95%

CORPORATE UPDATE

Since the restart of the share buyback program on 17 December 2019, the firm has bought back 3,539,466 shares. The current number of shares outstanding excluding treasury shares for both the EUR and GBP share classes is 12,514,263.

CONTACTS

Emmanuel Gavaudan +44 20 3751 5389 eg@bgam-uk.com

François-Xavier Baud + 33 1 4490 3947 fx.baud@bgam-fr.com

Rafael Serrano +44 20 3751 5422 rafael.serrano@bgam-uk.com

Benjamin Sturges + 44 20 3751 5417 benjamin.sturges@bgam-uk.com

Robin Lowe +1 212 837 2302 robin.lowe@bgam-uk.com

Risk warning: Past performance is no guide to future performance. The value of holdings may fall as well as rise and investors may not get back their initial investment. Performance displayed is for the EUR share class net of fees with income reinvested and is calculated on a NAV to NAV basis. Performance data is estimated and unaudited. All figures are correct as of 29th October 2021 unless otherwise stated.

Source: Bloomberg, Boussard & Gavaudan.

  1. COMPANY INFORMATION

General information

Investment manager

Boussard & Gavaudan Investment Management LLP

Company domicile

Guernsey

Website

www.bgholdingltd.com

Management fee

1.5% p.a.

Performance fee

20% with HWM

SEDOL

ISIN

Reuters

Bloomberg

EUR Euronext

B1FQG45

GG00B1FQG453

BGHL.AS

BGHL NA

EUR LSE

B28ZZQ1

GG00B1FQG453

BGHL.L

BGHL LN

GBX LSE

B39VMM0

GG00B39VMM07

BGHS.L

BGHS LN

GBX Euronext

B39VMM1

GG00B39VMM07

BGHS.AS

BGHS NA

  1. OVERVIEW

Boussard & Gavaudan Holding Limited ("BGHL") is a Guernsey closed-ended investment company and is registered with the Dutch Authority for the Financial Markets as a collective investment scheme under article 1:107 of the Dutch Financial Markets Supervision Act. BGHL invests its assets in order to provide exposure to multiple alternative investment strategies managed by the Investment Manager. The investment objective is to produce long-term appreciation of its assets. BGHL seeks to achieve this by investing in BG Fund ("the Fund"). In addition, a proportion of the net assets of BGHL may, at the discretion of the Investment Manager, be invested in other hedge funds and financial assets selected by the Investment Manager. BGHL aims to generate a target NAV annualized return of Eonia capitalized + 400/600 bps over the business cycle, net of all fees.

2

  1. SHARE INFORMATION as of 29 October 2021

Net Asset Value (NAV)

Euro share

Sterling share

Estimated NAV*

€ 28.6536

£24.8280

Estimated month to date return*

2.71%

2.67%

Estimated year to date return*

10.48%

9.05%

Estimated inception to date return*

186.54%

148.28%

Market information

Amsterdam (AEX)

London (LSE)

EUR share Market close

€ 23.00

-

EUR share Premium / discount to estimated NAV

-19.73%

-

Sterling share Market close

-

£18.50

Sterling share Premium / discount to estimated NAV

-

-25.49%

Transactions in own securities purchased into treasury

Euro share

Sterling share

Number of shares

0

-

Average Price

€ 0.00

-

Range of Price

-

-

Ordinary Shares

Euro share

Sterling share

Shares issued

12,219,769

294,494

Shares held in treasury

0

0

Shares outstanding

12,219,769

294,494

Total value of the investments the shares outstanding

Market capitalisation of BGHL outstanding Amsterdam (AEX) London (LSE) market close for

of BGHL based on the estimated NAV for

based on the share price for the shares market close for the Euro Share and the Sterling share

BGHL

  • 359 million
  • 288 million

*

  • Estimated numbers, net of fees. The data is not audited.

3

IV.

BGHL TRACK RECORD

BGHL Track Record - Historical NAV Returns Summary (Net of Fees)

  • Estimated numbers, net of fees. The data is not audited.

4

  1. BGHL COMPOSITION

BGHL is invested in BG Fund (net of an amount retained by BGHL for working capital and other requirements).

As of 1 November 2021, 99.70% of BGHL net asset value is invested in BG Fund. BGHL has a maximum exposure limit to BG Fund of 110%. The remained BGHL net asset value is made up of direct investment and cash.

  1. BG FUND

European markets rose steadily in October with the Eurostoxx 50® Net Total Return up +5.15% while conversely the iTraxx Crossover® (S35) widened to 242bps from 235bps at the end of September. Market volatility was subdued, and implied volatility decreased over the month taking VStoxx® to 17.6% down from 23.2%.

BG Fund delivered a solid performance in October returning +2.77% (USD A estimate) for the month. As usual, the Fund is positioned Delta neutral. The majority of October's return was driven by realisation of specific corporate events in equity strategies, although nearly all strategies delivered positive returns, with notable contributions from mandatories, convertibles and trading. We continue to focus the portfolio on idiosyncratic events and arbitrage opportunities.

COMMENTARY

Volatility strategies

Mandatory convertible bond arbitrage

Mandatory convertible bonds contributed +11bps this month with most of the return from an options arbitrage trade. There were a few small repricings in specific mandatories though the market was flat overall. There was no primary activity during the month in Europe.

Convertible bond arbitrage

Convertible bond contribution (excl. mandatories) to the performance of the fund was +15bps in October.

In Europe the market was lacklustre and many participants were waiting for the earnings season which started at the end of October. Nevertheless, our European positions delivered a nice contribution to PnL due to several specific issues repricing on better than expected results.

US CB arbitrage had another month of good performance, with about 20% of our positions driving the PnL and the portfolio demonstrating the benefits of its convex risk profile. We saw sharp jumps in underlying shares on several CB positions following earnings releases while other positions benefited from strong specific buying support. Most notably there was only one new issue of $150m in October, in a market that averages around $3.5bn in new issues per month. This lack of new issue supply provided a tail wind for a strong market in the first half of the month while the second half of the month was relatively soft, with the decline in the volatility index playing a central role.

Volatility Trading

Realised volatility vs implied forwards at the end of September *:

30d Implied vol level

Realised vol over the

Difference

on 30/09/21

month

US

23.14

10.85

-12.30

Europe

23.24

14.53

-8.71

Variation of implied volatilities during October *:

* Source: Bloomberg

5

This is an excerpt of the original content. To continue reading it, access the original document here.

Disclaimer

Boussard & Gavaudan Holding Limited published this content on 02 November 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 02 November 2021 18:39:12 UTC.


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Financials
Sales 2020 48,2 M 55,1 M 55,1 M
Net income 2020 33,7 M 38,5 M 38,5 M
Net cash 2020 368 M 420 M 420 M
P/E ratio 2020 8,68x
Yield 2020 -
Capitalization 295 M 337 M 337 M
EV / Sales 2019 -2,52x
EV / Sales 2020 -1,86x
Nbr of Employees -
Free-Float 76,9%
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Managers and Directors
Andrew Henton Chairman
Bruce James Independent Non-Executive Director
Andrew Russell Howat Non-Executive Director
Sylvie Sauton Non-Executive Director