July, 2023
The Fund invests in the following underlying funds/strategies: The One River Systematic Trend SP strategy seeks to exploit medium to long term trends frequently observed in various equities, rates, FX, and commodity markets to generate returns. This systematic strategy employs a proprietary model which uses a combination of moving averages, breakouts, and stops to determine when to enter and exit the positions. The One River Systematic Alternative Markets Trend SP strategy seeks to exploit medium to long term trends frequently observed in various alternative equity, credit, rates, FX, and commodity markets to generate returns. The Keynes Dynamic Beta Strategy (Offshore) Fund strategy applies a systematic macroeconomic investment process which includes both directional (to average a 75% allocation over a full investment cycle) and relative value (25%) strategies, which seek to harvest risk premia in a non-linear fashion and emphasize drawdown avoidance. The Fulcrum Diversified Absolute Return Fund strategy seeks to achieve its aim of long-term absolute returns by investing globally and aims to hold a highly diversified portfolio, typically consisting of exposures to equities, fixed income, commodities, alternatives and cash.
The Janus Henderson Global Multi-Strategy Fund strategy seeks to provide positive absolute returns with low to moderate volatility and low correlation to both traditional and alternative asset classes. The MCP Wholesale Investments Trust is a multi-strategy fund currently invested in wholesale funds managed by Metrics Credit Partners (Metrics), specifically the Metrics Credit Partners Diversified Australian Senior Loan Fund, the MCP Secured Private Debt Fund II and the MCP Real Estate Debt Fund (Wholesale Funds). The Bentham Syndicated Loan Fund strategy is actively managed and focused on generating stable investment income.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/fs_FR_MMF1471AU.pdfJune, 2023
The Fund invests in the following underlying funds/strategies: The One River Systematic Trend SP strategy seeks to exploit medium to long term trends frequently observed in various equities, rates, FX, and commodity markets to generate returns. This systematic strategy employs a proprietary model which uses a combination of moving averages, breakouts, and stops to determine when to enter and exit the positions. The One River Systematic Alternative Markets Trend SP strategy seeks to exploit medium to long term trends frequently observed in various alternative equity, credit, rates, FX, and commodity markets to generate returns.
The Keynes Dynamic Beta Strategy (Offshore) Fund strategy applies a systematic macroeconomic investment process which includes both directional (to average a 75% allocation over a full investment cycle) and relative value (25%) strategies, which seek to harvest risk premia in a non-linear fashion and emphasize drawdown avoidance. The Fulcrum Diversified Absolute Return Fund strategy seeks to achieve its aim of long-term absolute returns by investing globally and aims to hold a highly diversified portfolio, typically consisting of exposures to equities, fixed income, commodities, alternatives and cash. The Janus Henderson Global Multi-Strategy Fund strategy seeks to provide positive absolute returns with low to moderate volatility and low correlation to both traditional and alternative asset classes.
The MCP Wholesale Investments Trust is a multi-strategy fund currently invested in wholesale funds managed by Metrics Credit Partners (Metrics), specifically the Metrics Credit Partners Diversified Australian Senior Loan Fund, the MCP Secured Private Debt Fund II and the MCP Real Estate Debt Fund (Wholesale Funds). The Bentham Syndicated Loan Fund strategy is actively managed and focused on generating stable investment income.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/204185662.pdfApril, 2023
The Fund invests in the following underlying funds/strategies: Fulcrum Diversified Absolute Return Fund – A diversified multiasset strategy with dynamic asset allocation across equities, fixed income, currencies, commodities, and alternative assets. The funds aim to deliver risk-adjusted real returns with lower volatility than equity markets.
GMO Systematic Global Macro Trust – A systematic global macro strategy which aims to add value through five main activities: asset allocation, and market selection across equities, bonds, currencies and commodities. A systematic investment process is used that combines value and sentiment-based strategies, while controlling for risk.
Janus Henderson Global Multi-Strategy Fund – A multi-strategy hedge fund approach across a range of strategies such as convertible arbitrage, event driven, price pressure, risk transfer, equity market neutral and portfolio protection.
Metrics MCP Wholesale Investments Trust – A private debt strategy which provides diversified exposure to Australia’s bank dominated corporate loan market by investing in loans to public and private companies, infrastructure, project finance, private equity sponsored, real estate, and structured finance borrowers, either directly or via investment in other wholesale funds managed by its investment manager Metrics Capital.
ManAHL Alpha (AUD) Fund – Invests in underlying AHL ‘flagship’ programs which primarily employ ‘trend-following’ strategies that seek to identify and profit from both upwards and downwards movements in prices across a diverse range of investment markets including equities, bonds, interest rates, currencies, and commodities.
Bentham Syndicated Loan Fund – An actively managed strategy, focused on generating stable investment income. The fund aims to provide investors with exposure to high-yielding investments primarily through the US syndicated loan market, with an active allocation to investments in different industries, issuers, and geographies. Since July 2021, this strategy has been progressively reduced to zero to allow for the implementation of Janus and Metrics, with it to remain an approved strategy able to be utilised tactically where market pricing and conditions are supportive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/201944043.pdfFebruary, 2023
Underlying Fund Commentaries Fulcrum Diversified Absolute Return Fund – A diversified multiasset strategy with dynamic asset allocation across equities, fixed income, currencies, commodities, and alternative assets. The funds aim to deliver risk-adjusted real returns with lower volatility than equity markets.
GMO Systematic Global Macro Trust – A systematic global macro strategy which aims to add value through five main activities: asset allocation, and market selection across equities, bonds, currencies and commodities. A systematic investment process is used that combines value and sentiment-based strategies, while controlling for risk.
Janus Henderson Global Multi-Strategy Fund – A multi-strategy hedge fund approach across a range of strategies such as convertible arbitrage, event driven, price pressure, risk transfer, equity market neutral and portfolio protection.
Metrics MCP Wholesale Investments Trust – A private debt strategy which provides diversified exposure to Australia’s bank dominated corporate loan market by investing in loans to public and private companies, infrastructure, project finance, private equity sponsored, real estate, and structured finance borrowers, either directly or via investment in other wholesale funds managed by its investment manager Metrics Capital.
ManAHL Alpha (AUD) Fund – Invests in underlying AHL ‘flagship’ programs which primarily employ ‘trend-following’ strategies that seek to identify and profit from both upwards and downwards movements in prices across a diverse range of investment markets including equities, bonds, interest rates, currencies, and commodities.
Bentham Syndicated Loan Fund – An actively managed strategy, focused on generating stable investment income. The fund aims to provide investors with exposure to high-yielding investments primarily through the US syndicated loan market, with an active allocation to investments in different industries, issuers, and geographies. Since July 2021, this strategy has been progressively reduced to zero to allow for the implementation of Janus and Metrics, with it to remain an approved strategy able to be utilised tactically where market pricing and conditions are supportive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/199473675.pdfDecember, 2022
Underlying Fund Commentaries Fulcrum Diversified Absolute Return Fund – A diversified multiasset strategy with dynamic asset allocation across equities, fixed income, currencies, commodities, and alternative assets. The funds aim to deliver risk-adjusted real returns with lower volatility than equity markets.
GMO Systematic Global Macro Trust – A systematic global macro strategy which aims to add value through five main activities: asset allocation, and market selection across equities, bonds, currencies and commodities. A systematic investment process is used that combines value and sentiment-based strategies, while controlling for risk.
Janus Henderson Global Multi-Strategy Fund – A multi-strategy hedge fund approach across a range of strategies such as convertible arbitrage, event driven, price pressure, risk transfer, equity market neutral and portfolio protection.
Metrics MCP Wholesale Investments Trust – A private debt strategy which provides diversified exposure to Australia’s bank dominated corporate loan market by investing in loans to public and private companies, infrastructure, project finance, private equity sponsored, real estate, and structured finance borrowers, either directly or via investment in other wholesale funds managed by its investment manager Metrics Capital.
ManAHL Alpha (AUD) Fund – Invests in underlying AHL ‘flagship’ programs which primarily employ ‘trend-following’ strategies that seek to identify and profit from both upwards and downwards movements in prices across a diverse range of investment markets including equities, bonds, interest rates, currencies, and commodities.
Bentham Syndicated Loan Fund – An actively managed strategy, focused on generating stable investment income. The fund aims to provide investors with exposure to high-yielding investments primarily through the US syndicated loan market, with an active allocation to investments in different industries, issuers, and geographies. Since July 2021, this strategy has been progressively reduced to zero to allow for the implementation of Janus and Metrics, with it to remain an approved strategy able to be utilised tactically where market pricing and conditions are supportive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/198266356.pdfOctober, 2022
Underlying Fund Commentaries Fulcrum Diversified Absolute Return Fund – A diversified multiasset strategy with dynamic asset allocation across equities, fixed income, currencies, commodities, and alternative assets. The funds aim to deliver risk-adjusted real returns with lower volatility than equity markets.
GMO Systematic Global Macro Trust – A systematic global macro strategy which aims to add value through five main activities: asset allocation, and market selection across equities, bonds, currencies and commodities. A systematic investment process is used that combines value and sentiment-based strategies, while controlling for risk.
Janus Henderson Global Multi-Strategy Fund – A multi-strategy hedge fund approach across a range of strategies such as convertible arbitrage, event driven, price pressure, risk transfer, equity market neutral and portfolio protection. Metrics MCP Wholesale Investments Trust – A private debt strategy which provides diversified exposure to Australia’s bank dominated corporate loan market by investing in loans to public and private companies, infrastructure, project finance, private equity sponsored, real estate, and structured finance borrowers, either directly or via investment in other wholesale funds managed by its investment manager Metrics Capital.
ManAHL Alpha (AUD) Fund – Invests in underlying AHL ‘flagship’ programs which primarily employ ‘trend-following’ strategies that seek to identify and profit from both upwards and downwards movements in prices across a diverse range of investment markets including equities, bonds, interest rates, currencies, and commodities.
Bentham Syndicated Loan Fund – An actively managed strategy, focused on generating stable investment income. The fund aims to provide investors with exposure to high-yielding investments primarily through the US syndicated loan market, with an active allocation to investments in different industries, issuers, and geographies. Since July 2021, this strategy has been progressively reduced to zero to allow for the implementation of Janus and Metrics, with it to remain an approved strategy able to be utilised tactically where market pricing and conditions are supportive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/194068432.pdfSeptember, 2022
Underlying Fund Commentaries Fulcrum Diversified Absolute Return Fund – A diversified multiasset strategy with dynamic asset allocation across equities, fixed income, currencies, commodities, and alternative assets. The funds aim to deliver risk-adjusted real returns with lower volatility than equity markets.
GMO Systematic Global Macro Trust – A systematic global macro strategy which aims to add value through five main activities: asset allocation, and market selection across equities, bonds, currencies and commodities. A systematic investment process is used that combines value and sentiment-based strategies, while controlling for risk.
Janus Henderson Global Multi-Strategy Fund – A multi-strategy hedge fund approach across a range of strategies such as convertible arbitrage, event driven, price pressure, risk transfer, equity market neutral and portfolio protection.
Metrics MCP Wholesale Investments Trust – A private debt strategy which provides diversified exposure to Australia’s bank dominated corporate loan market by investing in loans to public and private companies, infrastructure, project finance, private equity sponsored, real estate, and structured finance borrowers, either directly or via investment in other wholesale funds managed by its investment manager Metrics Capital.
ManAHL Alpha (AUD) Fund – Invests in underlying AHL ‘flagship’ programs which primarily employ ‘trend-following’ strategies that seek to identify and profit from both upwards and downwards movements in prices across a diverse range of investment markets including equities, bonds, interest rates, currencies, and commodities.
Bentham Syndicated Loan Fund – An actively managed strategy, focused on generating stable investment income. The fund aims to provide investors with exposure to high-yielding investments primarily through the US syndicated loan market, with an active allocation to investments in different industries, issuers, and geographies. Since July 2021, this strategy has been progressively reduced to zero to allow for the implementation of Janus and Metrics, with it to remain an approved strategy able to be utilised tactically where market pricing and conditions are supportive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/192855784.pdfAugust, 2022
Underlying Fund Commentaries GMO Systematic Global Macro Trust – The Fund was down for the quarter. Over a turbulent period, gains were still made in equities, bonds and commodities but were outweighed by losses in currencies
Fulcrum Diversified Absolute Return Fund – The Fund was down for the quarter, with broad based gains from Relative Value Strategies and Diversifying Strategies not enough to offset losses from Directional strategies. Relative Value strategies gave back some of their very strong year-to-date gains, with positioning within currencies, commodities, and fixed income more than offsetting gains made elsewhere.
ManAHL Alpha (AUD) Fund – The Fund was up for the quarter, with gains across most asset classes, including fixed income, energies, currencies, and credit. Small losses were experienced in metals, agriculturals and stocks.
Bentham Syndicated Loan Fund – The Fund was down for the quarter, with repricing of Loan assets over the quarter being a key driver of performance. The Loan market had a negative return during the quarter, consistent with most risk markets, albeit more muted than the high yield bond market.
Janus Henderson Global Multi-Strategy Fund – The Fund was down for the quarter, with Price Pressure and Protection the most negative contributors. Event Driven was also a small drag on returns, with Convertible Arbitrage broadly flat, while Risk Transfer and Equity Market Neutral added positive value
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/192175629.pdfJuly, 2022
Underlying Fund Commentaries GMO Systematic Global Macro Trust – The Fund was down for the quarter. Over a turbulent period, gains were still made in equities, bonds and commodities but were outweighed by losses in currencies.
Fulcrum Diversified Absolute Return Fund – The Fund was down for the quarter, with broad based gains from Relative Value Strategies and Diversifying Strategies not enough to offset losses from Directional strategies. Relative Value strategies gave back some of their very strong year-to-date gains, with positioning within currencies, commodities, and fixed income more than offsetting gains made elsewhere
ManAHL Alpha (AUD) Fund – The Fund was up for the quarter, with gains across most asset classes, including fixed income, energies, currencies, and credit. Small losses were experienced in metals, agriculturals and stocks. Bentham Syndicated Loan Fund – The Fund was down for the quarter, with repricing of Loan assets over the quarter being a key driver of performance. The Loan market had a negative return during the quarter, consistent with most risk markets, albeit more muted than the high yield bond market.
Janus Henderson Global Multi-Strategy Fund – The Fund was down for the quarter, with Price Pressure and Protection the most negative contributors. Event Driven was also a small drag on returns, with Convertible Arbitrage broadly flat, while Risk Transfer and Equity Market Neutral added positive value.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/191250427.pdfNovember, 2021
Underlying Fund Commentaries GMO Systematic Global Macro Trust – The strategy was negative for the quarter, with equity and commodity positions driving performance. A net long equities exposure slightly detracted from returns; however, equity market selection was the key detractor, particularly a short position to India and a long position in MSCI Emerging Markets (EM) futures.
Fulcrum Diversified Absolute Return Fund – The strategy was negative for the quarter, with relative value strategies being the main detractor, whilst directional strategies were flat and diversifying strategies were marginally up. Bentham Syndicated Loan Fund – The strategy was positive for the quarter, but marginally below its Leveraged Loans benchmark, with credit markets being generally stronger, particularly floating rate markets with less interest rate exposure. The strategy closed the quarter with a yield to maturity of 4.7% and an average credit spread of 379bps. ManAHL Alpha (AUD) Fund – The strategy was negative for the quarter, with losses in FX, equities and fixed income outweighing gains in commodities. A rallying USD was a departure from the declines seen throughout much of the quarter, which led to losses for the strategy. Janus Henderson Global Multi-Strategy Fund – The strategy has been progressively added to the OPAG Fund from late July 2021 but was positive for the full quarter, with Event Driven and Price Pressure sub-strategies adding the most to returns, helping to offset a negative contribution from Protection. Metrics Wholesale Investments Trust – The strategy has been progressively added to the OPAG Fund from late July 2021 but was positive over the full quarter. It continues to provide consistent positive performance and pay monthly income in excess of its target.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/182824538.pdfJune, 2021
GMO Systematic Global Macro Trust – The Fund delivered a positive return over the period, with currencies and trading in volatility futures having the greatest positive impact on performance. A net long equities exposure added value, however equity market selection detracted, particularly positioning in the US market. Fixed income was positive over the period as yields moved lower.
Fulcrum Diversified Absolute Return Fund – The Fund posted a strong performance over the period, with positive contributions coming from Directional (+1.6%), Relative Value (+0.8%) and Diversifying Strategies (+0.2%). Fulcrum’s long US dollar positioning was the main outperformer within the currency strategy, while within fixed income their US steepener position underperformed in June as short-term interest rates increased relative to long-term interest rates.
Bentham Syndicated Loan Fund – The Fund outperformed its loan index benchmark over the quarter, and closed the period with a yield to maturity of 4.79% and an average credit spread of 395 basis points (408 basis points at the end of the previous quarter). The Fund had a quarter-end credit duration of 4.14 years and an interest rate duration of 1.32 years
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/178465246.pdfMay, 2021
The Fund posted a positive net of fees return of 0.2% (Frontier Class) for the quarter, and 6.9% for the trailing 12 months. The GMO systematic global macro allocation was down -4.9% for the quarter (down -0.6% TTM1).
The portfolio delivered a negative return over the period, with bonds and currency positioning having the greatest impact on performance. Fulcrum idiosyncratic multi-strategy allocation was up 3.6% for the quarter (up 8.2% TTM1). In terms of performance drivers, Directional made +1.2%, Relative Value strategies contributed +2.5% while Diversifying strategies added another +0.2% and hedging detracted -0.2%. The Bentham leveraged loans allocation was up 2.0% for the quarter (up 20.7% TTM1).
The Loan market continued to rally during the quarter in line with other risk assets. Overall, loan spreads (discount margin to maturity) for the Credit Suisse Loan index closed the quarter tighter. The ManAHL trend-following allocation was up 2.3% during the quarter (up 4.7% TTM1). The Fund saw gains in commodities and stocks, which were slightly offset by losses in FX. Copper was the largest contributor to the commodities sleeve, while natural gas and silver both slightly detracted.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/172355002.pdfApril, 2021
April was a positive month for most financial markets. Risk sentiment stayed elevated on expectations of a powerful economic restart underway, an improving macro picture supported by additional fiscal spending and a broadening vaccine rollout. Key risk-on assets such as equities and commodities experienced a strong rally in April, but assets such as sovereign bonds and gold also recorded positive performance after a difficult previous quarter.
Regionally, developed market equities continued to outperform their emerging market counterparts. Developed markets are leading both a rebound in global Purchasing Managers Index’s (PMIs) as well as the progress on COVID-19 vaccine deployment. Corporate earnings results were also broadly encouraging, with several large US and European companies reporting positive earnings surprises. The speed of the vaccine rollout has had an impact on near term growth dynamics, with the US economy showing further signs of improvement. US equity markets led the rally in April, whereas Japanese equities reversed some of their gains from previous months.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/173769088.pdfFebruary, 2021
The Fund delivered a +3.7% return over the quarter (net of fees), outperforming its Bank Bill Index benchmark. All underlying managers posted strong positive performance for the quarter. ManAHL (Trend-Following) and Bentham (Alternative Credit) were the standouts, with GMO (Global Macro) and Fulcrum (MultiStrategy) also having a solid quarter. Fulcrum, GMO and ManAHL were able to post strong returns for 2020. Bentham was modestly positive, however this is a good result given the setback in March when there was a steep sell off in Loans during the height of the COVID pandemic fears
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/170726499.pdfOctober, 2020
June marked the end of a remarkable quarter for risk assets, bouncing back from the prior quarter's 'COVID' related weakness. Despite the prevailing uncertainty regarding the virus' containment, the success and sustainability of record monetary and fiscal stimulus, and the violent social unrest which has been unleashed in major US cities, the S&P500 index went on to post its best quarter in over 20 years.
In stark contrast to the March quarter and with losses driven by global pandemic fears, global equities posted a 17.8% return for the June quarter in AUD hedged terms, bringing the trailing 12 months return back into positive territory. Global bonds had a solid quarter, while investment grade corporate debt recovered losses from the prior quarter. Reflective of credit spread tightening since the highs seen in March and April, lower grade corporate credit sectors such as leveraged loans and high yield bonds were able to clawback a significant proportion of the losses from the previous quarter.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/162703985.pdfticker: MMF1471AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
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:
OnePath OA FR IP-OnePath Alts Growth is a multi-manager solution that seeks to provide returns with low correlation to equity markets by investing in a portfolio is designed to deliver more consistent, and diversified sources of returns than would be achieved if investing with a single-manager. It aims to outperform the Benchmark over the investment cycle (typically 3-5 years).