Dogma Renovatio Credit Fund - Risk Review

Analysis of Dogma Renovatio Credit Fund (A USD Shares) vs LQD

This chart compares the Dogma Renovatio Credit A USD Shares with LQD (iShares iBoxx Investment Grade Corporate Bond ETF), analyzing their weekly returns (x-axis) and weekly standard deviation (y-axis) since December 30, 2022.

The dataset consists of numerous weekly observations, with:

• Orange dots representing the Dogma Renovatio Credit Fund.
• Blue dots representing the LQD ETF.
• A U-shaped fitted curve for each dataset, highlighting the relationship between return levels and standard deviation.

Key Observations

1. Lower Volatility Profile of Dogma Renovatio Credit A USD

• The Dogma Renovatio Credit A USD strategy (orange) has consistently lower standard deviations compared to LQD across the entire range of returns.
• The points are more concentrated near zero standard deviation, suggesting greater stability.

2. Volatility Smile and Asymmetry

• Both datasets display the classic “volatility smile”, where volatility increases as returns deviate from zero.
• LQD exhibits higher dispersion, with greater volatility on both positive and negative returns.
• Dogma Renovatio remains tightly clustered around the lower part of the curve, suggesting more stable and controlled risk dynamics.

3. Stability and Drawdown Mitigation

• The Dogma Renovatio strategy shows significantly reduced downside volatility, implying effective risk management mechanisms.
• The asymmetry in the smile suggests a controlled approach to credit risk, likely through active duration management, superior credit selection, or hedging techniques.
• LQD, being a broad market ETF, is more exposed to credit spread widening and systemic shocks, leading to higher volatility in negative return environments.

Strategic Insights

For Conservative Fixed-Income Investors

• Dogma Renovatio exhibits superior risk control, making it a strong candidate for investors seeking yield with lower volatility.
• The strategy appears to mitigate tail risks, suggesting it may be better suited for stable income generation compared to LQD.

For Tactical Credit Investors

• LQD shows greater variance, which could indicate higher sensitivity to interest rate movements and spread fluctuations.
• Dogma Renovatio’s structure suggests a more defensive, an actively managed approach, making it less vulnerable to market stress events.

Risk Considerations

1. Risk-Adjusted Return Superiority

• Given the lower observed volatility of Dogma Renovatio, it exhibits a higher Sharpe ratio compared to LQD.
• The reduction in downside volatility suggests embedded risk mitigation techniques, which enhance risk-adjusted returns.

2. Interest Rate Sensitivity and Credit Risk

• LQD is exposed to broader credit market dynamics and interest rate fluctuations, which leads to greater volatility.
• Dogma Renovatio likely employs dynamic credit risk management, reducing sensitivity to sudden yield curve shifts.

3. Portfolio Implications

• Investors seeking steady fixed-income exposure with lower drawdowns may favor Dogma Renovatio over LQD.
• LQD’s higher volatility suggests it may be more appropriate for investors with a higher risk tolerance, particularly in rising-rate environments.

The Dogma Renovatio Credit A USD strategy demonstrates a superior volatility profile compared to LQD, maintaining lower standard deviations across all return levels. The more concentrated data points around zero volatility suggest a disciplined, actively managed approach with strong downside protection.

Compared to LQD, Dogma Renovatio appears to provide a more stable credit investment solution, likely benefiting from active credit selection, duration management, and risk mitigation strategies. This makes it a compelling option for investors seeking lower volatility and controlled credit exposure.

A deeper analysis will be provided overtime.

Danilo, G. Onorino

This document was prepared by Danilo, G. Onorino for information and marketing purposes. Past performances are not guarantee of future returns. This communication is not an offer or a recommendation to buy/sell financial instruments.