September, 2023
The Portfolio returned -4.69%, 15.79%, 3.91%, and 3.39% net of fees for the quarterly, 1-year, 5-year and Since Inception periods, versus returns of -0.84%, 12.92%, 6.61% and 6.74% for the S&P/ASX 300 Accumulation Index. The underlying portfolio underperformed the benchmark1 by 0.32% for the quarter, therefore the impact of gearing was the main contributor to underperformance. Stock selection contributed to returns, while sector allocations were negative.
Key sources of negative active returns included a combination of stock selection and an underweight position in energy, an underweight position in financials, and stock selection in communication services. Leading declines within these sectors respectively included a position in Woodside Energy Group, a holding in National Australia Bank, and a lack of exposure to carsales.com. Contributors included a combination of stock selection and an underweight position in materials, stock selection in industrials, and a combination of stock selection and an underweight position in information technology. Leading advances within these sectors in turn included a position in Incitec Pivot, a holding in Computershare, and a lack of exposure to WiseTech Global.*
Approximately 57% of the portfolio was held in the lowest beta stocks, compared to roughly 27% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was positive, contributing 2 bps. Meanwhile, approximately 59% of the portfolio was held in the lowest volatility stocks, compared to roughly 52% for the index. The effect of the portfolio’s exposure to the lowest volatility quintile was negative, detracting 25 bps.
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Fund Performance and Activity
The Portfolio returned -0.47%, 14.51%, 4.38%, and 4.53% net of fees for the quarterly, 1-year, 5-year and Since Inception periods, versus returns of 0.99%, 14.40%, 7.11% and 7.26% for the S&P/ASX 300 Accumulation Index. The underlying portfolio underperformed the benchmark1 by 0.31% for the quarter, therefore the impact of gearing contributed to underperformance. Stock selection contributed to returns, while sector allocations were negative.
Key sources of negative active return included a combination of stock selection and an overweight position in consumer staples, a combination of stock selection and an overweight position in materials, and a combination of stock selection and an underweight position in information technology. Contributors included a combination of stock selection and an overweight position in industrials, stock selection in healthcare, and stock selection in financials. Approximately 57% of the portfolio was held in the lowest beta stocks, compared to roughly 30% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was positive. Approximately 58% of the portfolio was held in the lowest volatility stocks, compared to roughly 52% for the index. The effect of the portfolio’s exposure to the lowest volatility quintile was positive.
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The Portfolio returned 6.52%, -5.80% and 4.87% net of fees for the quarterly, 1 year and Since Inception periods, versus returns of 3.33%, -0.60% and 7.43% for the S&P/ASX 300 Accumulation Index. The underlying portfolio outperformed the benchmark1 by 0.42% for the quarter, therefore the impact of gearing contributed to outperformance.
Key sources of positive active returns included a combination of stock selection and an underweight position in financials, a combination of stock selection and an overweight position in healthcare, and a combination of stock selection and an underweight position in energy. Detractors included stock selection in consumer staples, an underweight position in consumer discretionary, and stock selection in information technology. Approximately 58% of the portfolio was held in the lowest beta stocks, compared to roughly 28% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was positive, contributing 18 bps.
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The Portfolio returned 14.59%, -15.07% and 3.71% net of fees for the quarterly, 1 year and Since Inception periods, versus returns of 9.13%, -1.80% and 7.08% for the S&P/ASX 300 Accumulation Index. The underlying portfolio underperformed the benchmark1 by 2.2% for the quarter, therefore the impact of gearing contributed to outperformance.
Key sources of positive active returns included stock selection in information technology, an underweight position in consumer discretionary, and stock selection in communication services. Detractors included a combination of stock selection and an underweight position in financials, an overweight position in consumer staples, and a combination of stock selection and an overweight position in healthcare. Approximately 57% of the portfolio was held in the lowest beta stocks, compared to roughly 28% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative, detracting 116 bps.
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The fund returned -5.23%1 gross of fees in the September quarter, underperforming the benchmark by 5.68%, therefore the impact of gearing contributed to underperformance. Stock selection as well as sector allocations detracted from returns.
Key sources of negative active return included a combination of stock selection and an overweight position in consumer staples, a combination of stock selection and an overweight position in materials, and a combination of stock selection and an overweight position in healthcare. Contributors included stock selection in industrials, stock selection in financials, and stock selection in communication services. Approximately 55% of the portfolio was held in the lowest beta stocks, compared to roughly 29% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative, detracting 146 bps.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/CFS-Acadian-Wholesale-Geared-Australian-Equity-September-2022.pdfJune, 2022
The fund returned -18.1% in the June quarter net of fees and gearing, underperforming the benchmark by 5.8%. On an ungeared basis, the underlying portfolio returned - 7.6%1 gross of fees, outperforming the benchmark by 4.7%, therefore the impact of gearing was the key driver of underperformance. Stock selection and sector allocations contributed to returns.
Key sources of positive active return included a combination of stock selection and an overweight position in consumer staples, stock selection in information technology, and stock selection in materials. Detractors included stock selection in healthcare. Approximately 51% of the portfolio was held in the lowest beta stocks, compared to roughly 25% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was Positive, contributing 285 bps.
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The fund returned -3.4%1 gross of fees in the March quarter, underperforming the benchmark by 5.5%. The underlying portfolio underperformed the benchmark2 by 3.1% for the quarter, therefore the impact of gearing contributed to underperformance. Stock selection and sector allocations detracted returns.
Key sources of negative active return included stock selection in materials, a combination of stock selection and an overweight position in health care, and a combination of stock selection and an underweight position in energy. Leading declines within these sectors respectively included a position in BHP Group, a holding in Sonic Healthcare, and a lack of exposure to Woodside Petroleum.
Contributors included a combination of stock selection and an underweight position in consumer discretionary, stock selection in information technology, and an underweight position in real estate. Leading advances within these sectors in turn included a lack of exposure to Wesfarmers, a holding in Computershare, and a lack of exposure to Charter Hall Group.* Approximately 37.2% of the portfolio was held in the lowest beta stocks, compared to roughly 17.0% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative, detracting 117 bps.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/CFS-Acadian-Wholesale-Geared-Australian-Equity-March-2022.pdfJune, 2021
Being a geared fund with a target leverage of 55%, the fund gained 18.5% gross of fees in the June quarter, primarily attributable to the impact of gearing. The underlying portfolio was in line with the benchmark1 for the quarter. Stock selection detracted whereas sector allocations provided some positive offset.
Key sources of negative active return included a combination of stock selection and an overweight position in consumer staples, stock selection and an underweight position in consumer discretionary, and stock selection in communication services. Leading declines within these sectors respectively included a position in Costa Group Holdings, a lack of exposure to Aristocrat Leisure, and an investment in Chorus. Contributors included a combination of stock selection and an overweight position in materials, stock selection in health care, and a combination of stock selection and an underweight position in energy. Leading advances within these sectors in turn included a position in Brickworks, a holding in ResMed, and a lack of exposure to Woodside Petroleum.*
Approximately 46% of the portfolio was held in the lowest beta stocks, compared to roughly 29% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative, detracting 89 bps
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/CFS-Acadian-Wholesale-Geared-Australian-Equity-June-2021.pdfMarch, 2021
Being a geared fund with a target leverage of 55%, the fund gained 8.0% gross of fees in the March quarter, primarily attributable to the impact of gearing. The underlying
portfolio underperformed its benchmark1 by 0.3% for the quarter. Gains from stock selection were offset by value lost from sector allocations. Key sources of negative active return included a combination of stock selection and an underweight position in Financials, stock selection in Industrials, and a combination
of stock selection and an overweight position in Utilities. Leading declines within these sectors respectively included a position in Westpac Banking, a holding in Service
Stream, and an investment in AGL Energy. Contributors included stock selection in Information Technology, Health Care, and Materials. Leading advances within these sectors in turn included a position in Codan, a holding in CSL, and a lack of exposure to Northern Star Resources.* Approximately 58% of the portfolio was held in the lowest beta stocks, compared to roughly 36% for the index. The effect of the portfolio’s exposure to the lowest beta
quintile was negative, detracting -244 bps.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/CFS-Acadian-Wholesale-Geared-Australian-Equity-March-2021-1.pdfDecember, 2020
Being a geared fund with a target leverage of 55%, the fund gained 21.1% gross of fees in the December quarter, primarily attributable to the impact of gearing. The underlying portfolio underperformed its benchmark* by 442 basis points for the quarter. Losses from stock selection were deepened by sector allocations. Key sources of negative active return included an underweight position in financials, stock selection in information technology, and an overweight position in consumer staples. Leading declines within these sectors respectively included a position in Commonwealth Bank of Australia, a lack of exposure to Afterpay, and an investment in A2 Milk.
Contributors included a combination of stock selection and an overweight position in materials and an underweight position in consumer discretionary. Leading advances within these sectors in turn included a position in IGO and a lack of exposure to Aristocrat Leisure. Approximately 58% of the portfolio was held in the lowest beta stocks, compared to roughly 36% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative (-244 bps).
Key Holdings
Positive
Our underweight to CSL Ltd was rewarded with 68 basis points of active return. Shares of the Australian biotech company declined slightly over the quarter on the lack of progress in clinical trials for its COVID-19 vaccine candidate. The vaccine (UQ-CSL v451), developed jointly with the University of Queensland, elicited a robust response toward the virus in Phase 1 trials, yet will not progress to Phase 2/3 clinical trials.
Negative
Our underweight to the Commonwealth Bank of Australia cost the portfolio 68 basis points of active return as prices advanced 29% over the quarter. The bank demonstrated resilience through the pandemic, with a strong balance sheet and favourable business mix. Financials results, for the period ending September 30, 2020, were released in November. Highlights included balance sheet growth in lending, both household and business, and deposits. The bank also earned the number 1 ranking in Net Promoter Scores (NPS) in each of its core business segments (consumer, Business, and institutional) for the first time while still retaining its top rank in digital banking.
asset_class: Domestic Equity
asset_category: Australia Large Geared
peer_benchmark: Domestic Equity - Large Geared Index
broad_market_index: ASX Index 200 Index
manager_contact_details: Array
ticker: FSF0453AU
release_schedule: Quarterly
commentary_block: Array
factsheet_url:
https://www.acadian-asset.com/au/wholesale-geared-australian-equity-fund
Fund Documents
Quarterly Factsheet
fund_features:
Acadian Geared Australian Equity aims to maximize long-term returns by borrowing to invest, predominantly, in a selection of Australian companies within the S&P/ASX 300 Accumulation Index, while carefully controlling portfolio risk and transaction costs. The option aims to outperform the S&P/ASX 300 Accumulation Index over rolling seven year periods before fees and taxes.
- The option uses gearing with the aim of magnifying returns from the underlying Australian equity strategy.
- The underlying strategy aims to exploit the ‘low volatility anomaly’, the historical pattern in which higher volatility stocks have underperformed lower volatility stocks on a risk-adjusted basis.
- The resulting underlying portfolio aims to provide returns similar to those of the Australian equity market but with lower absolute volatility over the full market cycle.
- Gearing the underlying strategy has the potential to reduce drawdowns compared to gearing a normal index strategy and therefore aim to provide higher expected returns for lower risk over the long term.
structure: Managed Fund