October, 2021
The BlackRock Style Advantage Fund posted a negative month down -0.22% (gross of fees). This brings the YTD performance to 9.4% (gross of fees).
From an asset class perspective, the portfolio saw some strong counterbalancing forces at play with the equity complex, both single names as well as equity markets, delivering enough positive return contribution to offset a challenging month for fixed income. FX underperformed slightly. Style factor wise, it took an all-out effort of positive returns derived from Momentum, Carry, Low Volatility, Quality, and Timing strategies to offset a challenging environment for Value, which shifted quickly back out of favor after enjoying strong support the month prior
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/blackrock-style-advantage-fund-fund-update-en-au-6.pdfSeptember, 2021
The BlackRock Style Advantage Fund posted a relatively strong quarter up +3.0% (after fees), despite a relatively flat September as the quarter ended with a risk off tone. This brings the YTD performance to 9.7% (after fees).
Over the quarter, the Currency model was the strongest performer, in a continuation of its strong first half performance. This was mainly an Emerging Market (EM) inflation-driven themes, whereby long exposures contributed as EM central banks raised rates on the back of high commodity prices and inflation concerns. Towards the end of the quarter, short positions in Asian EM also added, based on slowing growth on those countries. In Developed markets, the model added on Covid Delta variant concerns and re-opening themes, taking rates positions across countries with differing Covid lock down approaches. A long position in Australia versus a short position in UK performed particularly well.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/blackrock-style-advantage-fund-fund-update-en-au-5.pdfJuly, 2021
The BlackRock Style Advantage Fund gained +0.85% in July (after fees). This brings the Fund’s year-to-date return to +6.93% (after fees), which is 6.92% ahead of its benchmark. From a factor perspective, the more defensive factors – Quality and Low Volatility – were the best performers over the month. Momentum strategies were also slightly positive, while Value and Carry detracted. From an asset class perspective, style factors performed best within Currencies and Single Name Equities, followed by Fixed Income. Style factor performance was negative within Equity Markets (i.e. in the derivative book).
Style factor performance within Single name equities was positive over the month but experienced bouts of volatility, on the back of some severe rotations and swings in financial markets. For example, Value rotated out of favour and into growth-oriented names leading to negative contribution from Value in July. Low volatility and Quality recorded strong positive performance, while Momentum finished the month slightly higher. Style factor performance within equities markets (i.e. the derivative book) was negative in July. All three style factors – Carry, Momentum and Value - ended in negative territory. Long/short positioning across Asian markets was a particular pain point in July. For example, the model was wrongfooted in its short positioning in Singaporean equities, which saw a bounce back after two months of losses. Additionally, the model’s highest conviction long position in Japanese equities weighed as Tokyo declared a state of emergency following an escalating virus outbreak, as well as fallout from tightening of restrictions in Chinese companies dampening regional sentiment. Within the fixed income book, performance was positive driven by Value and Momentum strategies. Carry strategies finished the month roughly flat.
Long/short positioning across European rate markets drove positive returns in this component of the portfolio. Currencies also fared well over the period, as FX Carry and FX Momentum insights drove positive performance. The model’s high conviction short positions contributed most. For example, short positions in the Australian dollar and Euro added to returns, in the wake of investors pricing in dovish central bank activity and little immediate case for rate hikes, particularly relative to the strengthening US dollar over the latter half of the month. In addition, a short Taiwan dollar and Korean won position added to returns.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/blackrock-style-advantage-fund-fund-update-en-au-4.pdfJune, 2021
The BlackRock Style Advantage Fund posted a relatively flat month in June, bringing the return for the quarter to +2.02% (after fees).
June saw a rather notable rotation with inflationary pressure coming to a head by an increasingly (perceived) hawkish stance from the US Fed. The shifting of the Fed’s timetable for tightening was felt across asset classes with strong moves in the US dollar, rates, global equities, and commodities. Under this backdrop, the strategy saw some underperformance across previous reflation winners as single name equities weighed, while currencies and equity markets provided a positive ballast, and fixed income finished around flat. From a factor perspective, Value rotated out of favor and detracted in June. Low Volatility and Momentum saw marginal detraction, while Quality and Carry, and Timing strategies contributed positively.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/blackrock-style-advantage-fund-fund-update-en-au-3.pdfMay, 2021
The BlackRock Style Advantage Fund (Aust) gained +2.27% in May (after fees), which brings the Fund’s year-to-date return to +6.04% (after fees). Factor performance was generally positive in May. In particular, Value insights rotated back into favour after taking somewhat of a breather in April. Defensive factors (Quality and Low Volatility) also performed strongly, while Momentum detracted and Carry finished flat. From an asset class perspective, factors performed best within in single name equities and currencies over the month.
Style factors performance was strongest within single-name equities (i.e. individual shares) in May, driven by Value and Quality. Low Volatility also contributed positively, while Momentum finished flat. Factors worked well across most sectors, but performed best in industrials, financials, consumer discretionary and health care.
Style factor performance within Equity Markets (i.e. the derivatives book) was slightly negative in May – the only asset class to generate a small negative return over the period. Carry insights drove the underperformance in this asset class. Long/short positioning across emerging market (EM) equities was the main detractor over the month. Specifically, a net long position in Taiwanese equities detracted as investors showed concerns about strong government restrictions after a spike in virus cases in the country. A short position in Indian equities also weighed on performance.
Style factor performance within currencies was positive in May, driven by FX Value. Long/short positioning across EM countries was responsible for most of the outperformance within this asset class. For example, a Value-driven long position in the Indian rupee worked well as the currency bounced back sharply from a nine-month low. In addition, long positions in the Russian ruble, Brazilian real and South African rand performed well in May.
Style factor performance within fixed income asset was flat in May. Gains from Carry and Value were offset by losses from Momentum. It was a reasonably quiet month for fixed income assets, as most rate markets traded in a range-bound fashion. A long US duration position generated small positive performance, while short positions in Canadian and UK rate markets detracted
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/blackrock-style-advantage-fund-fund-update-en-au-2.pdfApril, 2021
The BlackRock Style Advantage Fund (Aust) declined slightly in April (-0.2%, after fees), but remains positive on a year-to-date basis (+3.7%, after fees). Factor performance was mixed in April and differed across asset classes. Value insights pared back from a strong prior runup and Momentum lagged, but Quality and Carry strategies continued to grind higher.
Style factors performed best within fixed income markets, driven by Carry and Value. Positioning across developed rate markets was responsible for most of the gains in this asset class. For example, a long US duration position worked well after yields retreated from their March highs. Long Australian rates versus short Eurozone was also beneficial.
Style factor performance within single-name equities (i.e. individual shares) was slightly negative over the month. Value underperformed in April after several months of outperformance. Equity Quality performed well, while Low Volatility and Momentum strategies recorded muted performance.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/blackrock-style-advantage-fund-fund-update-en-au-1.pdfDecember, 2020
The BlackRock Style Advantage Fund (Aust) declined 0.48% in December (after fees) and 5.25% over the quarter. Although broad market indices enjoyed positive performance over the period, there was a lot happening under the surface. The positive vaccine news triggered sharp rotations and major swings in financial markets.
Cyclical sectors and industries that had previously suffered relatively weaker performance outperformed significantly, while recent winners struggled. Momentum stocks (i.e. those that have been trending higher) underperformed significantly, with Momentum experiencing one of the sharpest and deepest drawdowns in history in November – driving most of the Fund’s losses over the quarter. Momentum strategies worked poorly across all asset classes (especially in November), but the drawdown was most pronounced in single name equities. Momentum strategies recovered somewhat in December but not enough to push the quarterly contribution into positive territory.
From an asset class perspective, single name equities continued to drive the Fund’s overall underperformance over the quarter and over the year. Style factor performance across the other asset classes was fairly muted over the quarter. Currencies and Equity Markets (i.e. positioning across equity countries) generated small positive returns, while fixed income detracted slightly. Style factor performance within single name equities was the key driver of the Fund’s overall underperformance in Q4, driven by the historic drawdown in Momentum in November. The shift away from the post-March work-from-home trade led the short side of the book to significantly underperform the long side. In addition, Low Volatility stocks underperformed as these stocks could not keep up with the recent market rally. From a sector perspective, the majority of the underperformance was in industrials, consumer discretionary, and to a lesser extent, information technology. Positioning across Equity Markets generated a small positive contribution over the quarter.
Cross-country positioning in Europe and a net long position to US equities worked well. Positioning across Asia was also beneficial. The dominating reflation trade led to strong rallies in some of our long country positions (e.g. tech-heavy Korea and Taiwan). From a style factor perspective, Value and Carry performed best over the quarter while Momentum detracted. Style factor performance within currencies also led to a small positive contribution in Q4. FX Momentum recovered in December, while FX Value also generated positive returns over the quarter. On the flip side, FX Carry detracted and offset performance. Commodity currencies were some of the top contributors in the cross-section. For example, long positioning in CAD, NOK and NZD were beneficial over the quarter and only partially offset by a short AUD positioning.
A similar dynamic played out in emerging markets, where gains in commodity-sensitive longs (e.g. long RUB, long MXN, long ZAR) were offset by losses in short Latin American (short BRZ, short CLP). Style factor performance within fixed income markets was slightly negative over the quarter, driven by Carry and Value. Rates sold off following the recent shift in market sentiment, which caused our long Australian duration position to be one of the key under performers. Positioning across emerging markets was positive, driven by gains in Chinese, Indian and South African rate markets.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/blackrock-style-advantage-fund-fund-update-en-au.pdfticker: BLK0018AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
https://www.blackrock.com/uk/individual/products/282504/bsf-style-advantage-fund-a2-usd
Factsheet
asset_class: Alternatives
asset_category: Systematic Risk Premia
peer_benchmark: Alternatives - Systematic Risk Premia Index
broad_market_index: Credit Suisse AllHedge Fund Index
structure: Managed Fund
manager_contact_details: Array
fund_features:
The Fund aims to deliver returns that are 7% per annum above those of the Bloomberg AusBond Bank Bill Index, before fees, over rolling 3-year periods.