September, 2023
The Diversified Real Return Fund returned 1.3% (gross) in the September quarter. Over the past year, the Fund has returned 4. 5% (gross) and over the past 5 years the Fund has returned 4.7% (gross) per annum compared with the objective of 8.6% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.4% (gross) per annum compared with the objective of 7.8% (CPI plus 5%*).
The Fund's elevated cash allocation was the most substantial contributor to return during a quarter where equities and bonds recorded capital losses. Cash continues to offer robust returns following the 400bps of rate increases since early 2022, with the Fund's US dollar exposure also reflecting the strength of the US economy in addition to its higher interest rates.
Equity exposures were mixed for performance over the quarter. Equities markets fell over the course of August and September as bond yields rose and weighed on equity valuations, but the Fund's equity put options increased in value and provided solid protection.
Meanwhile, the Fund's allocation to fixed income detracted over the quarter as US and Australian bond yields rose sharply in August and September, as did the small allocation to a diversified basket of commodities including Gold.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-2-1.pdfAugust, 2023
The Diversified Real Return Fund returned 0.7% (gross) in August. Over the past year, the Fund has returned 5.0% (gross) and over the past 5 years the Fund has returned 4.7% (gross) per annum compared with the objective of 8.7% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.5% (gross) per annum compared with the objective of 7.8% (CPI plus 5%").
The Fund's defensive positioning mitigated the impact of elevated volatility and sliding equity markets during August. In a month where global equities recorded a total return of -1.7%, the Fund's low equity weight and elevated cash allocation culminated in positive returns. The aggressive tightening of monetary policy since early 2022 has increased the attractiveness of yields offered on cash type investments, whereas rising valuations and stretched earnings expectations leave regional equity markets quite vulnerable to even modest changes in sentiment or expectations.
The Fund's modest allocation to developed and emerging markets were the largest detractor from performance last month as global equities sold off. Typically defensive assets such as government bonds and gold both experienced capital losses but cash bucked this trend, contributing to performance.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-1-2.pdfJuly, 2023
The Diversified Real Return Fund returned 0.9% (gross) in July. Over the past year, the Fund has returned 5.0% (gross) and over the past 5 years the Fund has returned 4.7% (gross) per annum compared with the objective of 8.7% (CPI plus 5%) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.4% (gross) per annum compared with the objective of 7.8% (CPI plus 5%).
Global equities extended their rally during July, contributing to portfolio return. The Fund's exposure to developed and emerging markets as well as Australian equities were all key positive contributors as Investors responded positively to data which suggested that global recession risks had declined, although they remain quite significant. Meanwhile, price gains in global and Australian REIT in response to firming expectations that central banks are close to ending their tightening cycles also added to returns. These contributors were partially offset by the cost of the Fund's equity put options and negative stock selection within Australian equities.
Elsewhere, the Fund's allocation to a diversified basket of commodities was a substantial contributor, led by gold which rebounded from a weak second quarter as the US Dollar depreciated against its peers.
Similarly, the Fund's fixed income allocation performed well as our short position in 10 year Japanese government bond added value as the yield curve steepened in response to speculation that the Bank of Japan was set to tweak its yield curve control policy at its late-July meeting which was subsequently occurred. The gains from this exposure were partially offset by higher US bond yields in response to a stronger set of economic data
Lastly, the Fund's substantial cash allocation continues to contribute to returns as 15 months of rate hikes are now rewarding patient investors who are concerned about elevated valuations and highly optimistic earnings expectations for the second half of 2023 and 2024 All groups CPI measured and published by the ABS as at 31 March 2023 and 2024.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-16.pdfJune, 2023
The Diversified Real Return Fund returned 0.2% (gross) in the June quarter. Over the past year, the Fund has returned 4.4% (g ross) and over the past 5 years the Fund has returned 4.8% (gross) per annum compared with the objective of 8.6% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.4% (gross) per annum compared with the objective of 7.8% (CPI plus 5%*)
Allocation to global equities was the most substantial contributor to return during the June quarter, with price gains underpinned by higher valuations in in the tech sector as investors were buoyed by recent developments in artificial intelligence. Elsewhere. Australian equities were also constructive for performance, but were partially offset by the cost of Fund's equity put options and stock selection alpha also weighed on performance.
The Fund's substantial cash allocation also contributed to return reflecting the 400bps of rate increases over the past 13 months. During the first two months of the quarter, the Fund's US dollar and Emerging market currency exposures performed well before the Australian dollar rallied in June. The Fund's fixed income allocation was the most significant detractor from return during the period, as real and nominal bond yields moved higher in May and June in response to sustained elevated inflation and hawkish central bank commentary which signalled that their respective tightening cycles had further to go.
Elsewhere, the Fund's small allocation to a diversified basket of commodities including Gold detracted as weakening Chinese demand weighed on prices.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-15.pdfMay, 2023
The Diversified Real Return Fund returned •0.3% (gross) during May. Over the past year. the Fund has returned 2.7% (gross) and over the past 5 years the Fund has returned 51% (gross) per annum compared with the objective of 8.6% (CPI plus 5%') over rolling 5 years. Since inception (in 2010) the Fund has returned 6.5% (gross) per annum compared with the objective of 7.8% (CPI plus 5%').
The most substantial detractor from return during the month was the Fund's fixed income exposure. The Fund maintains exposureto Australian and US government bonds which both saw yields move higher during May. The duration risk of these investments is partially offset by short Japanese government bond futures. During the month however. Japanese bonds held firm as the BOJ quashed the possibility of a near term change to their Yield Curve Control policy.
Global equity markets were mixed. with the strong performance of a small concentration of large cap US tech stocks offsetting falling valuations elsewhere. The value tilt of the Fund's equity exposures was not rewarded, and stock selection detracted across global and dcmestic equities (with the exception of the underweight exposure to China within the Fund's emerging markets exposure).
During a month of mixed returns for risk assets. the Fund benefitted from its substantial cash allocation. Notably the large US dollar exposure was the most significant contributor to performance as the Greenback powered ahead of peers on anticipation of further tightening from the US Federal Reserve (the Fed).
Elsewhere, the Fund's allocation to a diversified basket of commodities including Gold detracted as weakening Chinese demandand anticipation of further monetary tightening impacted prices.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-14.pdfFebruary, 2023
The Diversified Real Return Fund returned 0.0% (gross) during February. Over the past year, the Fund has returned 1.8% (gross) and over the past 5 years the Fund has returned 4.9% (gross) per annum compared with the objective of 8.4% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.5% (gross) per annum compared with the objective of 7.7% (CPI plus 5%*).
File:January, 2023
The Diversified Real Return Fund returned 0.6% (gross) during January. Over the past year, the Fund has returned 1.1% (gross) and over the past 5 years the Fund has returned 4.6% (gross) per annum compared with the objective of 8.4% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.6% (gross) per annum compared with the objective of 7.7% (CPI plus 5%*).
Global and Australian equity exposures were the key contributors to return during the month as the Fund benefitted from the strong rally in stocks. This positive contribution was partially offset by the negative performance of the Fund's equity put options. Stock selection across global and Australian equities detracted slightly as growth outperformed value on the back of falling bond yields. The Fund's emerging market's exposure added value (although an underweight exposure to China was a drag on performance).
The Fund's fixed income exposures - most notably Australian bonds - performed well as long term yields rallied strongly. Elsewhere, exposure to global and domestic listed real estate performed well and the Fund benefitted from the rally in gold.
The most significant detractor from return over the month was the Fund's substantial US Dollar allocation. The Australian dollar rallied strongly against the greenback over the month on the back of Chinese reopening and rising commodity prices.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/Screen-Shot-2023-02-28-at-16.31.30.pngDecember, 2022
The Diversified Real Return Fund returned 1.6% (gross) in the December quarter. Over the past year, the Fund has returned 0.9% (gross) and over the past 5 years the Fund has returned 4.6% (gross) per annum compared with the objective of 8.0% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.6% (gross) per annum compared with the objective of 7.6% (CPI plus 5%*).
The rally in global and Australian equities through the first two months of the December quarter was the key driver of absolute return. Global equity stock selection contributed to performance as the value sectors and securities outperformed their growth peers. However, these gains were partially offset by the Fund's exposure to the US dollar which gave back some of its very strong performance over the past year.
While the Fund's exposures in Australian and US duration were little changed over the quarter, they experienced heightened volatility as safe-haven flows, inflation and policy decisions took their turn driving market trends. However, the Fund's short position in Japanese government bonds was rewarded when the Bank of Japan lifted the cap on its yield curve control measures to 0.5%. Meanwhile, the Fund's exposure to a diversified basket of metals including gold added to performance after China abandoned their zero-Cov-19 protocols and offered increased support to the beleaguered property sector. Elsewhere, the Fund's Australian listed real estate exposure performed well, with the sector regaining a portion of recent losses.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-13.pdfNovember, 2022
The Diversified Real Return Fund returned 0.8% (gross) during November. Over the past year, the Fund has returned 2.5% (gross) and over the past 5 years the Fund has returned 4.8% (gross) per annum compared with the objective of 8.1% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.6% (gross) per annum compared with the objective of 7.6% (CPI plus 5%*).
The continued rally in global equities drove performance during November with the Fund's domestic and global equity exposure the key contributors to return. This contribution was partially offset by the negative performance of the Fund's equity put options.
The Fund's exposure to diversified basket of metals including gold performed well during November as materials saw gains as China softened their COVID protocols and offered support to the property sector. The Fund's fixed income exposure also contributed during November. Bond yields rallied as markets priced the possibility of a pause or slower rate of monetary tightening.
The key detractor from return during the month was the Fund's significant US Dollar exposure. The Fund has direct exposure to the USD as well as a USDCNH call option and emerging market currencies which are closely correlated. These exposures detracted from return as the greenback had its worst month in a decade, giving back a portion of its gains over the past year.
October, 2022
The Diversified Real Return Fund returned 1.2% (gross) during October. Over the past year, the Fund has returned 1.7% (gross) and over the past 5 years the Fund has returned 4.9% (gross) per annum compared with the objective of 8.1% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.6% (gross) per annum compared with the objective of 7.6% (CPI plus 5%*).
The rally in global equities was constructive during October. The Fund's domestic and global equity exposure were the key contributors to return and global equity stock selection contributed to performance as value sectors and securities outperformed their growth peers with a number of US tech giants reporting underwhelming earnings. Conversely, the Fund's global equity put options detracted from return over the month given the strong rally across US and European shares.
Interestingly, the Fund's USDCNH call option performed well despite the People's Bank of China taking measures to slow the Yuan's depreciation in the lead up to October's Communist Party Congress. Elsewhere, the Fund's Australian listed real estate exposure performed well, with the sector regaining a portion of recent losses.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-11.pdfSeptember, 2022
The Diversified Real Return Fund returned 1.2% (gross) in the September quarter. Over the past year, the Fund has returned -0.0% (gross) and over the past 5 years the Fund has returned 4.9% (gross) per annum compared with the objective of 7.7% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.6% (gross) per annum compared with the objective of 7.5% (CPI plus 5%*).
Through another very challenging quarter for financial markets, the Fund's defensive positioning performed well. The Fund's low equity allocation, low duration, elevated cash position and use of downside protection have all contributed throughout a torrid year for equity and bond markets.
The Fund's small global and Australian equity allocation detracted from return as global equity market sold off on recession concerns and aggressive central bank tightening. This was offset by the strong performance of the fund's equity put options which contributed to performance as US and European equities fell.
The Fund's elevated US dollar exposure contributed significantly to returns during the quarter as the greenback strengthened substantially against global peers on both safe haven and increased yield differentials. Alongside direct US dollar exposure, the Fund's USDCNH call options and Australian dollar put options also contributed.
The Fund maintains a small exposure to US and Australian bonds which detracted from performance during the quarter as yields rose on hawkish central bank commentary. The Fund's allocation to commodities and Real Estate Investment Trusts also detracted slightly from absolute returns.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-10.pdfAugust, 2022
The Diversified Real Return Fund returned 0.69% (gross) during August. Over the past year, the Fund has returned -0.16% (gross) and over the past 5 years the Fund has returned 5.10% (gross) per annum compared with the objective of 7.64% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.59% (gross) per annum compared with the objective of 7.29% (CPI plus 5%*).
Key contributors to performance were the USD (outright and through call options against the CNH and AUD), equity alpha and put options on the US and European markets, which completely offset the detraction to performance from global equities. The Fund's modest bond holdings, accumulated at the tail end of the sell-off in the first half of 2022, detracted from performance while REITs, gold and metals were a minor drag on performance.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-9.pdfJuly, 2022
The Diversified Real Return Fund returned 0.3% (gross) during July. Over the past year, the Fund has returned 0.4% (gross) and over the past 5 years the Fund has returned 5.0% (gross) per annum compared with the objective of 7.8% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.6% (gross) per annum compared with the objective of 7.4% (CPI plus 5%*).
It was a month of reversal from the trends in many markets over the first half of 2022. Accordingly, the Fund's positions in global and Australian equities were the most substantial contributors to return during the month. The Fund's equity put options gave back a portion of their recent gains as a result. Equity stock selection also gave back a portion of recent out-performance as growth sectors outperformed value.
The Fund's recently established duration exposure performed well as Australian long-term yields rallied strongly. The Fund's US Dollar (USD) exposure detracted marginally as the Australian Dollar (AUD) performed well. The Fund continues to maintain a significant allocation to cash, actively managed across a number of currencies which defended capital over the first half of 2022 as equity and fixed income markets fell significantly.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-8.pdfJune, 2022
The Diversified Real Return Fund returned -1.3% (gross) in the June quarter. Over the past year, the Fund has returned - 0.1% (gross) and over the past 5 years the Fund has returned 4.9% (gross) per annum compared with the objective of 7.5% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 6.6% (gross) per annum compared with the objective of 7.3% (CPI plus 5%*).
The Fund’s performance was resilient in the context of another strongly negative quarter for equity and fixed income markets. The elevated cash allocation, together with defensive strategies in equity and currency markets and long held bias towards value sectors and securities continued to mitigate the impact of falling equities, widening credit spreads and rising bond yields
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/DRRF-Newsletter-June-2022_FA.pdfDecember, 2021
The Diversified Real Return Fund returned 0.7% (gross ) in the December quarter. Over the past year, the Fund has returned 8.2% (gross), and over the past 5 years the Fund has returned 6.0% (gross ) per annum compared with the objective of 7.1% (CPI plus 5% ) over rolling 5 years
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-7.pdfOctober, 2021
The Diversified Real Return Fund return -0.4% (gross ) for the month of October, over the past year, the Fund has returned 10.8% (gross ) and over the past year the Fund has returned 6.1% ( gross ) per annum compared with the objective of 7.2% (cpi plus 5% over rolling five years )
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-6.pdfSeptember, 2021
The Diversified Real Return Fund returned 1.2% (gross) in the September quarter. Over the past year, the Fund has returned 12 .1% (gross) and over the past 5 years the Fund has returned 6.2% (gross) per annum compared with the objective of 6.9% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 7.2% (gross) per annum compared with the objective of 7.1% (CPI plus 5%*)
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-5.pdfAugust, 2021
The Diversified Real Return Fund returned 1.2% (gross) for the month of August. Over the past year, the Fund has returned 12.2% (gross) and over the past five years the Fund has returned 6.1% (gross) per annum compared with the objective of 7.0% (CPI plus 5%* over rolling five years). Since inception (in 2010) the Fund has returned 7.2% (gross) per annum compared with the objective of 7.1% (CPI plus 5%*).
The key contributor to performance during August was the continued rally in global equities. The Fund's exposure to developed, emerging and Australian equities all performed well, supported by strong earnings results. The Fund's allocation to domestic listed real estate contributed as Australian REITs performed well over the month. Stock selection within Australian equities also contributed to performance with the Fund's Australian equity exposure outperforming the broader market through a robust reporting season.
Global equity stock selection slightly detracted from performance during August. In addition, some of the Fund's portfolio protection positions detracted marginally from performance during the month. These positions continue to offer protection against segments of the market where valuations are most extended.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-4.pdfJuly, 2021
The Diversified Real Return Fund returned -0.1% (gross) for the month of July. Over the past year, the Fund has returned 11.1% (gross) and over the past five years the Fund has returned 6.0% (gross) per annum compared with the objective of 7.0% (CPI plus 5%* over rolling five years). Since inception (in 2010) the Fund has returned 7.2% (gross) per annum compared with the objective of 7.1% (CPI plus 5%*). nificantly
underperformed over the month as increasing regulations, COVID-19 concerns and slowing growth caused a selloff in Chinese stocks emerging market equity allocation remains significantly underweight China which mitigated a portion of the downside. The Fund retains a bias towards value and quality in stock selection and country selection as these are the investments with the best prospects of generating CPI plus 5% over the medium term. This positioning has performed very strongly over the past year. But with long term interest rates falling in July, stock selection and style bias in equities detracted from performance in July.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-3.pdfJune, 2021
The Diversified Real Return Fund returned 2.7% (gross) in the June quarter, Over the past year, the Fund has returned 11.9% (gross) and over the past 5 years the Fund has returned 6.4% (gross) per annum compared with the objective of 70% (CPI plus 5%*) over rolling 5 years. Since inception (in 2010) the Fund has returned 7.2% (gross) per annum compared with the objective of 71% (CPI plus 57?‘).
Once again, the main contributor to performance was the Fund's global and Australian equity allocations. The value bias within equity allocations detracted marginally from performance (following a very strong contribution over the previous quarter) reflecting the stabilisation in government bond markets. The fund’s foreign currency positioning added to performance with the Australian dollar falling against the USD and emerging market currencies late in the quarter.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-1-1.pdfMay, 2021
The Diversified Real Return Fund returned 1.2% (gross) for the month of May. Over the past year, the Fund has returned 10.9% (gross) and over the past five years the Fund has returned 6.1% (gross) per annum compared with the objective of 7.1% (CPI plus 5%* over rolling five years). Since inception (in 2010) the Fund has returned 7.3% (gross) per annum compared with the objective of 7.2% (CPI plus 5%*).
US equities (+0.7%) rose, despite marginally trailing the broader developed market. • France (+4.0%) led European markets from Germany (+1.9%) and the UK (+1.1%) Asian markets were mixed with Korea (+1.8%) and Hong Kong (+2.1%) consolidating recent gains while Japan (+0.2%) moved sideways and Taiwan (-2.8%) fell on resurgent COVID concerns Australian equities (+2.3%) performed well, supported by strong economic tailwinds including a fiscally expansionary Federal budget. In fixed income, credit markets were quiet while global bond yields fell slightly in spite of elevated inflation concerns.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-2.pdfApril, 2021
The Diversified Real Return Fund returned 1.0% (gross) for the month of April. Over the past year, the Fund has returned 10.6% (gross) and over the past five years the Fund has returned 6.1% (gross) per annum compared with the objective of 6.7% (CPI plus 5%* over rolling five years). Since inception (in 2010) the Fund has returned 7.2% (gross) per annum compared with the objective of 6.8% (CPI plus 5%*).The key drivers of return for April were Australian and global equity exposures. Equity markets continue to perform well on expectations of very strong economic growth this year and robust earnings results.
The main detractor from performance was the Fund's foreign currency exposure. The Australian dollar continued to appreciate, supported by surging iron ore prices, while simultaneously, the Fed's aggressive monetary policy puts downward pressure on the US dollar. US equities (+5.4%) rose on robust first quarter earnings results and promising growth indicators. European markets were mixed with the UK (+4.1%) and France (+3.6%) performing strongly while Germany (+0.9%) lagged somewhat.
Performance in Asian markets was led by Taiwan (+7.0%) while Korea (+2.8%) and Hong Kong (+1.3%) also posted gains. Japan (-1.3%) was an outlier in the major developed markets, with a small fall in April. Australian equities (+3.6%) continued to rally, supported by rising iron ore prices and expectations of an ongoing economic recovery.Credit spreads tightened and long-term government bond yields fell modestly after the substantial increase in the March quarter.
The positive macroeconomic outlook outweighed ongoing concerns about the COVID pandemic. Global COVID-19 cases spiked due to a significant surge of the virus in India. By contrast, in Europe and the US, the number of new cases continues to fall and restrictions were relaxed supporting economic growth. The tragic situation in India has, however, raised concerns about new mutations of the virus and created more supply chain pressure on the global vaccine rollout.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp-1.pdfJanuary, 2021
The Diversified Real Return Fund returned -0.3% (gross) for the month of January. Over the past year, the Fund has returned 3.8% (gross) and over the past five years the Fund has returned 5.5% (gross) per annum compared with the objective of 6.76% (CPI plus 5%* over rolling five years). Since inception (in 2010) the Fund has returned 6.9% (gross) per annum compared with the objective of 7.1% (CPI plus 5%*).
The portfolio was impacted by falls in developed global equities during the month. US and European equities fell due to a number of factors including the spread of COVID-19 issues with the vaccine rollout and the fall-out from a retail investor led short squeeze late in January. Stock selection in global and Australian equities also detracted as the recent out-performance of value compared with growth retraced somewhat, supported by stronger than expected US technology earnings. The portfolio benefitted from allocations to Australian and emerging market equities, as these markets recorded small gains over the month.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/704_pfp.pdfasset_class: Multi-Asset
asset_category: Real Return
peer_benchmark: Multi-Asset - Real Return Index
broad_market_index: Multi-Asset Growth Investor Index
manager_contact_details: Array
ticker: PER0556AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
Fund Resources =>Fund Profile
Note:
from the PDF use “Fund Performance”
fund_features:
Perpetual Diversified Real Return Fund invests across a range of strategies, regions and sectors. The Fund targets a pre-tax return of 5% per annum above inflation, before fees and taxes, over rolling five-year periods, while minimising downside risk. It aims to achieve this return with lower levels of volatility than a traditional balanced fund. Diversifying the sources of risk to form a more efficient multi-asset portfolio and seeking to reduce the uncertainty of investment outcomes over the investment horizon and protect returns against inflation.
structure: Managed Fund