June, 2023
The First Sentier Multi-Asset Real Return Fund posted a return of 3.69% (net of fees) for the second quarter of 2023, outperforming inflation (Australian CPI Trimmed Mean) by 2.39%. The most recent quarterly CPI print in Australia was 1.2% quarter-on-quarter (6.6% annualised) for March 2023.
Within our investment process we have two building blocks. The first, which we call Neutral Asset Allocation (NAA), sets longer-term asset allocations. The second part, which we call Dynamic Asset Allocation (DAA), allows us to exploit shorter-term opportunities and better manage portfolio risk. The NAA is expected to deliver the majority of performance over the investment horizon, although this will vary over short-time periods such as one month.
The NAA provided a positive performance contribution as equities (0.4%), corporate bonds (0.3%) and government bonds (0.5%) rose over the quarter, while commodities detracted 0.2%.
DAA positions added (0.2%) over the quarter.
During the quarter, the portfolio held hold protective put options on the S&P 500 to mitigate drawdowns in a significant sell-off. In addition, we also held call options to enable the portfolio to participate in and benefit from a market rally, without taking downside risks. These positions added 0.5% and were closed during the quarter.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Quarterly-8.pdfMarch, 2023
The First Sentier Multi-Asset Real Return Fund posted a return of 1.91% (net of fees) for the first quarter of 2023, outperforming inflation (Australian CPI Trimmed Mean) by 0.30%. The most recent quarterly CPI print in Australia was 1.7% quarter-on-quarter (6.9% annualised) for December 2022.
Within our investment process we have two building blocks. The first, which we call Neutral Asset Allocation (NAA), sets longer-term asset allocations. The second part, which we call Dynamic Asset Allocation (DAA), allows us to exploit shorter-term opportunities and better manage portfolio risk. The NAA is expected to deliver the majority of performance over the investment horizon, although this will vary over short-time periods such as one month.
The NAA provided a positive performance contribution as equities (1.6%), corporate bonds (0.4%) and government bonds (0.3%) rose over the quarter. DAA positions added (0.1%) over the quarter.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Quarterly-7.pdfDecember, 2022
The First Sentier Multi-Asset Real Return Fund posted a return of 4.01% (net of fees) for the fourth quarter of 2022, outperforming inflation (Australian CPI Trimmed Mean) by 2.05%. The most recent quarterly CPI print in Australia was 1.8% quarter-on-quarter (6.1% annualised) for September 2022. Within our investment process we have two building blocks.
The first, which we call Neutral Asset Allocation (NAA), sets longer-term asset allocations. The second part, which we call Dynamic Asset Allocation (DAA), allows us to exploit shorter-term opportunities and better manage portfolio risk. The NAA is expected to deliver the majority of performance over the investment horizon, although this will vary over short-time periods such as one month. The NAA provided a positive performance contribution as equities (2.5%), corporate bonds (0.8%) and commodities (0.3%) rose over the quarter. DAA positions added (0.3%) over the quarter.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Quarterly-5.pdfSeptember, 2022
The First Sentier Multi-Asset Real Return Fund posted a return of -0.20% (net of fees) for the second quarter of 2022, underperforming inflation (Australian CPI Trimmed Mean) by -1.63%. The most recent quarterly CPI print in Australia was 1.5% quarter-on-quarter (4.9% annualised) for June 2022. Within our investment process we have two building blocks. The first, which we call Neutral Asset Allocation (NAA), sets longer-term asset allocations.
The second part, which we call Dynamic Asset Allocation (DAA), allows us to exploit shorter-term opportunities and better manage portfolio risk. The NAA is expected to deliver the majority of performance over the investment horizon, although this will vary over short-time periods such as one month. The NAA provided a negative performance contribution as equities (-0.6%) and commodities (-0.3%) fell over the quarter, while corporate bonds were a positive contributor (0.3%) as corporate spreads to government compressed. DAA positions added (0.3%) over the quarter.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Quarterly-4.pdfJune, 2022
The First Sentier Multi-Asset Real Return Fund posted a return of -5.06% (net of fees) for the second quarter of 2022, underperforming inflation (Australian CPI Trimmed Mean) by -5.42%.
The most recent quarterly CPI print in Australia was 1.4% quarter-on-quarter (3.7% annualised) for March 2022. Within our investment process we have two building blocks. The first, which we call Neutral Asset Allocation (NAA), sets longer-term asset allocations. The second part, which we call Dynamic Asset Allocation (DAA), allows us to exploit shorter-term opportunities and better manage portfolio risk.
The NAA is expected to deliver the majority of performance over the investment horizon, although this will vary over short-time periods such as one month. The NAA provided a negative performance contribution as equities (-4.2%), corporate bonds (-0.3%) and commodities (-0.8%) fell over the quarter. DAA positions detracted from performance (-2.0%) over the quarter, which was driven be preferred exposure global equities such as the US and India.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Quarterly-3.pdfMarch, 2022
The First Sentier Multi-Asset Real Return Fund posted a return of -3.25% (net of fees) for the first quarter of 2022, underperforming inflation (Australian CPI Trimmed Mean) by -4.62%. The most recent quarterly CPI print in Australia was 1.0% quarter-on-quarter (2.6% annualised) for December 2021.
Within the fixed income allocation, the fund experienced negative returns in the Neutral Asset Allocation (NAA), detracting 86 basis points in total. The performance was attributable to an increase in rates and steepening of global yield curves, driven by the growing expectations that the US Federal Reserve will continue to raise rates at a steady pace. The larger detractors were positions held in French, US and Australian government bonds. The negative returns from fixed income assets were contained as we reduced duration exposures across both the neutral and dynamic asset allocations over the period. Within equities, the asset class as a whole detracted just over 254 basis points from performance. Active DAA exposures detracted 140 basis points of that performance, largely driven by exposure to US and Swedish equity markets. Active positions in Hong Kong provided a positive contribution of 17 basis points.
Within the NAA, US exposures were the largest negative contributors detracting over 83 basis points. Protective put options on the S&P 500 are also held in the portfolio to mitigate drawdowns in a significant sell off and these added 23 basis points over the period. Foreign currency exposure within the portfolio remained relatively stable over the quarter at 32%, in line with the global equity exposures within the NAA. The reductions implemented at the time of the last semi-annual review in Q4 2021 minimised the impact from foreign exposures, as the Australian dollar strengthened by 3% over the quarter, from 72.8 US cents to 75 US cents.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Quarterly-2.pdfDecember, 2021
The Fund provides exposure to a diverse range of investment types, allocating across a number of asset classes within the one portfolio.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Flyer.pdfJune, 2021
The CFS Multi-Asset Real Return Fund posted a return of 4.75% (net of fees) for the second quarter of 2021, outperforming inflation (Australian CPI Trimmed Mean) by 4.44%. The most recent quarterly CPI print in Australia was 0.3% quarter-on-quarter (112% annualised) for March 2021. Within the fixed income allocation, the fund delivered positive returns in the Neutral Asset Allocation (NAA) and in the Dynamic Asset Allocation (DAA) portions of the portfolio, adding 21 bps in total. The positive performance was attributable to a general decrease in rates, driven by a softening in inflation and growth expectations globally. The larger positive contributors to excess returns from active DAA tilts were well timed positions held in Canada and US government bonds futures, while the US and Australia were the largest contributors in the NAA.
Within equities, the asset class as a whole add just under 363 basis points to performance. Active DAA exposures added roughly 114 basis points of performance, largely driven by exposure to Switzerland and Australia. Japan and Turkey were a slight detractors from returns. In the NAA, Australia and the US were the largest contributors as they are structurally the largest allocations within the NAA. There were no equity based protection strategies undertaken within the portfolio. Foreign currency exposure within the portfolio increased over the quarter to around 44%. However, as the Australian dollar declined by 2.6% over the quarter, from 77.0 US cents to 75.0 US cents, the foreign exposures contribute about 76 basis points to the fund.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Quarterly-1.pdfMarch, 2021
The CFS Multi-Asset Real Return Fund posted a return of 0.98% (net of fees) for the first quarter of 2021, outperforming inflation (Australian CPI Trimmed Mean) by 0.55%. The most recent quarterly CPI print in Australia was 0.4% quarter-on-quarter (1.2% annualised) for December 2020. Within the fixed income allocation, the fund delivered negative returns in the Neutral Asset Allocation (NAA) and in the Dynamic Asset Allocation (DAA) portions of the portfolio.
The negative performance was attributable to the increase in rates. The positive contributors to excess returns from active DAA tilts were well timed positions held in Korean and Czech government bonds, while France and Australia were the largest detractors in the NAA. Within equities, the asset class as a whole add just under 303 basis points to performance. Active DAA exposures added roughly 160 basis points of performance, largely driven by exposure to Singapore and the Netherlands. Malaysia was a slight detractor from returns. The positive performance from the equities exposures was dampened by the derivative protection strategy that was in place in the portfolio which detracted 4 basis points, before being closed early in the period. The protection strategies were undertaken in early February 2020 to mitigate the risk of the Covid-19 outbreak, and generated a positive return last year.
Foreign currency exposure has decreased in the portfolio to around 33%, as we held a qualitative long AUD positions in the portfolio. However, as the Australian dollar declined by 1.25% over the quarter, from 77.7 US cents to 77.0 US cents, the hedging of foreign exposures contribute about 5 basis points to the fund.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Individual-Quarterly.pdfSeptember, 2020
The CFS Multi-Asset Real Return Fund posted a return of 1.42% (net of fees) for the third quarter of 2020, outperforming inflation (Australian CPI Trimmed Mean) by 1.55%. The most recent quarterly CPI print in Australia was -0.1% quarter-on-quarter (1.2% annualised) in June 2020. Within the fixed income allocation, the fund delivered negative returns in the Neutral Asset Allocation (NAA), and positive returns in the Dynamic Asset Allocation (DAA) portions of the portfolio.
The slight net negative performance was attributable to the increase in interest rates. The prominent contributors to excess returns from active DAA tilts were positions held in New Zealand and China. Within equities, the asset class as a whole add just under 104 basis points to performance. Active DAA exposures added roughly 68 basis points of performance, largely driven by exposure to South Korea and the US. Singapore, Norway and Canada were slight detractors from returns.
The positive performance from the equities exposures was dampened by the derivative protection strategy that was in place in the portfolio which detracted 36 basis points. The protection strategies were undertaken in early February to mitigate the risk of the COVID-19 outbreak, and continued to generate a positive return over the year. Foreign currency exposure has increased in the portfolio to around 26%, however, as the Australian dollar rallied by 3.75% over the quarter, from 69.0 US cents to 71.6 US cents, the hedging of foreign exposures contribute about 1% to the fund.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Multi-Asset-Real-Return-Fund-Class-A-Adviser-Quarterly.pdfasset_class:
asset_category:
peer_benchmark:
broad_market_index:
manager_contact_details: Array
ticker: FSF1422AU
release_schedule: Quarterly
commentary_block: Array
factsheet_url:
https://www.firstsentierinvestors.com.au/au/en/individual/performance/literature.html
Documents and factsheets
Quarterly
fund_features:
Colonial First State Multi-Asset Real Return Fund — Class A aims to deliver an investment return of 4.5% pa above inflation over rolling five-year periods before fees and taxes. Inflation is defined as the Australian Consumer Price Index (CPI) Trimmed Mean Index, as published by the Australian Bureau of Statistics. The option’s investment strategy is objective based, and implemented through a dynamically managed investment portfolio across asset classes in order to maximise the likelihood of achieving the real return objective whilst minimising deviations from that target. The investment approach allows the portfolio to respond to changing market environments, both capturing opportunities and containing risks relative to the objective. Derivatives may be used for risk management or return enhancement. The option may hedge some or all of its currency exposure.
structure: Managed Fund