May, 2023
• The Fund returned 1.23%, net of fees, in May 2023, while global equities (MSCI World Index in US dollar terms) fell -1.0%, with markets focused on the US debt ceiling and the risk of default on its sovereign debt. The best performing underlying fund was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, contributing +1.8% to the Fund. The largest detractor was the Allspring Global Long/Short Equity Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures, contributing -0.9% to the Fund.
• The most impactful sector throughout the month was currencies, with positive contributions from P/E and PGIM Wadhwani. Notably, strong employment and inflation data in the US, combined with slowing growth in both core Europe and China, supported P/E’s long US dollar position. From PGIM Wadhwani’s perspective, fears over the US debt ceiling also led to a long US dollar rally.
• Further contributing to Fund gains were Winton’s commodities positions, specifically the agricultural subsector where they had short positioning in hogs and capitalised on a US pork industry that is experiencing a glut after expanding too quickly in recent years.
• Lastly, there was much dispersion in equity markets during the month. Winton capitalised on index trends with long Japanese indices and Nasdaq, and short Chinese indices. However, these gains were more than offset by Allspring’s cash equities positions which generated losses due to a high-beta rally in mega-cap tech names (with Allspring having a natural bias to low-beta securities due to their investment philosophy).
• The Fund continues to pursue a smoother alternatives experience for investors, through our high conviction process of selecting and combining active managers with differentiated styles who are able to generate absolute returns independent of one another.
• During the month, the decision was taken to terminate the Fund, effective 26 June 2023. As such, the Fund has ceased accepting applications. The Fund remains open for redemptions until 1pm (Sydney time) on Friday, 23 June 2023.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/201534169.pdfFebruary, 2023
The Fund returned 1.95%, net of fees, in February 2023. After a strong start to the year for risk markets, the MSCI World Index finished February -2.40% lower in US dollar terms in response to higher-than-expected inflation data and the impression that central banks would have to take further action to get inflation back to target.
• The best performing underlying fund was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, contributing +2.8% to the Fund. The largest detractor was the Allspring Global Long/Short Equity Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures, contributing -0.9% to the Fund.
• From a sector perspective, currencies continue to be the main return driver for the Fund as P/E made gains through the unwinding of crowded long speculative positions in the euro. Cash equities gave a portion of these gains back through Allspring’s shorting of high systematic risk securities which fared well. In fixed income, Winton’s short exposure accounted for gains as the US 2-year Treasury yield hit a 16-year high and the US yield curve inversion deepened against the backdrop of persistent inflation data. These fixed income gains were completely netted off by metals exposures, notably gold, where prices pulled back in response to signs the US Federal Reserve would continue raising rates.
• The Fund remains positioned to capitalise on persistent volatility through our high conviction process of selecting and combining active managers with differentiated styles, who are able to generate absolute returns independent of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/198182054.pdfJanuary, 2023
The Fund returned -2.16%, net of fees, in January 2023. Risk sentiment headed in a positive direction to start off 2023, with markets placing more weight on a scenario where the US Federal Reserve navigates inflationary pressures with minimal further rate hikes while also avoiding recession. As a result, equity markets rallied, with the MSCI World Index returning +7.1% in US dollar terms.
• In a difficult month for the strategy, the largest detractors from an underlying fund perspective were the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, contributing –1.1% to the Fund, and the PGIM Wadhwani Keynes Systematic Absolute Return Fund, whose exposure is non-trend signals (such as macro, value and carry), contributing -0.5%.
• From a sector perspective, P/E’s contrarian currency positioning, long the Australian dollar and euro against the US dollar, generated losses. P/E noted that long euro and short US dollar positions have become crowded to extremes, and that they are forecasting a rebound in the US dollar over the next few months. Offsetting this was P/E’s long gold position, which is assessed using currency factors. In fixed income, a key driver of 2022’s profits in addition to currencies, the positioning of PGIM detracted, with PGIM expecting higher official interest rates than markets had priced in. From FORT and Winton’s perspective, uptrends in government bond yields continued to unwind and short positions in German government bonds detracted. In equities, PGIM’s short directional positions detracted, as they were expecting weaker earnings growth outcomes than the consensus. Winton’s long positions in stock indices were a bright spot as the recovery in global stock markets that began in October resumed in January. Helping further to offset losses were Allspring’s cash equities’ gains.
• Beyond performance, the portfolio managers executed the announced transition replacing FORT’s 20% trend allocation with the Winton Trend Fund.
• The Fund remains positioned to capitalise on persistent volatility through our high conviction process of selecting and combining active managers with differentiated styles, who are able to generate absolute returns independent of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/197087325.pdfDecember, 2022
• The Fund returned -1.40%, net of fees, in December 2022. Risk markets declined in December, with, for example, the MSCI World Index falling -4.0% in US dollar terms, following a hawkish message delivered by the US Federal Reserve, which pointed to a scenario of persistent inflation and continued tightening in the short to medium term.
• The best performing underlying fund was the FORT Global Trend Fund, whose exposure is price-based momentum, returning +2.0% and contributing +0.4% to the Fund. The largest detractor was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, returning -5.3% and contributing -1.5% to the Fund.
• From a sector perspective, FORT’s fixed income positioning was the predominant contributor to the Fund. Gains in bonds were driven by short positions in Europe, where short exposure increased throughout the month. Short positions in the UK also contributed, while short positions in North America detracted. In interest rates, all regions contributed positively, primarily driven by short positions in Europe. In currencies, P/E’s short Japanese yen position detracted notably as the Bank of Japan made a surprising announcement to widen the band on its Yield Curve Control policy, which fuelled investor expectations of greater moves in the future. P/E see the past two months of currency movements as driven primarily by changes in speculative positions rather than material changes in fundamental factors, such as relative growth expectations, which have remained broadly unchanged.
• Elsewhere, whilst gains were made in PGIM Wadhwani’s directional equity positions across both developed and emerging markets (but most notably in North America), these were offset by FORT’s equity positions, whose trend strategy entered the month long North America (only flipping to short during the last trading week). Allspring’s cash equity positions also detracted, giving back some of the strong gains seen over the past two months.
• The Fund remains positioned to capitalise on persistent volatility through our high conviction process of selecting and combining active managers with differentiated styles, who are able to generate absolute returns independent of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/195263546.pdfNovember, 2022
• The Fund returned -2.60%, net of fees, in November 2022. Risk markets responded positively to lower-than-expected US inflation numbers and China relaxing Covid-19 restrictions, with the MSCI World Index rising +7.0% in US dollar terms.
• The best performing underlying fund was the Allspring Global Long/Short Equity Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures, returning +6.9% and contributing +1.6% to the Fund. The largest detractor was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, returning -9.3% and contributing -2.6% to the Fund.
• From a sector perspective, performance was driven by Allspring, which exclusively trades cash equities, and P/E, which remains the dominant currency exposure for the Fund. In cash equities, Allspring’s positive tilts to valuation and quality factors were rewarded in adding excess returns to its risk-adjusted benchmark. In currencies, P/E noted that while speculators sold their long US dollar exposures in November, the Fund’s fundamental drivers, including stronger relative growth in North America and elevated global inflation, remained broadly unchanged.
• Elsewhere, the Fund’s distinct trend and macro managers, in FORT and PGIM Wadhwani respectively, contributed to losses as they continued to be positioned defensively ranging from short fixed income, short equity indices and long energies (which flipped to a short energies position toward the end of the month).
• Beyond performance, the Fund’s strategic weight to PGIM Wadhwani was increased from 20% to 30%, while the strategic weight to FORT was reduced to 20%. This change reflects our increased comfort in PGIM Wadhwani’s investment approach and its ability to navigate both up and down markets. We believe PGIM Wadhwani has the ability to adapt quicker to changes in market conditions, relative to trend following managers such as FORT that need more price evidence to change directional positions and thus are more susceptible to getting caught out at market inflection points. The relatively higher adaptive nature of PGIM Wadhwani is also considered a positive given the current volatility in markets.
• The Fund remains positioned to capitalise on persistent volatility through our high conviction process of selecting and combining active managers with differentiated styles, who are able to generate absolute returns independent of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/193498093.pdfOctober, 2022
The Fund returned 0.51%, net of fees, in October 2022. In contrast to September where the MSCI World Index declined -9.3% in USD terms, global equity sentiment was more positive in October, with the MSCI World Index rising +7.2% in USD terms. Pleasingly for the Fund, positive returns were delivered in both months despite extreme swings in equity markets.
The best performing underlying fund was the Allspring Global Long/Short Equity Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures, returning +4.5% and contributing +0.9% to the Fund. The largest detractor was the FORT Global Trend Fund, whose exposure is price-based momentum, returning -1.3% and contributing -0.4% to the Fund.
From a sector perspective, cash equity exposures from Allspring drove the Fund’s positive returns with alpha signals in value and momentum adding excess returns over its risk-adjusted benchmark. Partially offsetting cash equity absolute gains were FORT’s long energies and PGIM Wadhwani’s short equity indices exposures.
Both currencies and fixed income contributed positively alongside cash equities. Despite performance in the US dollar being mixed for the month, P/E was still able to generate positive outcomes through diversifying its long US dollar exposures to North American peers such as the Canadian dollar and Mexican peso. Short directional bond positions from FORT and PGIM Wadhwani also helped.
The Fund remains positioned to capitalise on persistent volatility through our high conviction process of selecting and combining active managers with differentiated styles, who are able to generate absolute returns independent of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/192523293.pdfSeptember, 2022
• The Fund returned 2.53% in September 2022, as hawkish central banks continued to respond to elevated inflation, which raised concerns of a potential recession. In contrast, global equities fell with the MSCI World Index declining -9.3% in USD terms.
• The best performing underlying fund was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, returning +6.8% and contributing +2.0% to the Fund. The FORT Global Trend Fund also contributed meaningfully, returning +5.7% and contributing +1.5% to the Fund. The only underlying fund detractor was the Allspring Global Long/Short Equity Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures, returning -6.9% and contributing -1.5% to the Fund. This detraction was expected given Allspring’s role in the portfolio as a defensive cash equity allocation.
• From a sector perspective, gains continued in currencies. In what has been a consistent theme throughout the year, the US dollar appreciated against most currencies as global inflation broadened beyond energy prices and into a wide variety of goods and services. In this environment, the US remains a safe-haven given its growth prospects relative to other economies across the globe.
• Contributing materially to positive returns were also FORT’s fixed income exposures. FORT’s trend signals drove short positions in both interest rates and bonds across Europe and North America, leading to further Fund gains.
• Lastly, short equity indices positions from PGIM Wadhwani contributed positively. PGIM Wadhwani were positioned for weaker than expected growth outcomes and made gains from being short NASDAQ, Canadian, Euro Stoxx and Australian markets.
• The Fund remains positioned to capitalise on persistent volatility through our high conviction process of selecting and combining active managers with differentiated styles, who are able to generate absolute returns independent of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/191770622.pdfJune, 2022
The Fund returned -0.35% in June 2022, in a month where there was large performance dispersion among the underlying funds. This dispersion was reflective of the current market environment in which central bank actions to increase rates, in an attempt to control inflation, have started to impact global growth and ultimately given rise to recession fears. • The best performing underlying fund was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, returning +7.8% and contributing +3.6% to the Fund. The largest detractor was the FORT Global Trend Fund, whose exposure is pricebased momentum, returning -7.4% and contributing -3.4% to the Fund.
From a sector perspective, currencies were the notable outperformer as investors and speculators preferred safe haven currencies such as the US dollar. P/E, PGIM Wadhwani and FORT each profited in the long US dollar trade from varying perspectives, ranging from relative growth expectations, analysis into US Federal Reserve behaviour and language, or reliance on technical signals.
Offsetting currencies were cash equities, where higher inflation and weaker economic activity led to a fall in these markets. Allspring’s profits arising from shorting stocks were not able to cover the losses on the long positions where the manager had a positive tilt to valuation metrics.
In equity indices, losses predominantly from FORT’s US positions (where they have remained long due to the effectiveness of longerterm equity trend models over the past decade), were neutralised by PGIM Wadhwani’s shorter-term agile positioning where they were short across a number of advanced economies including US, Canadian, Australian and European markets.
The Fund remains positioned to capitalise on persistent volatility through our high conviction process of selecting and combining active managers with differentiated styles, who are able to generate absolute returns independent of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/188917038.pdfMay, 2022
The Fund returned -0.77% in May 2022, amid volatile swings in risk markets. The MSCI World Index fell more than 5% in USD terms over the first three weeks of May before sharply reversing to finish +0.1% for the month.
• The best performing underlying fund was the Allspring Global Long/Short Equity Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures, returning +3.2% and contributing +0.7% to the Fund. The largest detractor was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, returning -4.1% and contributing -1.2% to the Fund. • From a sector perspective, currencies gave back a minor portion of last month’s US dollar gains as China began to loosen its Covid-19 restrictions and European central bankers took a more hawkish tone.
• Helping offset currency losses for the month were cash equities, with both long and short single-name stocks delivering positive returns. Allspring successfully generated returns from going long value stocks with favourable book-to-price and forward earnings yield characteristics, while also shorting high risk securities.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/187689519.pdfApril, 2022
The Fund returned 4.0% in April 2022, as traditional asset classes sold off in response to the hawkishness of central banks and supply disruptions continued. The MSCI World Index fell -8.3%, while the Bloomberg Global Aggregate Hedged index fell -2.7%, both quoted in USD terms.
• The best performing underlying fund was the P/E Global FX Alpha Fund which delivers the strategy’s dynamic currency allocation, returning 14.3% and contributing 4.3% to the Fund. The largest detractor was the FORT Global Trend Fund, whose exposure is pricebased momentum, returning -2.6% and contributing -0.9%.
• From a sector basis, currencies were the main contributor to returns as there was significant moves toward safe-haven assets and the US dollar, especially against the euro and the yen. These moves benefitted P/E’s portfolio which noted strong relative growth in the US versus other countries, FORT who has identified an upward price trend, and PGIM Wadhwani from the viewpoint of interest rate differentials.
• Supplementing gains in currencies was fixed income, where FORT and PGIM Wadhwani had short directional positions, particularly in North America. PGIM Wadhwani also profited from yield curve steepening.
• In equities, PGIM Wadhwani’s models were agile with positions from US indices contributing to gains, however these were more than offset by FORT’s sustained longs given the persistence of the trend in the asset class over the last decade. • Lastly, commodities were flat as FORT’s trend signals flipped directional positions throughout the month.
• The Fund remains positioned to capitalise on persistent volatility through our high conviction process of selecting and combining active managers with differentiated styles, who are able to generate absolute returns independent of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/187106829.pdfFebruary, 2022
• The Fund returned -1.44% in February 2022, in a month when the MSCI World Index fell by -2.5% in USD terms.
• The best performing underlying fund was the FORT Global Trend Fund, whose exposure is price-based momentum (+1.1%; contributing +0.4% to the Fund). The largest detractor was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation (-3.1%; contributing -1.0% to the Fund).
• The most significant event during the month was on February 24 when Russia invaded Ukraine. With increased geopolitical uncertainty, Allspring’s long cash equity positions were a headwind for performance.
• While geopolitical uncertainty created negative volatility for equities, the macroeconomic effects of the Russia-Ukraine situation led to a continued surge in trending oil prices, which FORT’s long. positions captured (Russia providing a large share of exports to Western markets).
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/185019024.pdfJanuary, 2022
• The Fund returned -0.15% in January 2022, in a month where the MSCI World Index decreased by more than 5% in USD terms.
• The best performing underlying fund was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation (+5.1%; contributing +1.1% to the Fund). The largest detractor was the FORT Global Trend Fund, whose exposure is price-based momentum (-1.9%; contributing -0.6% to the Fund).
• From a sector perspective, the largest impact to the portfolio came from equity indices. Markets were preoccupied by how the US Federal Reserve would deal with rising inflation figures, and equities, which had been trending upwards throughout 2021, reversed on the increased expectations of more rate hikes. Losses were driven by long positions in the US, particularly the S&P500 and the NASDAQ. Both FORT and PGIM Wadhwani cut their net long directional exposures during the month.
• Offsetting equity indices were gains in currencies and energies. In currencies, P/E’s capital flows factor, which has seen investors buying US assets versus those of Europe and Asia, translated to a long US dollar position which generated positive returns. This was supported by other P/E factors such as relative growth expectations, where the US economy looks stronger than other parts of the world. Supplementing this was FORT’s long energy positions particularly in oil contracts which included gas, crude, Brent, and heating.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/183936557.pdfDecember, 2021
The Fund returned 0.26% in December 2021, taking the 2021 calendar year performance to +7.23%.
• The best performing underlying fund was the Allspring Global Long/Short Equities Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures (+5.9%; contributing +1.6% to the Fund). The largest detractor was the FORT Global Trend Fund, whose exposure is price-based momentum (-2.4%; contributing -0.7% to the Fund).
• From a sector perspective, the largest impact on the portfolio came from cash equities. Allspring was the beneficiary of multiple market activities across December. Firstly, Allspring was able to pick up positive sentiment from the US bipartisan infrastructure bill being signed into law and the debt ceiling being raised by US$2.5 trillion. Secondly, Allspring was able to outstrip market returns and their benchmark through low-risk securities outperforming higher risk peers (an integral part of their investment philosophy). Furthermore, long valuation factors such as sales-to-price and forward-looking earnings yield were also accretive. Supplementing Allspring’s cash equity gains were equity index positions from FORT and PGIM Wadhwani, particularly long US markets.
• Offsetting some of the gains were currencies and fixed income. Despite P/E’s currency strategy posting strong positive returns for 2021, their long US dollar position experienced a bit of pull-back in December. In fixed income, PGIM Wadhwani and FORT’s long positioning in longer-duration European bonds, particularly the German Buxl and Bund, detracted from performance.
• Looking ahead at 2022, the unfolding inflation narrative relative to consensus expectations looks to be a key determinant of overall market performance. Regardless of how this narrative plays out, we continue to have conviction in our process of selecting and combining active managers with complementary styles, with the aim of providing an absolute return stream that is independent of equity market performance.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/182470023.pdfSeptember, 2021
The Fund returned 1.66% in September 2021. The Fund helped to diversify broader portfolio exposures as global equities fell -4.15%, with the US Federal Reserve signalling that they are likely to taper quantitative easing at their next meeting.
• The best performing underlying fund was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation (+4.42%, contributing +1.42% to the Fund). The only detractor was the Wells Fargo Global Long/Short Equities Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures (-3.12%, contributing -0.99% to the Fund). Rounding out the underlying fund holdings, the Winton Global Alpha Fund, whose primary exposure is price-based momentum, returned +3.21%, contributing +1.22% to the Fund.
• From a sector perspective, the largest contributors were energies and currencies. Within energies, Winton continued to profit from uptrends in coal, natural gas and European electricity markets. As risk aversion in traditional markets increased during the month, P/E’s long US dollar position profited as their FX factors continued to indicate stronger US growth relative to its global peers
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/180194962.pdfAugust, 2021
The Fund returned 1.10% in August 2021.
• During the month, all three underlying funds contributed positively to performance. The best performing underlying fund was the Winton Global Alpha Fund, whose primary exposure is price-based momentum, which returned +1.21% (contributing +0.46% to the Fund). The smallest contributor was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation, returning +0.78% (contributing +0.26% to the Fund). Rounding out the underlying fund holdings, the Wells Fargo Global Long/Short Equities Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures, returned +1.18% (contributing +0.38% to the Fund).
• From a sector perspective, the largest contributors were energies and cash equities. Within energies, Winton continued to profit from uptrends in coal, natural gas and European power markets. Meanwhile, Wells Fargo’s cash equities exposure benefited from their general equity market exposure, with excess return and risk positioning being relatively neutral during the month.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/178873813.pdfJuly, 2021
The Fund returned 1.73% in July 2021.
• During the month, all three underlying funds contributed positively to performance. The best performing underlying fund was the P/E Global FX Alpha Fund, which delivers the strategy’s dynamic currency allocation (+2.20%; contributing +0.73% to the Fund). The smallest contributor was the Wells Fargo Global Long/Short Equities Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures (+0.88%; contributing +0.27% to the Fund). Rounding out the underlying fund holdings, the Winton Global Alpha Fund, whose primary exposure is price-based momentum, returned +1.92% (contributing +0.72% to the Fund).
• From a sector perspective, all sectors contributed positively to performance. The largest contributor was currencies, driven by P/E’s long US dollar position, which strengthened versus commodity currencies as the COVID-19 Delta variant gained traction globally, and gave rise to renewed economic uncertainty. Energies was a close second to sector contribution, with Winton’s trend-following systems continuing to profit from uptrends in coal and natural gas, amid rising energy demand and disruptions to supply.
• Other material contributors came from the fixed income and cash equity sectors. Winton was positioned net long in fixed income, with their non-trend systems, particularly carry, the most effective. Meanwhile cash equities, through Wells Fargo’s long/short equity fund, benefitted from their shorting of stocks containing higher market risk than the broader equities index.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/175739284.pdfJune, 2021
The Fund returned 1.47% in June 2021.
• The best performing Underlying Fund was the P/E Global FX Alpha Fund, which operates as the strategy’s dynamic currency allocation (+7.97%; contributing +2.43% to the Fund). The largest detractor was the Wells Fargo Global Long/Short Equities Fund, which seeks to exploit equity market inefficiencies through fundamental factor exposures (-3.76%; contributing -1.25% to the Fund). Rounding out the Underlying Fund holdings, the Winton Global Alpha Fund, whose primary exposure is price-based momentum, returned +0.47% (contributing +0.29% to the Fund).
• From a sector perspective, currencies was the largest contributor. P/E’s FX factors indicated stronger growth in the US versus other parts of the world, and thus profited from a strengthening US dollar against European and commodity currencies. The long position in the US dollar was helped when the US Federal Reserve signalled that they may raise rates earlier than previously expected. Also contributing meaningfully to returns was the energies sector. Within this sector, Winton made money from uptrends in coal, natural gas, and crude oil.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/174432973.pdfMay, 2021
The Fund returned -0.07% in May 2021.
• The Winton Global Alpha Fund, whose primary exposure is price-based momentum, returned +2.25%, contributing +1.25% to the Fund. These gains were offset by the P/E Global FX Alpha Fund, which operates as a dynamic currency allocation (-2.93%, contributing - 1.32% to the Fund).
• Trend following on currencies and commodities accounted for most of the gains for the Winton Global Alpha Fund in May. Currencies were the largest performance driver over the month, with the US dollar trending downwards against most major currencies. Furthermore, Winton continued to make money in commodities, with gains led by more novel exposures, such as alternative energy markets and livestock. Rotterdam coal was the top contributor in energies, while live hogs led the gains in agriculture. Metals were another source of profits, largely due to long silver and aluminium positions.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/173025752.pdfApril, 2021
The Fund returned 0.46% in April 2021.
• The best performing allocation was the IPM Global Macro Fund, whose fundamental exposures are expressed via a relative value approach (+5.05%, contributing +1.57% to the Fund). The largest detractor was the P/E Global FX Alpha Fund, which operates as a dynamic currency allocation (-5.87%, contributing -2.07% to the Fund). The Winton Global Alpha Fund contributed the remaining +0.96%, as the underlying fund returned +2.45% over April.
• From a sector perspective, the largest contributor was bonds via IPM’s risk premia and market dynamics factors which profited from long Australian Bonds and short German Bunds. Winton’s long exposure to agriculture and energies sectors also supported bonds’ gains as rising prices in sugar, corn, and crude oil continued to trend. Partially offsetting these gains were currencies. While IPM saw their short US dollar, short Canadian dollar, long Swedish krona and long Japanese yen positions revert back to their long-term valuations, P/E saw losses from their short euro and Australian dollar positions
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/171694315.pdfMarch, 2021
The Fund returned 0.33% in March 2021.
• The best performing allocation was the P/E Global FX Alpha Fund, which operates as a dynamic currency allocation (+5.17%, contributing +1.73% to the Fund). The largest detractor was the IPM Global Macro Fund, whose fundamental exposures are expressed via a relative value approach (-4.70%, contributing -1.51% to the Fund).
• From a sector perspective, equities and volatility contributed the most. Both Winton and IPM had long directional positions. Winton captured upward trends as the S&P closed one of its best 12-month returns and global equities reached new record highs. For IPM, the fundamental equity outlook continued to be positive as US President Biden signed a US$1.9 trillion stimulus plan and PMI data indicated resilience. IPM also contained a short volatility position in their directional portfolio, which produced positive returns. This was as expected given that short-term global equity movements usually have a negative correlation with volatility.
• In currencies, underlying manager performance was inconsistent, with diversity in views. P/E’s systems were focussed on the shape of the yield curve with steepness a sign of increased attractiveness. This meant that low yielding currencies such as the euro, Japanese yen and Swiss franc appeared less attractive than high yielding currencies like the US dollar. P/E’s positions reflected this opportunity and made gains over the month. Winton’s currency positioning was driven by trend and complemented by carry signals, both of which profited with a short Japanese yen being their top contributor. IPM, on the other hand, had strong conviction in a long Japanese yen position, which detracted against the G10 basket.
• Elsewhere in the Fund, Winton’s gains in livestock were offset by losses in crops.
• We continue to have conviction in our process of selecting and combining active managers with differentiated styles, who aim to generate absolute returns independent of traditional asset classes and of one another.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/170178068.pdfDecember, 2020
• The Fund returned -0.55% in December 2020.
• Despite more restrictive measures taken to stem the escalating global pandemic, the MSCI World rose 4.2% in US dollar terms, driven by emergency approval of multiple COVID-19 vaccines and stimulus
(Washington delivered a US$900bn stimulus bill while the EU was able to secure its US$2.2tn budget and stimulus plan). The best performing allocation was the Winton Global Alpha Fund, whose primary exposure is price-based momentum (+3.90%; contributing +1.39% to the Fund). The largest detractor was the P/E Global FX Alpha Fund, which operates as a dynamic currency allocation (-7.02%; contributing -2.19% to the Fund).
• From a sector perspective, developed market currencies led losses. P/E’s models erased gains from both IPM and Winton. P/E continued to hold defensive positions in anticipation of risk aversion and note significant investor crowding in long Australian dollar and euro positions, which are typically a sign of short-term risk. P/E’s long position in the US dollar hurt performance. Overall, P/E’s factors are positioned for slower global growth and a rebound in the US dollar.
• Offsetting FX losses within the Fund was Winton’s commodities positioning, notably in crops and precious metals. Both asset classes were able to take advantage of trending prices, in particular long positions in soybeans, in which prices rose to their highest levels since 2014, and silver, where prices rallied by a fifth across the month.
• Elsewhere in the portfolio, the Fund’s equity gains from Winton and IPM’s long directional positions were cancelled out by bond losses, mainly driven by IPM’s long Australian Bonds position, with Australian 10-year rates climbing across the month.
• We continue to have conviction in our process of selecting and combining active managers with differentiated styles, who aim to generate absolute returns independent of traditional asset classes and of one another.
ticker: MAQ7578AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
Right sidebar -> Quick Links -> “Providers Own Factsheet”
https://investmentcentre.moneymanagement.com.au/factsheets/mi/pgpc/macquarie-professional-series-global-alternatives
asset_class: Alternatives
asset_category: FOHF
peer_benchmark: Alternatives - FOHF Index
broad_market_index: Credit Suisse AllHedge Fund Index
structure: Managed Fund
manager_contact_details: Array
fund_features:
- Macquarie Professional Series Glb Alts aims to generate long-term total returns by investing in exchange-traded futures providing exposure to developed market and emerging market currencies.
- The Underlying Fund holds both long and short positions in futures.
- The Underlying Fund will also hold cash and cash equivalents.