September, 2023
The Portfolio returned -0.01%, 15.72%, 6.35% and 10.18% net of fees for the quarterly, 1-,5-, and 10-year periods, versus returns of -0.37%, 20.34%, 8.92% and 11.62% for the cap-weighted benchmark2. A combination of stock selection and an underweight position in information technology contributed 60 basis points, led by a position in Dell Technologies. Stock selection in healthcare contributed 47 basis points, owing primarily to holding in Amgen. Offsetting these results to a degree were 48 basis points of negative returns from a combination of stock selection and an overweight position in consumer staples, driven by a position in Hershey.*
Approximately 49% of the portfolio was held in the lowest beta stocks, compared to roughly 17% for the index. The portfolio’s allocation to the lowest beta quintile contributed 32 basis points; however, losses from stock selection within this quintile (-41 basis points) offset these returns to yield a net detraction of 9 basis points.
Key Holdings3
Positive
‐ Our overweight to Dell Technologies Inc., a manufacturer and seller of various comprehensive and integrated solutions, products, and services, was rewarded with 21 basis points of active return as share prices rallied 27.3% during the quarter. Growth in demand for workstations that enable organizations to run complex AI workloads locally has been boosting the company’s revenues.
Negative
‐ Our overweight to Hershey, a provider of confectionery products and pantry items, cost the portfolio 22 basis points of active return as share prices fell 21% in the quarter. The company lowered its GAAP EPS outlook for the upcoming quarter on recessionary concerns. Notably, its management did not increase its revenue guidance for 2023, during the last earnings release, indicating weak top line growth.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-September-2023.pdfJune, 2023
The Portfolio returned 4.18%, 15.59%, 7.59% and 10.65% net of fees for the quarterly, 1-,5-, and 10-year periods, versus returns of 6.83%, 20.38%, 10.38% and 12.27% for the cap-weighted benchmark2. An overweight position in consumer staples detracted 74 basis points, led by an overweight to Cal-Maine Foods.
Furthermore, a combination of stock selection and an overweight position in materials detracted 71 basis points, owing primarily to an overweight to Royal Gold. Offsetting these results to a degree were 24 basis points of positive returns from a combination of stock selection and an underweight position in financials, driven by an overweight to Marsh & McLennan.*
Approximately 49% of the portfolio was held in the lowest beta stocks, compared to roughly 17% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative. Approximately 37% of the portfolio was held in the lowest volatility stocks, compared to roughly 28% for the index. The effect of the portfolio’s exposure to the lowest volatility quintile was negative.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-June-2023.pdfMarch, 2023
The Portfolio returned 5.62%, 8.44%, 7.55% and 11.29% net of fees for the quarterly, 1-,5-, and 10-year periods, versus returns of 8.65%, 3.78%, 9.87% and 12.94% for the cap-weighted benchmark2. A combination of stock selection and an underweight position in information technology detracted 151 basis points, led by a lack of exposure to NVIDIA. Furthermore, a combination of stock selection and an underweight position in consumer discretionary detracted 82 basis points, owing primarily to a lack of exposure to Tesla. Offsetting these results to a degree were 72 basis points of positive returns from a combination of stock selection and an underweight position in financials, driven by a lack of exposure to Charles Schwab.*
Approximately 45% of the portfolio was held in the lowest beta stocks, compared to roughly 16% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative. Approximately 39% of the portfolio was held in the lowest volatility stocks, compared to roughly 28% for the index. The effect of the portfolio’s exposure to the lowest volatility quintile was negative.
Key Holdings3
Positive
‐ The overweight to Reliance Steel & Aluminum Co., a diversified metal solutions provider and the metals service center company, was rewarded with 27 basis points of active return as share prices gained 23.9% over the quarter. The company expects to benefit from healthy demand trends in the first quarter of 2023, estimating an uptick of 11%-13% in its tons sold in the period.
Negative
‐ The lack of exposure to NVIDIA Corp., an artificial intelligence computing company, cost the portfolio 53 basis points of active return as share prices rallied 87.4% over the quarter. The company has been benefiting from growth opportunities in ray-traced gaming, rendering, high-performance computing, AI and self-driving cars. A surge in Hyperscale demand also boosted its shares.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-March-2023.pdfDecember, 2022
The Portfolio returned 5.19%, -1.08%, 6.54% and 11.43% net of fees for the quarterly, 1-,5-, and 10-year periods, versus returns of 4.07%, -12.46%, 8.27% and 12.68% for the cap-weighted benchmark2. A combination of an underweight position and stock selection in consumer discretionary added 130 basis points, led by a lack of exposure to Tesla Inc. A combination of stock selection and underweight position in information technology contributed 85 basis points, owing primarily to a position in Apple Inc. Offsetting these results to a degree was 80 basis points of negative returns from a stock selection in energy, driven by a lack of exposure in Exxon Mobil Corp.*
Approximately 45% of the portfolio was held in the lowest beta stocks, compared to roughly 17% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was positive. Approximately 40% of the portfolio was held in the lowest volatility stocks, compared to roughly 28% for the index. The effect of the portfolio’s exposure to the lowest volatility quintile was negative.
Key Holdings3
Positive
‐ Our lack of exposure to Tesla, Inc., an EV maker, was rewarded with 82 basis points of active return as share prices declined 54.1% over the quarter. Tesla’s Q4 EV delivery data disappointed, falling short of expectations and weighed on the stock. The company made 405,278 deliveries in the period, compared to the consensus estimate of around 427,000 deliveries.
Negative
‐ Our out of benchmark exposure to H&R Block, Inc., a provider of assisted income tax return preparation and do-it-yourself (DIY) tax return preparation services and products, cost the portfolio 17 basis points of active return as share prices fell 13.7% over the quarter. Escalating operating expenses have been eroding the company’s margins. Additionally, its decreasing current ratio is not desirable.
September, 2022
For the third quarter, the portfolio saw -0.03% of negative return, providing 0.3% of active returns relative to the cap-weighted benchmark2. A combination of stock selection and an overweight position in health care added 53 basis points, led by an overweight to Molina Healthcare. Stock selection in industrials contributed 40 basis points, owing primarily to a position in Wolters Kluwer NV. Offsetting these results to a degree was 37 basis points of negative return from a combination of stock selection and an underweight position in consumer discretionary, driven by a lack of exposure in Tesla Inc.*
Approximately 46% of the portfolio was held in the lowest beta stocks, compared to roughly 18% for the index. The portfolio’s allocation to the lowest beta quintile detracted 102 basis points and loss from stock selection within this quintile (-16 basis points) provided positive return, to yield a net detraction of 118 basis points.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-September-2022.pdfJune, 2022
For the second quarter, the portfolio saw -2.1% of negative return, providing 5.8% of active returns relative to the cap-weighted benchmark2 . A combination of stock selection and an underweight position in information technology added 145 basis points, led by a lack of exposure in Amazon. Stock selection in communication services contributed 124 basis points, owing primarily to a position in KT Corp.
Offsetting these results to a degree was 24 basis points of negative return from a combination of stock selection and an overweight position in energy, driven by a position in South32 Ltd.* Approximately 44% of the portfolio was held in the lowest beta stocks, compared to roughly 18% for the index. The portfolio’s allocation to the lowest beta quintile contributed 326 basis points and gains from stock selection within this quintile (+151 basis points) provided positive return, to yield a net contribution of 476 basis points.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-June-2022.pdfMarch, 2022
For the first quarter, the portfolio saw -4.2% of negative return, providing 4.1% of active returns relative to the cap-weighted benchmark . A combination of stock selection and an overweight position in materials added 166 basis points, led by a holding in South32. Stock selection in communication services contributed 99 basis points, owing primarily to a position in KT Corp.
Offsetting these results to a degree was 44 basis points of negative return from a combination of stock selection and an underweight position in energy, driven by a position in Exxon Mobil.* Approximately 32.3% of the portfolio was held in the lowest beta stocks, compared to roughly 15.9% for the index. The portfolio’s allocation to the lowest beta quintile contributed 97 basis points and gains from stock selection within this quintile (+198 basis points) provided positive return, to yield a net contribution of 295 basis points.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-March-2022.pdfDecember, 2021
For the fourth quarter, the portfolio saw 6.2% of positive return, up 0.2% relative to the cap-weighted benchmark2. Stock selection in health care contributed 84 basis points, owing primarily to a position in Cerner. A combination of stock selection and an underweight position in industrials added 52 basis points, led by a holding in AP Moller - Maersk. Offsetting these results to a degree was 87 basis points of negative return from a combination of stock selection and an overweight position in communication services, driven by a position in KDDI.
Approximately 43.5% of the portfolio was held in the lowest beta stocks, compared to roughly 16.4% for the index. The portfolio’s allocation to the lowest beta quintile detracted 71 basis points; however, gains from stock selection within this quintile (+49 basis points) provided some positive offset, to yield a net detraction of 22 basis points.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-December-2021-1.pdfSeptember, 2021
For the third quarter, the portfolio saw 4.1% of positive return, up 1.3% relative to the cap-weighted benchmark2. Stock selection in communication services contributed 53 basis points, owing primarily to a lack of exposure to Tencent Holdings. A combination of stock selection and an overweight position in consumer discretionary added 45 basis points, led by a lack of exposure to Alibaba Group Holding. Offsetting these results to a degree was 34 basis points of negative return from a combination of stock selection and an underweight position in financials, driven by a lack of exposure to JPMorgan Chase.*
Approximately 46.8% of the portfolio was held in the lowest beta stocks, compared to roughly 15.9% for the index. The portfolio’s allocation to the lowest beta quintile detracted 51 basis points; however, gains from stock selection within this quintile (+199 basis points) more than offset losses, to yield a net contribution of 148 basis points.
Positive
‐ Our holding in Shanxi Taigang Stainless Steel Co., the largest stainless steel production base in China, was rewarded with 36 basis points of active return as share prices advanced 30% over the quarter. Shanxi Taigang Stainless Steel Co. benefited from skyrocketing steel prices as the economic recovery continues to garner steam. Steel prices have hit unprecedented levels, further boosted by extraordinary demand from China, India, the U.S., Europe, and several emerging markets. The robust steel pipeline, fueled by massive infrastructure projects such as Biden’s plan to inject billions into U.S. infrastructure, continues to boost both demand and prices.
Negative
‐ Our exposure to Royal Gold cost the portfolio 15 basis points of active return as share prices fell 16%. Gold prices dipped over the quarter, capped by rising yields. Additionally, the flurry of central bank meetings, where discussions focused on transitioning from pandemic-era support to monetary normalization, alleviated near-term uncertainty and redirected sentiment away from gold.
June, 2021
For the second quarter, the portfolio saw 1.4% of negative return relative to the cap-weighted benchmark2. A combination of stock selection and an underweight position in informationtechnology detracted 109 basis points, owing primarily to a lack of exposure to Nvidia Corp. A combination of stock selection and an overweight position in consumer staples detracted 82 basis points, led by a position in The Clorox Co. Offsetting these results to a degree was 41 basis points of positive return from a combination of stock selection and an underweight position in Industrials, driven by a position in AP Moller – Maersk.* Approximately 49.5% of the portfolio was held in the lowest beta stocks, compared to roughly 15.2% for the index.
The effect of the portfolio’s exposure to the lowest beta quintile was negative, detracting 122 basis points. Key Holdings3 Positive ‐ Our holding in Shanxi Taigang Stainless Steel Co., the largest stainless steel production base in China was rewarded with 38 basis points of active return as share prices skyrocketed 64% over the quarter. Shanxi Taigang Stainless Steel Co. benefited from rallying steel prices as the world emerges from its pandemic-induced slowdown. Steel prices have hit unprecedented highs due to the sharp increase in iron ore prices as well as the extraordinary growth in steel demand from China, India, USA, Europe and other emerging markets. Negative ‐ Our lack of exposure to Nvidia Corp, cost the portfolio 23 basis points of active return as share prices surged on news that the artificial intelligence computing company earned record revenue from its Gaming, Data Center and Professional Visualization platforms for the first quarter ended May 2, 2021.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-June-2021.pdfMarch, 2021
For the first quarter, the portfolio saw 5.9% of positive return which was largely on par with that of the cap-weighted benchmark1
A combination of stock selection and an underweight position in Financials detracted 73 basis points, owing primarily to a lack of exposure to JPMorgan Chase. An underweight position in Energy detracted 39 basis points, led by a lack of exposure to Exxon Mobil. Offsetting these results to a degree was 136 basis points of positive return from a combination of stock selection and an underweight position in Information
Technology, driven by a position in Apple.* Approximately 46.8% of the portfolio was held in the lowest beta stocks, compared to roughly 15% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was positive in the first quarter, adding 108 basis points.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-March-2021-2.pdfDecember, 2020
For the fourth quarter, the portfolio saw 5.58% of negative return versus the cap-weighted benchmark1. A combination of stock selection and an overweight position in consumer staples detracted 213 basis points, owing primarily to a position in Kimberly-Clark. Stock selection in materials detracted 131 basis points, led by a holding in Newcrest Mining. Offsetting these results to a degree was 14 basis points of positive return from an underweight position in Real Estate, driven by lack of exposure to American Tower.
Approximately 45% of the portfolio was held in the lowest beta stocks, compared to roughly 15% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative in the fourth quarter, detracting 235 basis points. Key Holdings2
Positive
Our lack of exposure to Alibaba Group Holding was rewarded with 34 basis points of active return. Share prices fell on news that President Trump may prohibit American's from investing in the Chinese tech giant. This maneuver represents an escalation of the Trump Administration’s efforts to unwind U.S. investors holdings in Chinese companies. In a separate action, President Trump signed an order prohibiting U.S. investors and businesses from transacting with Alibaba affiliate Ant Group Co.’s Alipay.
Negative
‐ Our lack of exposure to Tesla cost the portfolio 27 basis points of active return as share prices soared, up 64% for the quarter. The Silicon Valley electric-car maker delivered a record 499,550 vehicles globally last year, up from roughly 367,500 in the prior year. In the fourth quarter alone, Tesla delivered 180,570 vehicles. The surge in deliveries has stoked expectations for Tesla to post a record profit for Q4, which represents the fifth consecutive quarter of profits. Tesla demonstrated resilience in a particularly challenging market, one in which global auto sales languished amid pandemic-induced containment measures.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-December-2020-3.pdfSeptember, 2020
For the third quarter, the portfolio saw 412 basis points of negative return versus the cap-weighted benchmark1. A combination of stock selection and an underweight position in Information Technology detracted 127 basis points, owing primarily to an underweight to U.S. tech giant Apple. A combination of stock selection and an underweight position in Consumer Discretionary also detracted 104 basis points, led by a lack of exposure to U.S. electric vehicle and clean energy company Tesla. Offsetting these results to a degree was 69 basis points of positive return from an underweight position in Energy, driven by lack of exposure to U.S. multinational oil and gas corporation Exxon Mobil. Over time, we have developed a number of trading strategies in an effort to maximise efficiencies.
Approximately 41% of the portfolio was held in the lowest beta stocks, compared to\15% for the index. The effect of the lower beta tilt relative to the index was negative in the third quarter, detracting 101 basis points.
File: https://commentary.quantreports.net/wp-content/uploads/2020/12/CFS-Acadian-Global-Managed-Volatility-Fund-Class-A-September-2020.pdfticker: FSF1240AU
commentary_block: Array
factsheet_url:
QUARTERLY FACTSHEET
https://www.acadian-asset.com/au/global-managed-volatility-equity-fund
release_schedule:
fund_features:
The Acadian Global Managed Volatility Equity Fund (The Fund) is an actively managed, equity investment strategy that seeks to capture returns similar to that of a global equity index, but with significantly lower absolute volatility and superior downside protection over the long term. Limiting absolute risk has the potential to allow investors to compound wealth more efficiently and steadily.
- Objective: To deliver returns in line with the MSCI All Country World Index (AUD) over rolling three-year periods (after fees and taxes), with significantly less risk. Limiting absolute risk has the potential to allow investors to compound wealth more efficiently and steadily than traditional capitalisation-weighted indices.
- The Fund aims to achieve at least 95% of the return of the MSCI All-Country World Index over rolling three-year periods before fees and taxes.
- Analyses more than 40,000 stocks daily to uncover opportunities and find hidden value
- Systematic, bottom-up research converts insights into risk and return forecasts
- Weighting towards less-volatile stocks with low levels of correlation creates a low-volatility portfolio
manager_contact_details: Array
asset_class: Foreign Equity
asset_category: Large Blend - Quantitative
peer_benchmark: Foreign Equity - Large Quantitative Index
broad_market_index: Developed -World Index
structure: Managed Fund