September, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.34% (net) and 0.35% (gross). The Fund performed in line with the Bloomberg AusBond Bank Bill Index (Benchmark) in September. The Fund continues its outperformance, beating the Benchmark over the longer term including by 0.11% (net) over the year, and 0.07% (net) since inception per annum.
The Fund continues to benefit and outperform from selection of securities providing income advantage via allocation to major bank term deposits, short commercial paper, and securities issued by regional banks, which are earning a margin over bank bill swap rates. The Fund has maintained a neutral duration position relative to the Benchmark, with market pricing of near term RBA cash rates remaining relatively fair in our opinion. We look for increases in pricing of imminent RBA hikes or a widening in bills versus overnight indexed swap spread to warrant any duration extension in the Fund, for now value is mainly presenting further out along the bond yield curve.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-33.pdfAugust, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.38% (net) and 0.39% (gross).
The Fund outperformed the Bloomberg AusBond Bank Bill Index (Benchmark) in August by 0.01%. The Fund continues its outperformance, beating the Benchmark over the longer term including by 0.08% (net) over the year, and 0.08% (net) since inception per annum.
The Fund continues to benefit and outperform from selection of securities providing income advantage via allocation to major bank term deposits, short commercial paper, and securities issued by regional banks, which are earning a margin over bank bill swap rates. The Fund has maintained a relatively neutral duration position relative to the Benchmark with market pricing of near term RBA cash rates relatively fair in our opinion.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-32.pdfJuly, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.39% (net) and 0.39% (gross). The Fund outperformed the Bloomberg AusBond Bank Bill Index (Benchmark) in July by 0.02%. The Fund continues its outperformance, beating the Benchmark over the longer term including by 0.07% (net) over the year, and 0.07% (net) since inception per annum.
In yet another very close call, the Reserve Bank of Australia (RBA) chose to pause its hiking cycle, at 4.10% at their July meeting. They are highly data dependent and assessing the twosided risks in the context of an already historic hiking cycle. There is just over one cut in 2024 now. Against the current cash rate of 4.10%, three-month bank bills ended 9bps lower at 4.26%. Six-month bank bill yields ended 6bps lower at 4.64%.
The RBA are now monitoring the balance between the slowing household sector, the strong labour market, and high wages growth. We know that the labour market lags the economy, reflecting the monetary policy conditions seen almost a year before, but the turn is difficult to pinpoint. We remain in the midst of the peaking of the economy but believe that policy will continue to grip and slow economic growth, with a shallow recession starting early next year not off the table.
We have reduced the probability of the very last hike in the cycle, with our central case now seeing one more hike to 4.35%. This may come through in either of the next two meetings. However, the longer the RBA leave it, the worse the coincident economic data appears and the harder it is for them to raise rates to tackle inflation. We currently see market pricing of one more rate hike, but delayed until 2024, and then policy held for an extended time, as underestimating the economic headwinds in 2024. We currently see the Australian yield curve as modestly under-valued. We remain on the lookout for tactical opportunities to add further duration on spikes in yields triggered by central bank signalling and data flows.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-31.pdfJune, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.30% (net) and 0.30% (gross). The Fund performed in line with the Bloomberg AusBond Bank Bill Index (Benchmark) in June. The Fund continues its outperformance, beating the Benchmark over the longer term including by 0.12% (net) over the year, and 0.07% (net) since inception per annum.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-1-2.pdfMay, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.29% (net) and 0.30% (gross). The Fund performed in line with the Bloomberg AusBond Bank Bill Index (Benchmark) in May. The Fund continues its outperformance, beating the Benchmark over the longer term including by 0.04% (net) over the year, and 0.08% (net) since inception per annum.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-30.pdfApril, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.30% (net) and 0.31% (gross). The Fund continues its outperformance, beating the Bloomberg AusBond Bank Bill Index (Benchmark) over the longer term including by 0.06% (net) over the year, and 0.07% (net) since inception per annum.
The Fund continues to benefit from its allocation to major bank term deposits, notice period accounts and securities issued by regional banks which are earning a margin over bank bill swap rates. The Fund has maintained a relatively neutral duration position relative to the Benchmark as the market is only pricing a small chance of one further tightening.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-29.pdfMarch, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.29% (net) and 0.30% (gross). The Fund outperformed the Bloomberg AusBond Bank Bill Index (Benchmark) by 0.01% (net) in March.
The Fund continues to benefit from its allocation to major bank term deposits, notice period accounts and securities issued by regional banks which are earning a margin over bank bill swap rates. The Fund also benefited from its recent allocation to Commonwealth Treasury notes as bank paper underperformed as a result of Bank Bill versus OIS spreads widening and reversing the spread inversion witnessed earlier in the year.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-28.pdfFebruary, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.24% (net) and 0.25% (gross). The Fund performed in line with the Bloomberg AusBond Bank Bill Index (Benchmark) in February.
The Fund benefitted from its allocation to major bank term deposits, notice period accounts and securities issued by regional banks which are earning a margin over bank bill swap rates. As money market yields rose the Fund was appropriately cautious on duration, and will look for opportunities to capitalise on higher cash rate structures. Inversion in Bank Bill vs OIS spreads saw us actively rotate out of bank paper into Commonwealth Treasury notes which offered higher yields for the same tenors adding yield advantage.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-27.pdfJanuary, 2023
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.27% (net) and 0.28% (gross). The Fund benefitted from its allocation to major bank term deposits, notice period accounts and securities issued by regional banks which are earning a margin over bank bill swap rates. The Fund’s interest rate strategy weighed negatively on the Fund’s performance relative to its Benchmark as money market yields rose.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-26.pdfDecember, 2022
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.26% (net) and 0.27% (gross). The Fund outperformed the Bloomberg AusBond Bank Bill Index (Benchmark) by 0.02% (net) in December, which returned 0.25% on the month.
The Fund benefitted from its allocation to major bank term deposits, notice period accounts and securities issued by regional banks which are earning a margin over bank bill swap rates. The Fund’s interest rate strategy weighed negatively on the Fund’s performance relative to its Benchmark as money market yields rose.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-25.pdfNovember, 2022
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.28% (net) and 0.28% (gross). The Fund outperformed the Bloomberg AusBond Bank Bill Index (Benchmark) by 0.03% (net) in November, which returned by 0.25% on the month.
The Fund’s interest rate strategy was a key contributor to the Fund’s outperformance in November as money market yields fell. The Fund also benefitted from its allocation to major bank term deposits, notice period accounts and securities issued by regional banks which are earning a margin over bank bill swap rates.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-24.pdfOctober, 2022
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.26% (net) outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which returned 0.24% on the month.
Income from elevated levels of bank bill yields are now a healthy contributor to total return. Sector strategies were a positive contributor to performance as the overweight allocation to major bank term deposits, notice period accounts and securities issued by regional banks paid margins over bank bill swap rates.
Rising yields are restoring value in money markets especially, interest income. We seek to extend the duration of the Fund to take advantage of higher yields on offer in longer tenor money markets as market pricing of the RBA becomes extended. Whilst this may increase the daily volatility of the Fund, the higher income we are able to provide will cushion against any adverse rate movements
The following is a summary of the key strategies in the Fund: Non-major banks – Non-major banks pay a premium above major banks to compete for funding. The Fund has allocated a prudent proportion to this sector for investors to enjoy slightly higher yields. Commercial Paper – We favour a selective allocation to high quality commercial paper as the available yield premium is relatively attractive versus other money market instruments. Margins on commercial paper have been widening, creating opportunity to further enhance yield pick-up for the Fund. Term Deposit – Banks are now paying a reasonable premium to take deposit funding in the form of term deposits and notice accounts. As such, we have allocated a reasonable amount of the Fund to these deposits.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-23.pdfSeptember, 2022
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.13% (net) underperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which returned 0.15% on the month.
Rising yields are restoring value in money markets especially, interest income. We seek to extend the duration of the Fund to take advantage of higher yields on offer in longer tenor money markets as market pricing of the RBA becomes extended. Whilst this may increase the daily volatility of the Fund, the higher income we are able to provide will cushion against any adverse rate movements.
The key contributor to underperformance this month was the Fund’s interest rate strategy. The Fund had modest overweight duration position relative to its benchmark during a month where money market yields rose significantly. Sector strategies were a positive contributor to performance as the overweight allocation to major bank term deposits, notice period accounts and securities issued by regional banks paid margins over bank bill swap rates. The following is a summary of the key strategies in the Fund:
Non-major banks – Non-major banks pay a premium above major banks to compete for funding. The Fund has allocated a prudent proportion to this sector for investors to enjoy slightly higher yields. Commercial Paper – We favour a selective allocation to high quality commercial paper as the available yield premium is relatively attractive versus other money market instruments. Margins on commercial paper have been widening, creating opportunity to further enhance yield pick-up for the Fund.Term Deposit – We are observing signs of competitive tensions emerging in institutional term deposits as margins have started to increase. We continue to seek opportunities to increase term deposit exposures as margins reset back to pre-COVID levels.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-22.pdfAugust, 2022
The three-month bank bill swap rate (BBSW3M) ended the month 34 basis point (bp) higher at 2.46%, and the six-month bank bill rate 23 basis point (bp) higher at 3.01%.
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.16% (net) outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which returned 0.15% on the month.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-21.pdfJuly, 2022
The three-month bank bill swap rate (BBSW3M) ended the month 63 basis point (bp) higher at 1.81%, and the six-month bank bill rate 74 basis point (bp) higher at 2.67%. The Janus Henderson Cash Fund - Institutional (Fund) returned 0.18% (net) outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which returned 0.12% on the month.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-20.pdfJune, 2022
After kicking off the rate hiking cycle in May, the Reserve Bank of Australia (RBA) lifted the official cash rate by 50 basis points (bps) at the start of June, leaving the rate at 0.85%.
Whilst the market was anticipating this rate hike, the larger than usual 50bps move and continued hawkishRBA rhetoric pushed money markets yields higher. With that, market expectations brought forward future rate hikes including another large 50bps hike in the upcoming meeting. The threemonth bank bill yield ended the month 64bps higher at 1.81%, while six-month bank bills ended 75bps higher at 2.67%. In terms of the tightening cycle, markets are looking for a 3.10% cash rate by year end and around 3.75% by mid-2023.
The Janus Henderson Cash Fund - Institutional (Fund) returned -0.02% (net) underperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which returned 0.05% on the month. Rising yields are restoring value in money markets especially, interest income. We have started extending the duration of the Fund to take advantage of higher yields on offer in longer tenor money markets. Whilst this has increased the daily volatility of the Fund, its provided the Fund with higher income, as well as some cushion to adverse rate movements.
The key contributor to performance this month was the Fund’s allocation to major bank term deposits, notice period accounts and securities issued by regional banks at margins over bank bill swap rates.
Interest rate duration was a modest detractor to performance as yields rose and the Fund maintained an overweight duration position. We see further opportunity to increase the Fund’s duration as money market yields rise, and the spread available in bank bill yields rises further above RBA cash rate expectations.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-19.pdfMay, 2022
The Reserve Bank of Australia (RBA) May meeting marked lift off with the RBA hiking the official cash rate by 25 basis points (bps) at the start of the month. Whilst the market had been anticipating the RBA to start the hiking cycle with only a 15bps hike, the 25bps, and a hawkish statement was enough to drive money market yields higher. Money market yields rose significantly in May as the three-month bank bill yield ended the month 46.5bps higher at 1.18%, while six-month bank bills(BBSW6M) ended 47bps higher at 1.93%.
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.05% (net) outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which returned 0.03% on the month. Rising yields are restoring value in money markets especially, interest income. We have started extending the duration of the Fund to take advantage of higher yields on offer in longer tenormoney markets. Whilst this has increased the daily volatility of the Fund, the higher income offered providing the Fund a higher income as well as some cushion to adverse rate movements.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-18.pdfApril, 2022
Money market yields have continued to grind higher as market expectations further reflected thepivot to an earlier start to a large tightening cycle. The three-month bank bill yield ended the month 48 basis points (bps) higher at 0.71%, while six-month bank bills ended 75bps higher at1.45%. The three-year government bond yield rose as tightening expectations were brought forward and ended 37bps higher at 2.71%.
The Janus Henderson Cash Fund – Institutional (Fund) returned -0.10% (gross) and -0.10% (net)and underperformed the Bloomberg AusBond Bank Bill Index (Benchmark), which returned-0.02% for the month. Given the low three-month bank bill swap rate (BBSW3M), the key driversof return continue to be the Fund’s allocation to major bank term deposits, notice period accounts and securities issued by regional banks at margins over bank bill swap rates. Interest rate duration was a key detractor to performance during the month of April as the Fundextended its duration versus the Benchmark. We are taking the opportunity to increase the Fund’sduration as money market yields rise.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-17.pdfMarch, 2022
Money market yields ended the month higher as the fear of inflation resulted in markets factoring in aggressive RBA monetary tightening. This was despite the Reserve Bank of Australia’s (RBA) reiterating a patient stance. Short-term money market yields are now reflecting the shift in expectations towards an earlier and larger tightening cycle. The three-month bank bill yield ended the month 15 basis points (bps) higher at 23bps, while six-month bank bills ended 45.5bps higher at 70.5bps.
The Janus Henderson Cash Fund – Institutional (Fund) returned -0.01% (net), underperforming the Bloomberg AusBond Bank Bill Index (Benchmark) for the month. Given the low three-month bank bill swap rate (BBSW3M), the key drivers of return continue to be the Fund’s allocation to major bank term deposits, notice period accounts and securities issued by regional banks at margins over bank bill swap rates.
Rising short-term money market yields over the past few months are providing the opportunity to access higher yields than what has typically been available over the past year or so. This rise in yields was driven by an increase in demand from Australian banks for wholesale funding as credit growth remains relatively strong. We continue to take advantage of this situation by extending the average maturity of the Fund’s investments
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-15.pdfFebruary, 2022
Money market yields ended the month relatively flat despite experiencing some intra-monthvolatility as markets reacted to rising geopolitical tensions in Europe on top of rising inflationconcerns. Markets continued to discount an aggressive tightening cycle, with cash futures pricinga 1.0% cash rate by December and 2.0% cash rate by mid-2023. Short-term money market rateswere relatively steady, with three-month bank bills ending the month 0.5 basis points (bps) higherat 8bps, while six-month bank bills ended unchanged at 25bps.
The Janus Henderson Cash Fund – Institutional (Fund) returned 0.02% (gross) and 0.01% (net),inline with the Bloomberg AusBond Bank Bill Index (Benchmark) for the month. Given the lowthree-month bank bill swap rate (BBSW3M), the key drivers of return continue to be the Fund’sallocation to major bank term deposits, notice period accounts and securities issued by regionalbanks at margins over bank bill swap rates. Rising short-term money market yields over the past few months are providing the opportunity toaccess higher yields than what has typically been available over the past year or so. This rise inyields was driven by an increase in demand from Australian banks for wholesale funding as creditgrowth remains relatively strong. We continue to take advantage of this situation by extending theaverage maturity of the Fund’s investments.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-14.pdfJanuary, 2022
Money market yields continued to edge higher, as market cash expectations brought forward the first Reserve Bank of Australia (RBA) cash rate hike to late 2022. As a result, three-month bank bills ended the month 0.5 basis points (bps) higher at 7.5bps, while six-month bank bills ended 4bps higher at 25bps.
The Janus Henderson Cash Fund – Institutional (Fund) returned 0.01% (net), performing inline with the Bloomberg AusBond Bank Bill Index (Benchmark) for the month. Given the low three-month bank bill swap rate (BBSW3M), the key drivers of return continue to be the Fund’s allocation to major bank term deposits, notice period accounts and securities issued by regional banks at margins over bank bill swap rates.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-13.pdfDecember, 2021
Money market yields edged higher on offshore central bank leads toward rate normalisation. Locally, three-month bank bills rose 2 basis points (bps) to 7bps, while six-month bank bills ended 7bps higher at 21bps. Cash futures point to a 0.75% cash rate by the end of 2022.
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.01% (gross), outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat. Given the low threemonth bank bill swap rate (BBSW3M), the key drivers of return continues to be the Fund’s allocation to major bank term deposits, notice period accounts and securities issued by regional banks at margins over bank bill swap rates. Short-term money market yields increased over the month providing the opportunity to access higher yields than what has typically been available over the past year or so.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-12.pdfNovember, 2021
After a sharp rise in October, money market yields fell during the month of November as market expectations pushed back the Reserve Bank of Australia’s (RBA) first cash rate hike.
This followed dovish RBA minutes and a speech by Governor Philip Lowe during the month, stating that a rate hike in 2022 was ‘extremely unlikely’, whilst acknowledging that ‘it is now plausible that a lift in the cash rate could be appropriate in 2023’. Further to this COVID-19 concerns also weighed on yields, as markets considered a potential delay to the reopening and activity by global central banks in light of the new Omicron strain. As a result of this, the three-month bank bill swap rate (BBSW3M) ended the month 2 basis points (bps) lower at 0.05%, and the sixmonth bank bill rate ended 6bps lower at 0.14%. The Janus Henderson Cash Fund - Institutional (Fund) returned 0.02% (net) outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which returned 0.01% on the month.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-11.pdfOctober, 2021
Money market yields rose during the month, as market expectations brought forward the Reserve Bank of Australia’s (RBA) first cash rate hike to late 2022, following a strong CPI in the third quarter. The market also priced in a much more aggressive RBA rate hike cycle. This placed upward pressure on the premium investors required in order to lend to banks in money markets. As a result of this, the three-month bank bill swap rate (BBSW3M) ended the month 5 basis points (bps) higher at 0.07%, and the six-month bank bill rate ended 20bps higher at 0.20%.
The Janus Henderson Cash Fund – Institutional (Fund) returned -0.02% (gross) and -0.01% (net), underperforming the Bloomberg AusBond Bank Bill Index (Benchmark), which was flat. The rise in yields was enough to outweigh the monthly income accrual and margin pickup earned from non-major banks and commercial paper. Given yields have now adjusted to higher levels, the Fund can now benefit from higher yields.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-10.pdfSeptember, 2021
Money market yields were relatively steady to slightly higher as the Reserve Bank of Australia (RBA) reiterated its commitment to keeping funding costs low until the labour market and inflation outlook have improved. The three-month bank bill swap rate (BBSW3M) ended the month 1 basis point (bp) higher at 0.02%, and the six-month bank bill rate ended 2bps higher at 0.05%.
The Janus Henderson Cash Fund – Institutional (Fund) returned 0.01% (gross), outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat for the month.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-1-1.pdfAugust, 2021
Money market yields were relatively steady to slightly lower as the Reserve Bank of Australia (RBA) reiterated its commitment to keeping funding costs low until the labour market and inflation outlook improved. Further to the RBA keeping rates low, excess bank funding post RBA Term Funding Facility (TFF) drawdowns has resulted in banks not aggressively competing for deposits. As a result, the three-month bank bill swap rate (BBSW3M) ended the month 1 basis point (bp) lower at 0.01%, and the six-month bank bill rate ended 2bps lower at 0.03%. The Janus Henderson Cash Fund – Institutional (Fund) returned 0.01% (gross), outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat for the month.
The key factors driving excess returns have been the Fund’s allocation to non-major banks and commercial paper issued by high quality corporates. These have been offering attractive margins over bank bill swap rates.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-9.pdfJuly, 2021
After the July Reserve Bank of Australia (RBA) meeting at which they announced a tapering in their monthly bond purchase programme, a period of rolling state lockdowns ensued. Markets began to push back both the start date of the next tightening cycle and the amount of likely tightening. As such short-term money market rates remained very low, three-month bank bills ended the month 1 basis point (bp) lower at 2bps, while six-month bank bills ended 1.5bps lower at 5bps. The Janus Henderson Cash Fund – Institutional (Fund) returned 0.01% (gross), outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat for the month. The key factors driving excess returns have been the Fund’s allocation to non-major banks and commercial paper issued by high quality corporates. These have been offering attractive margins over bank bill swap rates.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-8.pdfJune, 2021
Short-term money market rates remained very low given the 0.10% official cash rate and Reserve Bank of Australia (RBA) forward guidance for an extended period of highly accommodative policy. Three-month bank bills ended the month 0.5 basis points (bps) lower at 3bps, while six-month bank bills ended 2bps lower at 6bps. Further out, markets began to build in monetary tightening towards the end of 2022, with the November 2022 30-day interbank cash rate future contract ending the month at 0.30%.
The Janus Henderson Cash Fund – Institutional (Fund) returned 0.01% (gross) outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat for the month. The key factors driving excess returns have been the Fund’s allocation to non-major banks and commercial paper issued by high quality corporates. These have been offering attractive margins over bank bill swap rates.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-7.pdfMay, 2021
Money market yields across the short curve remained anchored with no changes to the Reserve Bank of Australia (RBA) policy settings. The RBA’s forward guidance for an extended period of highly accommodative policy will however restrict the extent of the lift in money market yields at the end of Term Funding Facility (TFF). Three-month bank bills ended the month largely unchanged at 3.6 basis points (bps), while six-month bank bills ended 1bps lower at 8.5bps.
The Janus Henderson Cash Fund – Institutional (Fund) returned 0.01% (gross), outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat for the month. The key factors driving excess returns have been the Fund’s allocation to non-major banks and commercial paper issued by high quality corporates. These have been offering attractive margins over bank bill swap rates.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-6.pdfApril, 2021
Money market yields have been rising gradually in the past three months as markets began pricing in the return of local banks to funding markets during 2021 as the Term Funding Facility (TFF) comes close to an end. The Reserve Bank of Australia’s (RBA) forward guidance for an extended period of highly accommodative policy will however restrict the extent of the lift in money market yields at the end of TFF. Three-month bank bills edged higher to 4.0 basis points (bps), while six-month bank bills rose 1.1bps to 9.6bps.
The Janus Henderson Cash Fund - Institutional (Fund) was flat (gross), performing in line with the Bloomberg AusBond Bank Bill Index (Benchmark) which was also flat for the month.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-5.pdfMarch, 2021
Money market rates remained very low given Reserve Bank of Australia (RBA) forward guidance for an extended period of highly accommodative policy. Three-month bank bills edged higher to 3.5 basis points (bps), while six-month bank bills rose 6bps to 8bps as markets expect local banks to return to funding markets during 2021 as the Term Funding Facility (TFF) closes at the end of June. The Janus Henderson Cash Fund - Institutional (Fund) returned 0.01% (net), outperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat on the month. The Fund’s sector allocation was accretive to performance. Despite the increase in money market yields, interest rate strategies did not negatively impact on the Fund’s relative performance against the Benchmark given the Fund’s duration was relatively in line with the Benchmark
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-4.pdfFebruary, 2021
Money market yields rose for the first time since June 2020, as the market brought forward RBA cash rate tightening to start earlier than 2024, with hikes to a longer-term neutral cash rate above 3%. This lift in cash rate expectations in the out years has been underpinned by the growing confidence in the economic recovery story. Three-month bank bills and six-month bank bills ended the month higher by 2bps and 5bps at 0.03% and 0.06% respectively.
The Janus Henderson Cash Fund - Institutional (Fund) returned -0.01% (net), underperforming the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat on the month. The Fund’s sector allocation was accretive to performance. Interest rate strategies had a limited contribution to the Fund’s relative performance against the Benchmark given the Fund’s duration was relatively in line with the Benchmark.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-3.pdfJanuary, 2021
Money market rates remained very low given the 0.10% official cash rate and RBA forward guidance for an extended period of highly accommodative policy. Three-month bank bills ended the month unchanged at 1 basis points (bps), while six-month bank bills ended 0.5bps lower at 1.5bps.
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.01% (gross) and 0% (net), inline the Bloomberg AusBond Bank Bill Index (Benchmark) which was flat for the month. The Fund’s sector allocation was accretive to performance. Whilst interest rate strategies had a limited contribution to the Fund’s relative performance against the Benchmark as yields were stable through the month of January.
The key factors driving excess returns have been the Fund’s allocation to notice period accounts and commercial paper issued by high quality corporates. These have been offering attractive margins over bank bill swap rates.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-2.pdfDecember, 2020
In contrast to recent months’ declines in interest rates, money market yields were relatively stable during the month of December as the Reserve Bank of Australia (RBA) left monetary settings unchanged after their unprecedented easing actions in November. The three-month bank bill swap rate (BBSW3M) ended the month 1 basis point (bps) lower at 1bps and the sixmonth bank bill rate ended 0.4bps lower at 2bps. The Janus Henderson Cash Fund - Institutional (Fund) returned 0.02% (gross) and flat on a net of fees basis, in line with the Bloomberg AusBond Bank Bill Index (Benchmark) which was also flat for the month.
The Fund’s sector allocation was accretive to performance. Whilst interest rate strategies had a limited contribution to the Fund’s relative performance against the Benchmark as yields were stable through the month of December.
The key factors driving excess returns have been the Fund’s allocation to notice period accounts and commercial paper issued by high quality corporates. These have been offering attractive margins over bank bill swap rates.
File: https://commentary.quantreports.net/wp-content/uploads/2020/11/JanusHendersonCashFund-Institutional_MonthlyReport-1.pdfOctober, 2020
In money markets, rates eased over the month of October as expectations lifted for an imminent cut to the official cash rate. Through the month, the Reserve Bank of Australia’s (RBA) signalled to the market a range of further monetary policy actions that the Board was considering in order to support the economy. The range of central bank measures included cutting the official cash rate by 15 basis points (bps) to 10bps and reducing the rate earned by banks on deposits at the RBA (i.e. Exchange Settlement balance) from 10bps to a range from 5bps to zero. As a result, the three-month bank bill swap rate (BBSW3M) ended the month 3bps lower at 6bps and the six-month bank bill rate ended 5.5bps lower at 6.5bps.
The Janus Henderson Cash Fund - Institutional (Fund) returned 0.02% (gross) and 0.01% (net), inline with the Bloomberg AusBond Bank Bill Index (Benchmark) which returned 0.01% for the month. The Fund’s sector allocation was accretive to performance. Interest rate strategies did not detract or add to the Fund’s relative performance as money market yields were steady over the month.
We continue to maintain a cautious investment strategy with a focus on liquidity in the Fund to provide all clients liquidity to manoeuvre if necessary, during a period of heightened uncertainty. As part of our sector allocation strategy to balance utmost liquidity while providing enhanced performance, we favoured allocation to Commonwealth Government Treasury Notes which yield a margin above bank bills for less than six month tenors, while selectively investing in commercial paper as margins over bank bills are attractive even for high quality issuers.
ticker: IOF0141AU
commentary_block: Array
factsheet_url:
Janus Henderson Cash Fund – Institutional – Monthly Report
https://www.janushenderson.com/en-au/investor/product/janus-henderson-cash-fund-institutional/
release_schedule: Monthly
fund_features:
The Henderson Cash Fund – Institutional (‘Fund’) seeks to achieve a total return after fees that exceed the total return of the Benchmark (Bloomberg AusBond Bank Bill Index), over rolling annual periods.
- The Trust’s investment strategy is to invest predominantly in high quality short term securities including: bank bills; deposits and commercial paper.
- The Fund may utilise derivatives solely for risk management and cannot be used to gear the Fund..
- Considered as low risk.
- Asset allocation is 100% to Cash and shirt term money market including bank deposits, bank bills, and commercial paper.
manager_contact_details: Array
asset_class:
asset_category:
peer_benchmark:
broad_market_index:
structure: Managed Fund