risks.

The following risks may be materially relevant but may not always be adequately captured by the summary risk indicator and may cause additional loss: Credit risk, Counterparty risk and Risks linked to the use of derivatives and financial techniques.

glossary.

Liquid Global High Yield

Solving the liquidity problem, seeking outperformance: an efficient way to access high-yield bond exposure

We believe there is a better way to invest in high yield – one that overcomes the fractured liquidity of the market, targets consistent outperformance and mitigates drawdowns.

5-10x

lower transaction costs vs
high-yield bonds¹

1.5%

average yearly outperformance
since 2005 with lower volatility²

50%

higher Sharpe ratio than HY
benchmark since 2005³

why invest?

1

Superior liquidity
We harness credit-default swap (CDS) indices, whose 10-times lower transaction costs compared to HY cash bonds minimises entry-exit fees⁴

2

Long-term performance potential
The cash-synthetic basis of CDS indices drives significant long-term outperformance versus the HY benchmark, through persistent rolldown returns of 1.5% on an annualised basis over the benchmark since 2005 and Sharpe ratios 50% higher⁵

3

Lower cost with greater efficiency
CDS indices have comparable trading volumes to the total corporate-bond universe, with over 5,000 bonds⁶. This allows for efficient investment and liquidation, and the systematic nature of the product enables highly competitive fees versus passive and active peers

4

Risk mitigation
Tail-risk hedging to mitigate drawdown risk in extreme market conditions – and is shown to be 70% cheaper than using options themselves⁷. In addition, CDS indices tend to outperform in a liquidity crisis

5

Experience and stability
Key investment team members have more than 80 years of combined market experience, including more than 10 years of trading credit derivatives⁸

our philosophy.

We believe fractured liquidity in HY bond markets creates the need for an efficient alternative: one that solves liquidity stress – especially in volatile environments – and provides consistent outperformance potential with downside mitigation.

A fully liquid alternative

We combine CDS index options and US, European and UK sovereign, supranational and agency (SSA) debt to offer a cost-effective, liquid alternative to HY bonds.

Built-in performance potential

The cash-synthetic basis, reflecting the difference between CDS index and a matched bond portfolio, drives the outperformance of the strategy.
Basis outperformance, in turn, is driven by the superior rolldown of CDS indices.

Resilience against volatility

Our solution has natural defensive qualities in a liquidity crisis.
In addition, we employ efficient tail-risk hedging to further mitigate drawdown risk.

The roll-down effect

Our strategy targets the advantage offered by five-year CDS rolldown exposure to drive long-term outperformance via the basis⁹

universe.

We invest in US, European and UK SSA debt and high-yield CDS indices to replicate the key factor exposure of the Global High Yield index, while seeking superior liquidity, efficiency and performance.

Liquid SSA bonds

We select 20-30 SSA bonds, with a preference for low-coupon securities to provide fiscal efficiency

High-yield CDS

Replication of credit exposure within the benchmark using US and European HY CDS indices, with the flexibility to include emerging market CDS indices if relevant.

investment process.

First, we replicate the yield-curve exposure of the global HY benchmark with US, European and UK SSA debt. Next, we replicate its credit exposure by notional matching with US and European HY CDS indices. Finally, we manage systematic overlays that include tail-risk hedging strategies. The Lead Portfolio Manager monitors the overall risk and return dynamics of the strategy, along with transaction costs and liquidity.

key portfolio figures¹⁰ 1/2.
key portfolio figures¹⁰ 2/2.

2025

Inception date: 21 May 2025

B+

average credit rating

ex-ante tracking error

1- year
corridor

duration aligned with the benchmark

15years

average experience in
quantitative research

10+ years'

experience in trading credit derivatives

> CHF

30bn

invested in credit strategies

> CHF

5bn

in strategies with quantitative
use of credit derivatives

investment team.

Our specialised team has a proven track record in managing quantitative strategies with alpha generation, including more than 10 years’ experience in credit derivatives. It is supported by investment and research capabilities across a global team of more than 30 fixed-income professionals.

lead portfolio manager.

locom/_legacy/images/experts/LOcom_AuthorsAM-Maitra

Anando Maitra, PhD, CFA
Head of Systematic Research & Strategies
>15 years investment experience

portfolio managers.


Jamie Salt, CFA Portfolio Manager & Systematic Fixed Income Analyst >5 years investment experience


Jérôme Collet, PhD Head of Systematic Portfolio Management & Solutions >15 years investment experience


Sandro Croce CIO Fixed Income >20 years investment experience

client portfolio manager.


Christelle Curt-Cognac Client Portfolio Manager >25 years investment experience

Find out more about our Liquid Global High Yield fund.

more information

sources.

1 LOIM, Bloomberg indices.
2 LOIM; Bloomberg indices. Past performance is not a guarantee of future results. Global HY LCS is a weighted average of US HY LCS and EUR HY LCS with weights equal to their respective weights in the Global HY corporate benchmark. Each single currency strategy combines the unfunded returns of CDS indices with funded mirror swap indices that replicate the rate exposure of the relevant benchmark. These are based on externally published benchmarks CDS index benchmarks. Bond benchmark used is the Bloomberg Global high-yield corporate index: Ticker LG50TRUH Index.
3 LOIM; Bloomberg indices. We combine the unfunded returns of CDS indices with funded mirror swap indices that replicate the rate exposure of the relevant benchmark. These are based on external published benchmarks.
4 LOIM analysis
5 LOIM; Bloomberg indices; For illustrative purposes only. 1 Global HY LCS is a weighted average of US HY LCS and EUR HY LCS with weights equal to their respective weights in the Global HY corporate benchmark. Each single currency strategy combines the unfunded returns of CDS indices with funded mirror swap indices that replicate the rate exposure of the relevant benchmark. These are based on externally published benchmarks CDS index benchmarks. Bond benchmark used is the Bloomberg Global high-yield corporate index: Ticker LG50TRUH Index
6 LOIM, Bloomberg indices.
7 LOIM, Bloomberg indices.
8 LOIM.
9 LOIM; Barclays Research at 30 April 2025. Past performance is not a guarantee of future returns.
10 LOIM at 31 April 2025.
11 We calculate performance using 3-month options at roughly 10-delta (~strike 1.5x of the forward spread).

insights.

more insights

get in touch.

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important information.

This document is a Corporate Communication and is intended for Professional Investors only. This document is a Corporate Communication for Professional Investors only and is not a marketing communication related to a fund, an investment product or investment services in your country. This document is not intended to provide investment, tax, accounting, professional or legal advice. This document is issued by Lombard Odier Asset Management (Europe) Limited (hereinafter the “Company”).

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risks.

Liquid Global High Yield

Solving the liquidity problem, seeking outperformance: an efficient way to access high-yield bond exposure

why invest?

1

2

3

4

5

our philosophy.

The roll-down effect

universe.

investment process.

> CHF

> CHF

investment team.

lead portfolio manager.

portfolio managers.

client portfolio manager.

sources.

insights.

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get in touch.

important information.