Märkte und Wandelanleihen in 2021 - "Quo vadis?" - Lazard ...
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Märkte und Wandelanleihen in 2021 – „Quo vadis?“
28. Januar 2021, um 15.00 Uhr
Werner Krämer, CEFA
Geschäftsführer & Economic Analyst bei
LAM Deutschland
Arnaud Brillois
Managing Director, Portfolio Manager/Analyst
LAM LLC (New York)
Bitte nehmen Sie zur Kenntnis, dass die folgende Präsentation aufgezeichnet wird.
Informationen und Meinungen, die im Folgenden diskutiert werden, stellen keine Anlageberatung dar. Jegliche erwähnte Wertpapiere
müssen nicht zwangsläufig von Lazard Asset Management gehalten noch als Kaufempfehlung oder Kundenwerbung verstanden
werden. Alle geäußerten Meinungen sind unverbindlich.
_______________________________________________________________
Please note today’s presentation is being recorded.
Please note, the information and opinions discussed today do not constitute investment advice. Any securities mentioned are not
necessarily held by Lazard Asset Management, and should not be considered a recommendation or solicitation to buy or sell those
MC33854 securities. All opinions expressed are subject to change.
Märkte und Wandelanleihen in 2021 – „Quo vadis?“ Werner Krämer, Geschäftsführer & Economic Analyst 28. Januar 2021
Makro-Ausblick
Vier Dekaden fallende Renditen
Seit 1981 fallen die Renditen von (sicheren) Staatsanleihen und
haben in 2020 historische All-Zeit-Tiefs erreicht.
Quelle: Refinitiv Datastream, Stand 22.01.2021
4 Lazard Asset Management
Renditen von Euroland Staatsanleihen unattraktiv
Bei Euroland-Staatsanleihen finden sich kaum noch Renditen
oberhalb der Null.
Quelle: Refinitiv Datastream, Stand 22.01.2021
5 Lazard Asset ManagementEWU ein gemeinsamer Risikoraum?
Die Märkte haben mittlerweile eingepreist, dass es bei den
Staatsanleihen der Eurozone kein länderspezifisches Creditrisiko
mehr gibt, dass man differenzieren könnte.
Quelle: Refinitiv Datastream, Stand 22.01.2021
6 Lazard Asset ManagementEnge Credit-Spreads
Auch die Renditen von Unternehmensanleihen notieren nahe der
historischen Tiefs, unter dem Vorkrisenniveau.
Quelle: Refinitiv Datastream, Stand 22.01.2021
7 Lazard Asset ManagementZinsanlagen in der Eurozone
▪ Staatsanleihenrenditen niedrig oder negativ
▪ Zinsstrukturkurven flach
▪ Credit-Spreads eng
▪ Schwieriges aktives Management von € Portfolios ohne
Risikopuffer
Die Anleger suchen nach Alternativen
8 Lazard Asset ManagementHyperexpansive Geldpolitik
Wichtiger Einflussfaktor für die Negativzinsen und die Eliminierung
eingepreister Risiken sind die Zentralbanken mit ihrer
hyperexpansiven Geldpolitik und massiven Wertpapierkäufen. Dies
treibt die Assetpreise, fast unabhängig von der Realwirtschaft.
Quelle: Refinitiv Datastream, Stand 22. Januar 2021
9 Lazard Asset ManagementWas kann den geldpolitischen Supercycle
stoppen?
Solange keine Inflation auftritt, können Geld- und Fiskalpolitik hyperexpansiv
bleiben. Sollte die Inflation aber auch außerhalb der Assetpreise zurückkehren,
steht uns ein harter Test der Unabhängigkeit der Zentralbanken bevor.
Quelle: Refinitiv Datastream, Stand 22. Januar 2021
10 Lazard Asset ManagementWoher könnte Inflation kommen?
▪ Geldmengenexpansion
▪ Staatsverschuldung
▪ Politisierung der Zentralbank
▪ Rohstoffpreise
▪ Rückgestaute Nachfrage
▪ Sinkendes Angebot (Dauerlockdown)
▪ Mehr (teurer) Staat
▪ Überregulierung
▪ De-Globalisierung
▪ Monopolisierung/Oligopole
▪ Klimawandelkosten
Inflationierungskräfte werden stärker
Quelle: Refinitiv Datastream, Stand 22. Januar 2021
11 Lazard Asset ManagementKonsequenz - Flucht in die Sachwerte
Die Aktienmärkte sind in starker Verfassung und dem „TINA“-
Argument ist nicht wirklich zu widersprechen, aber relativ zur
eigenen Historie sind sie hoch bewertet.
Quelle: Refinitiv Datastream, Stand 22. Januar 2021
12 Lazard Asset ManagementWelche Assetklassen?
▪ Skandi Fixed Income (Safe Assets)
▪ Global Fixed Income (Safe Assets)
▪ Emerging Markets Debt (Spread)
▪ Global Convertibles (Safer Risk Assets)
▪ Global Quality Equity (Safer Risk Assets)
▪ Emerging Markets / Asian Equities (antizyklisch)
Will man als Anleger noch eine Chance auf Erträge
haben, muss man besondere Risiken nehmen:
Währungen, Aktien, Optionen (Konvexität), Illiquidität,
Komplexität.
13 Lazard Asset ManagementConvertible Bond Market Update Arnaud Brillois, Managing Director, Portfolio Manager/Analyst 28. Januar 2021
Lazard Convertible Global | PC H EUR
Recent performances
CONVEXITY
Convexity is a specific feature of convertible bonds
This differentiates them from a simple diversification through bonds and equities
We tend to favour bonds with equity exposure between 20% and 65% as this is where we have observed convexity at its the greatest
Total YTD 140
2020 PERFORMANCE1 Performance
130
Lazard Convertible Global PC H EUR, net of fees
+32.72% 120
(Hedged in EUR)
110
Refinitiv/Thomson Reuters Convertible Global Focus
hedged Index +21.49%
100
(Hedged in EUR)
2019/12/31 = 100
Excess Return versus Benchmark +1123 bps 90
80
MSCI ACWI nd
+12.52%
(Hedged in EUR)
70
Dec- Jan- Feb- Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec-
19 20 20 20 20 20 20 20 20 20 20 20 20
ICE BofA Global High Yield Index (Hedged in EUR) +4.78% Lazard Convertible Global PC H EUR
Thomson Reuters Convertible Global Focus H EUR
MSCI ACWI H EUR
ICE BofA Global High Yield H EUR
(1) Performance period from 31 December 2019 to 31 December 2020.
Past performance does not guarantee future performance. Performances vary. Performances are net-of-fee (excluding possible buying fees charged
by the distributor), but are gross of fees and taxes applicable to an average retail client (with Belgian residence). Performances of less than one year
are disclosed for information only. The return may increase or decrease as a result of currency fluctuations.
Source: Lazard, Bloomberg, MSCI, Refintiv/Thomson Reuters, ICE
15 Lazard Asset ManagementLazard Convertible Global | PC EUR
Recent performances
CONVEXITY
Convexity is a specific feature of convertible bonds
This differentiates them from a simple diversification through bonds and equities
We tend to favour bonds with equity exposure between 20% and 65% as this is where we have observed convexity at its the greatest
Total 140
2020 PERFORMANCE1 Performance
130
Lazard Convertible Global PC EUR, net of fees
+26.18% 120
(in EUR)
110
Refinitiv/Thomson Reuters Convertible Global Focus
Index +15.04%
100
(in EUR)
2019/12/31 = 100
Excess Return versus Benchmark +1114 bps 90
80
MSCI ACWI nd
+6.65%
(in EUR)
70
Dec- Jan- Feb- Mar- Apr- May- Jun- Jul- Aug- Sep- Oct- Nov- Dec-
19 20 20 20 20 20 20 20 20 20 20 20 20
ICE BofA Global High Yield Index (in EUR) -0.89% Lazard Convertible Global PC EUR
Thomson Reuters Convertible Global Focus
MSCI ACWI
ICE BofA Global High Yield Index
(1) Performance period from 31 December 2019 to 31 December 2020.
Past performance does not guarantee future performance. Performances vary. Performances are net-of-fee (excluding possible buying fees charged
by the distributor), but are gross of fees and taxes applicable to an average retail client (with Belgian residence). Performances of less than one year
are disclosed for information only. The return may increase or decrease as a result of currency fluctuations.
Source: Lazard, Bloomberg, MSCI, Refintiv/Thomson Reuters, ICE
16 Lazard Asset ManagementAn Active Management
Of the Various Performance Drivers
140 EQUITY RISK 3,50 MODIFIED DURATION 5,00%
130 70,00% Switch to
3,00 higher modified
120 duration 4,00%
110 60,00% 2,50
100 3,00%
50,00% 2,00
90
1,50 2,00%
80 Re-risking 40,00%
70 De-risking 1,00
60 1,00%
30,00% 0,50
50
40 20,00% - 0,00%
Apr-20
Dec-19
Dec-20
Aug-19
Nov-19
Mar-20
Aug-20
Nov-20
Jul-20
Jul-19
May-20
Jan-20
Jun-19
Jun-20
Oct-19
Feb-20
Oct-20
Sep-19
Sep-20
Modified Duration LCG (LHS) Modified Duration Index (LHS)
MSCI ACWI (LHS) Delta LCG (RHS) Delta Benchmark (RHS)
US 10 year yield (RHS)
EXAMPLE OF SECTOR EXPOSURE ACTIVE MANAGEMENT RECENT TIMELINE: KEY EVENTS
10,0% Reduction Luxury July 2019: Switch to overweight modified duration
Exposure
8,0% Q4 2020: Profit taking on technology
Jan 2020: Discovery of Covid-19. Reduction Luxury sector
6,0%
Profit Taking Feb 2020: Reduction Delta
Switch to Technology
4,0% Underweight March 2020: Underweight delta then overweight after 16th of March
Technology
2,0% Re-exposure April 2020: Increase exposure technology
May 2020: Increase exposure consumer discretionary
0,0%
Sep Okt Nov Dez Jan Feb Mrz Apr Mai Jun Jul Aug Sep Okt Nov Dez June 2020: Increase exposure IG credit in recovery sector (Airlines and
-2,0%
19 19 19 19 20 20 20 20 20 20 20 20 20 20 20 20 Energy)
Information Technology (relative delta vs benchmark) Jul/Aug 20: Targeted take profit in some technology issuers
Consumer Discretionary (relative delta vs benchmark) Sep/Oct 20: Continued build in recovery sectors
As of 31 December 2020. Source: Lazard, Refinitiv/Thomson Reuters, Bloomberg
The portfolio positioning shown on this page is for illustrative purposes only and may change at any time in the investment team’s discretion.
17 Lazard Asset ManagementGlobal Convertible Bond Dynamics
A Market Dominated By US Convertible Bonds
GLOBAL MARKET SIZE BY REGION* GLOBAL MARKET SIZE BY BOND CURRENCY
Japan, 2,8% SGD; 1%
Asia ex-Japan, GBP; 1% CHF; 1%
10,6% HKD; 2%
JPY; 4%
EUR; 20%
Europe,
17,5%
US,
69,1%
USD; 70%
GLOBAL MARKET SIZE BY SECTOR
30%
▪ Technology companies have always been active issuers of 25%
convertible bonds 20%
15%
▪ Sectors impacted by COVID-19 have been active issuers
in 2020. 10%
5%
▪ Strong presence of growth and mid-cap companies (≈60%
0%
of the market)
▪ ≈65% of convertible bond issuers only issue convertible
bonds (versus other security types)
As of 31 December 2020
Source: BofA Merrill Lynch Global Research, Jefferies
*Region of the underlying equity
18 Lazard Asset ManagementGlobal Convertible Bond Dynamics
New Issue Trends
TOTAL NEW ISSUANCES (USD) AVG. SIZE OF NEW ISSUES AVG. INITIAL PREMIUM AVERAGE COUPON
2020 2019 2018 2020 2019 2018 2020 2019 2018 2020 2019 2018
$158.6bn $85.0bn $84.6bn $539mil $436mil $355mil 33.5% 29.9% 28.8% 1.82% 2.44% 1.87%
New Issuance (in USD mm) Net Supply (New Issue – Redemptions)
180.000 200.000
160.000 150.000
140.000 100.000
120.000 50.000
100.000
0
80.000
-50.000
60.000
40.000 -100.000
20.000 -150.000
0 -200.000
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
1999
2004
1998
2000
2001
2002
2003
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
US Europe Asia Japan Issuance Redemptions Net
New Issue Sectors (in USD mm) Use of Proceeds* (2020)
50.000 CapEx Others
45.000 6% 6%
40.000
35.000
30.000 M&A
25.000
5%
20.000
15.000 Refi
10.000 22% GCP
5.000 61%
0
2019 2020
As of 31 December 2020
Source: BofA Global Research
* M&A: Mergers and Acquisitions. GCP: General Corporate Purposes. CapEx: Capital Expenditures
19 Lazard Asset ManagementGlobal Convertible Bonds Valuations
Still undervalued
▪ It is possible to compare the theoretical price (fair value) of a convertible bond to its traded price
▪ This can allow you to asses the cheapness or richness of the convertible bond market
▪ Since March, the convertible bond market reached a record cheapness
FAIR VALUE TRACKER OF GLOBAL CONVERTIBLE BONDS
Sources: Jefferies. As of 18 December 2020.
The opinion expressed above is as of date of this presentation and may change.
20 Lazard Asset ManagementOutlook
Equity exposure: An active management at the subsector level
2020 TYPE OF ISSUER* LARGEST RECOVERY ISSUERS CHANGE VERSUS 2019
10.000
9.000
Others
10% 8.000
7.000
Recovery
6.000
38,08%
5.000
4.000
Lockdown
3.000
winners, 51,55%
2.000
1.000
0
*Recovery: Cons. Disc., Financials, Industrials,Transportation,, Energy
Lockdown winners: Technology, Health Care, Telecom, Media
Others: Utilities, Materials, Cons. Stp.
2019 2020
As of 31 December 2020
Source: BofA Merrill Lynch Global Research, Jefferies
*Region of the underlying equity
21 Lazard Asset ManagementOutlook
Equity exposure: An active management at the subsector level
▪ The convertible bond market today offer potential to obtain exposure to companies
at different stage of the recovery
▪ This allows efficient portfolio management and offers various drivers of returns
Direct Beneficiaries
- E-commerce
- TeleHealth,
First to Rebound - Cyber-security
- Semiconductors - Cloud
- Videogames
- Payment Processors
Recovery
- Airlines
- Cruises
- Events Companies
- Online Travel Agencies
- Energy
*As of 31 December 2020
The opinion expressed above is as of date of this presentation and may change.
Mention of these securities should not be considered a recommendation or solicitation to purchase or sell the securities. It should not be assumed that any
investment in these securities was, or will prove to be, profitable, or that the investment decisions we make in the future will be profitable or equal to the
investment performance of securities referenced herein. There is no assurance that any securities referenced herein are currently held in the portfolio or that
securities sold have not been repurchased. The securities mentioned may not represent the entire portfolio.
22 Lazard Asset ManagementLazard Global Convertibles
Current Positioning
EQUITY SENSITIVITY MODIFIED DURATION NUMBER OF CONVERTIBLES
Strategy Index Strategy Index Strategy Index
63.6% 57.6% 1.83 2.00 81 215
BREAKDOWN BY SECTOR (BY EQUITY SENSITIVITY) BREAKDOWN BY GEOGRAPHIC AREA (BY EQUITY SENSITIVITY)
25% 40% 37,9%
19,7% 35%
20% 18,5%
30%
15%
25%
10% 6,6% 6,2%
4,9% 20%
5% 2,6% 2,1% 14,4%
1,3% 0,3% 15%
0,0% 0,0% 1,3%
0% Banks 10% 8,0%
Discretionary
Materials
Energy
Insurance
Technology
Real estate
Industrials
Communication
Utilities
Health Care
Consumer Staples
Information
Consumer
5% 1,9% 1,3%
Services
0%
US Europe Asia ex Japan Others Japan
Lazard
Lazard Refinitiv/Thomson Reuters Convertible Global Focus (EUR)
Refinitiv/Thomson Reuters Convertible Global Focus (EUR)
BREAKDOWN BY CURRENCY (% NET ASSETS) BREAKDOWN BY PROFILE (% NET ASSETS)
70% 64,0% 80%
60% 68,0%
70%
50% 60%
40% 50%
27,5% 40%
30%
30%
20%
20% 14,3%
10% 5,5% 10% 5,6% 5,8% 6,2%
2,2% 0,8% 0,0% 0,0%
0% 0%
USD EUR JPY CHF GBP HKD Others Equity-Like Mixed Equity Mixed Bond Bond Cash
Lazard Refinitiv/Thomson Reuters Convertible Global Focus (EUR) Lazard Refinitv/Thomson Reuters Convertible Global Focus (EUR)
As of 31 December 2020
Allocations and security selection are subject to change.
Index data shown above is for the Refinitv/Thomson Reuters Convertible Global Focus (EUR) Index.
Source: Lazard, Refinitv/Thomson Reuters
23 Lazard Asset ManagementLazard Global Convertibles
Rating Distribution
COUPON YIELD BOND FLOOR DISTANCE TO AVERAGE CREDIT AVERAGE
BOND FLOOR SPREAD MATURITY
0.5% 93.1% 30.2% 260.0bps 3.6 years
DISTRIBUTION WITHOUT IN-HOUSE RATINGS1 DISTRIBUTION WITH IN-HOUSE RATINGS2,3
70%
60% 25%
50%
40%
… 20%
14%
12% 15%
10%
8% 10%
6%
4% 5%
2%
0% 0%
AAA
AA+
BBB
BB+
AA-
BB-
AA
A+
BB
B+
A-
B-
A
B
D
CCC-
CC
NR
CCC
Cash
CCC+
BBB+
BBB-
AAA
BBB
AA+
AA-
BB+
BB-
AA
BB
A+
B+
A-
B-
A
B
D
CC
CCC
Cash
CCC+
CCC-
BBB+
BBB-
Lazard Refinitiv/TR Convertible Global Focus Lazard Refinitiv/TR Convertible Global Focus
Average rating Average rating Average rating Average rating
BBB- BBB BBB- BB+
As of 31 December 2020. The distribution shown on this page is for illustrative purposes only and may change at any time in the investment team’s discretion. Index data shown
above is for the Refinitv/Thomson Reuters Convertible Global Focus (EUR) Index.
1. Ratings methodology: When calculating the data shown on this slide, the investment team selected the second best issue rating or the second best issuer rating of those
published by the three main rating agencies (i.e., Fitch, Moody’s and S&P).
2. Shadow rating methodology: For issuers that are not rated by any of the three main rating agencies (i.e., Fitch, Moody’s and S&P), the data shown reflects shadow ratings
maintained by the investment team using the Bloomberg DRSK methodology combined with the investment team’s/Lazard’s proprietary in-house methodology.
3. There is no guarantee that the investment team’s ratings methodology will be equally or more predictive of credit quality than that of the ratings agencies.
Source: Lazard
24 Lazard Asset ManagementCurrent Outlook: Convertible Bond Team’s View on the Asset Class
Angle of analysis Driver Our View
Positive outlook for equities during the first half of the year, particularly for the companies still in
the recovery phase, who often present attractive valuations.
Equity Within the companies that benefitted from the lockdowns, such as e-commerce, cloud or internet
security, we focus on the companies that will be able to maintain high revenue growth momentum
and continue to surprise positively at the next two quarterly earnings releases.
Focus on high quality credit to keep stable and elevated portfolio bond floor. Select only
Macroeconomic analysis strongest balances sheets within US energy, global airlines and tourism related activity.
Credit
→ allows the portfolio to display strong convexity in a volatile equity market environment.
Interest Rates ▪ To stabilize around the current levels in the medium term.
▪ We expect the implied volatility to trend upwards as underlying markets are getting more
Volatility volatile.
▪ Will support valuations of convertible bonds through the value of their optionality.
▪ 2021 new issuance to continue at a high pace, in particular from Q2 as issuers will have to
Market analysis Primary
refinance.
▪ We expect steady inflows into the asset class as convertible bonds become particularly
Liquidity
relevant in volatile markets.
The opinions expressed above are as of the date of this presentation and subject to change.
25 Lazard Asset ManagementDisclaimer
Die in dieser Präsentation enthaltenen Informationen beruhen auf öffentlich zugänglichen
Quellen, die wir für zuverlässig halten. Eine Garantie für die Richtigkeit oder Vollständigkeit
der Angaben können wir nicht übernehmen, und keine Aussage in diesem Bericht ist als
solche Garantie zu verstehen. Alle Meinungsaussagen geben die aktuelle Einschätzung
des Verfassers/der Verfasser wieder und stellen nicht notwendigerweise die Meinung von
Lazard oder deren assoziierter Unternehmen dar.
Die in dieser Präsentation zum Ausdruck gebrachten Meinungen können sich ohne
vorherige Ankündigung ändern. Weder Lazard noch deren assoziierte Unternehmen
übernehmen irgendeine Art von Haftung für die Verwendung dieses Vortrages oder deren
Inhalt.
Weder diese Präsentation noch dessen Inhalt noch eine Kopie dieses Vortrages darf ohne
die vorherige ausdrückliche Erlaubnis von Lazard auf irgendeine Weise verändert oder an
Dritte verteilt oder übermittelt werden. Mit der Annahme dieser Veröffentlichung wird die
Zustimmung zur Einhaltung der o.g. Bestimmungen gegeben.
Lazard Asset Management (Deutschland) GmbH, Neue Mainzer Strasse 75, 60311
Frankfurt am Main.
Januar 2021
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