September, 2023
July was a strong month for risk assets, with global equities rising 3.2%. Emerging markets led the rally, with China gaining 10% on the back of positive rhetoric by the government around policy support. Technology continued its upward surge but were outpaced by financials and energy equities. The widening of the yield curve control band by the Bank of Japan saw the 10-year government bond yield widen by over 20 basis points, whilst other developed markets saw yield curves steepen on the back of a more constructive economic growth backdrop.August was a tough month for risk assets as a weaker macro-economic backdrop, sticky inflation data and the US credit downgrade by Fitch all weighed on investor sentiment.
Emerging market equities were hit hardest, dragged down by concerns around China. The only sector to end the month in positive territory were energy stocks due to the continued rise in oil prices. The weak performance in September was led by US growth-oriented stocks. From a sector standpoint, energy stocks were the biggest outperformer followed by financials. Bond markets were at the epicentre of market activity, with more hawkish central bank rhetoric leading investor to reprice likelihood of cuts and demand higher term premia which led to a bear steepening of the yield curve across most developed markets. Gold fell 3.7% over the quarter while the US dollar index rose 3.2%. Crude oil sharply increased 28.2% over the quarter.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-21.pdfAugust, 2023
August was a tough month for risk assets, with global equities falling 2.1%. A weaker macro-economic backdrop, sticky inflation data and the US credit downgrade by Fitch all weighed on investor sentiment. Emerging market equities were hit hardest, dragged down by concerns around China. Sectorwise, US banks were hit especially hard following credit downgrades of several banks by S&P & Moody’s. The only sector to end the month in positive territory were energy stocks due to the continued rise in oil prices. For government bonds, the US yield curve steepened, with 10-year yields rising more than the front end. In Europe, yields fell on the back of weaker than expected services PMI data. Meanwhile, Japanese yields rose on the back of a surprising rise in inflation data. The US dollar gained 1.7% over the month, while gold fell 1.3%. Oil rose 2.2% over the month, with Brent Crude oil reaching over $86 a barrel.
Market Returns strategies incurred the bulk of the losses over the period, led by our long European and US equities exposure.
Opportunistic Returns also detracted from performance, albeit to a lesser degree. Long Mexican rates was the primary driver of negative returns, followed by the long copper position. Gains in our long UK rates and long systematic value equity strategies partially offset these losses.
The Risk Reducing Returns section of the portfolio contributed to fund performance, mainly through the long US strong balance sheet equity relative value strategy. Losses in the long Korean rates position dampened this slightly.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-9.pdfJuly, 2023
July was another strong month for risk assets, with global equities rising 3.2%. This time around, it was emerging markets that led the rally, with China gaining 10% on the back of positive rhetoric by the government around policy support. Technology continued its upward surge but were outpaced by financials and energy equities. Key moves in developed bond markets included UK gilts, which rallied considerably at the short end following a large downside surprise in CPI. The widening of the yield curve control band by the Bank of Japan saw the 10-year JGB widen by over 20 basis points. US and European bond markets saw yields moderately fall at short-dated maturities but the curve steepened on the back of a more constructive economic growth backdrop leaving longer-dated yields higher. Commodities surged over the month, led by crude oil as supply concerns lifted prices. Gold rallied 2.7% on the back of a weaker US dollar, with the DXY down 1% over the month.
Market Returns strategies contributed positively to performance this month, led by our long US and European equities exposure.
Opportunistic Returns led the gains at the portfolio level. The long UK rates position was the strongest performer in the fund, followed by short Japanese rates. These gains were partially offset by losses from our short European and long Mexican rates strategies.
The Risk Reducing Returns section of the portfolio incurred losses over the period, mainly through the long US strong balance sheet equity relative value strategy and the newly introduced long South Korean rates position.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-15.pdfJune, 2023
The second quarter followed much of the same trend as in Q1, with broad equity and credit markets experiencing a strong rally. In April, risk assets were largely able to shake off concerns around the banking sector, with value outperforming growth. Meanwhile, emerging market equities posted negative returns as slowing growth concerns within China weighed on equities. Developed market bonds remained relatively rangebound, with the exception of UK yields which widened materially on inflation concerns.May was a negative month for global equities as weaker macroeconomic data and continued sticky core inflation prints weighed on markets. US equity performance was driven largely by tech at the expense of resources and more defensive sectors. European equities fell due to the weaker Chinese economic backdrop. The US debt ceiling standoff, while ultimately resolved, contributed to market uncertainty. Gilts yields continued to rise.June saw a strong rebound in risk assets, led by the US and the tech sector. European and emerging markets lagged on continued weakness of the Chinese economy. The theme for rates was hawkish central bank surprises, with Bank of Canada and Bank of England delivering higher than expected rate hikes to tame inflation. Gold rose 5.2% over the quarter while the US dollar index fell -0.6%. Crude oil fell 12%.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-14.pdfMay, 2023
Global equities closed the month in negative territory as weaker macroeconomic data and continued sticky core inflation prints weighed on investor sentiment. US equities, driven by the strong rally in the tech sector (+10%) returned +0.6% at the expense of resources and more defensive sectors. European equities fell (-2.6%) due to the weaker Chinese economic backdrop. The US debt ceiling standoff, while ultimately resolved, contributed to market uncertainty over the month, resulting in Fitch placing the US on watch for a downgrade and the short-term T-bill rate to spike to 5.9% before coming back down. Following the UK core inflation print, gilt yields continued to rise, with the 2-year yield closing the month at 4.3%. Meanwhile, changes in Bund yields remained relatively muted due to expectations of a slower pace to the ECB hiking cycle, with the 2-year Bund yield closing the month close to where it started at 2.7%.
Market Returns posted losses over the period. Our long European equities detracted most, followed by a modest loss in a now closed long emerging markets (EM) equities position. This was slightly offset by a gain in long US equities.
Opportunistic Returns detracted, with the long UK rates strategy leading the loss, followed by short US rates and long Copper positions. Newly introduced EM rates strategies offered some respite, with both long Mexico and long Brazil rates contributing positively. Losses were further mitigated by gains in our long systematic currencies strategy.
The Risk-Reducing section of the portfolio contributed to fund performance, mainly through the strong balance sheet equity relative value strategy.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-12.pdfApril, 2023
Risk assets were largely able to shake off concerns around the banking sector, with equities and credit continuing their positive streak in April. Value oriented sectors such as energy, financials and consumer staples outperformed their growth counterparts such as technology. Meanwhile, emerging market equities posted negative returns on the back of slowing growth concerns within China. This also weighed on the mining sector.
While concerns around the debt ceiling and US banking sector brought some volatility towards the end of the month, developed market bonds remained relatively rangebound with US and German yields closing the month at roughly the same level it began. UK yields however, widened materially. Gold continued its rally, gaining 1% while the US dollar index lost -0.8%. Crude oil rose 1.5% over the month.
Market Returns contributed positively to fund performance, led by long European equities. This was followed by our long US equities position, whilst long global convertibles slightly offset this with a modest loss. Opportunistic Returns posted losses over the period. Our long resources position detracted the most, followed by the long European systematic value and to a lesser extent by the recently re-opened long UK rates strategies. Losses were mitigated by gains in short US rates and long European dividends positions.
The Risk-Reducing section of the portfolio contributed to fund performance, mainly through the strong balance sheet equity relative value strategy.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-10.pdfFebruary, 2023
Markets largely reversed January’s gains in February, as strong inflation and economic data raised expectations of more restrictive monetary policy actions. Equity losses were led by China and emerging markets; meanwhile, the announcement of a Brexit deal between the UK and EU helped boost investor sentiment and resulted in positive headline performance across both markets. Developed bond market yields rose, with the 2-year UST and Bund yields rising 61bps and 48bps to 4.8% and 3.1%, respectively. Japanese 10-year bond yields closed the month largely unchanged as the incoming head of the BoJ gave the market little direction on future policy changes. Higher yields and general risk off sentiment saw a rally in the US dollar and slump in gold. Commodity prices across the board fell on the back of expected lower demand.
Market returns detracted from performance this month, led by our long US and emerging market equities exposures. Long global convertibles detracted more moderately, while long UK equities posted a small gain. Opportunistic Returns once again led the gains this month. Our short European rates was the strongest performer at fund level, followed to a lesser extent by the long defense equity relative value strategy. These gains were offset by losses from our long resources equity relative value strategy, as well as the now-closed long UK rates position.
The Risk-Reducing section of the portfolio also experienced a drag on performance due to the long Japanese yen v UK sterling position. This was partially offset by gains in our strong balance sheet equity relative value strategy.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-8.pdfJanuary, 2023
Markets had a strong start to the year, with risk assets and bonds posting strong gains in January. Investor sentiment was boosted by signs of lower energy prices, slowing inflation and therefore expectations of lower rate hikes across major central banks. From a regional perspective, European and emerging market equities led the rally, the latter boosted by continued reopening in China. Sector-wise, cyclical sectors outperformed more defensive sectors, with the Nasdaq up almost 11% over the month. Developed market bond yields fell, particularly on the longer end as recession fears continued to mount, causing further inversion of the yield curve. The one exception was the Japanese bond market, which saw the 10-year yield break through the 50bp band. The US dollar continued to weaken while gold rallied 5.7%. Oil closed the month down 1.7%.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-6-1.pdfDecember, 2022
October saw strong gains across most risk assets, driven by speculation central banks would ease their rate hiking cycle alongside a seeming resolution in the UK market with the fiscal package U-turn and change in leadership. However, weakness in Chinese equities weighed on emerging markets. Despite hopes for a pivot, US and European central banks remained on course given continued elevated inflation data and developed market yields, with the exception of UK, continued to rise.November saw a continuation of the strong risk rally.Contrary to September, emerging market equities was the outperformer as China began plans to roll back its zero Covid strategy. Bond markets largely rallied as investors to price in a slower pace of hikes, primarily by the US Fed.December reversed some of those gains as growing recession risks weighed on investor sentiment. The exception was emerging markets, where China’s lift of its COVID restrictions brought a more positive outlook to equities. Bonds sold off as hawkish rhetoric across US and European central banks drove yields higher. UK gilts underperformed despite a more dovish BoE; meanwhile, the Bank of Japan surprised markets with an unexpected widening of its yield curve control band by 25bp (now +/- 50bp), driving yields sharply higher. Over the quarter, expectations of a US Fed pivot saw US dollar strength take pause and weaken by 8%. Meanwhile, gold rallied 10%. Growth concerns saw crude oil prices close up 1% over the period.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-7.pdfNovember, 2022
November saw a continuation of the strong risk rally seen last month, driven by signs that inflation may have started to peak in key economic areas, such as the US and Euro Area. Contrary to last month, emerging market equities was the outperformer amid signs that China was starting to roll back its draconian zero Covid strategy. Bond markets largely experienced a boost as lower inflation data led investors to price in a slower pace of hikes, primarily by the US Fed. On the back of this, the US dollar saw a continued weakening following the strong rally through the year, falling 5% over the month. Gold, on the hand, rallied over 8%; meanwhile crude oil fell by 7% over the month.
Market Return strategies contributed to fund performance, with all strategies posting gains. UK equities was the strongest performer, followed by long European high yield credit and long European equities.
Opportunistic Returns led the gains at portfolio level, with long UK rates the strongest performer over the month. Long European dividends, resources equity relative value and short volatility positions also contributed positively. The only detractor was the short European rates strategy.
The Risk-Reducing section of the portfolio detracted modestly from performance. While the strong balance sheet equity relative value position posted gains, these were more than offset by losses in the now closed short basket of Asian currencies, alongside the long US dollar currency position versus UK sterling
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-5-1.pdfOctober, 2022
Following the sell-off in September, October saw strong gains across risk assets, driven by speculation that central banks could potentially ease their rate hiking cycle alongside a seeming resolution in the UK market following the fiscal package U-turn and subsequent resignation of PM Liz Truss.
European and US stocks outperformed; meanwhile, weakness in Chinese equities saw its index fall 16%, weighing on emerging market equities.
Despite hopes for a pivot, US and European central banks seem to remain on course, their stance supported by stronger than expected inflation data.
Developed market bond yields rose over the month, with the exception of UK Gilts as events leading up to Rishi Sunak’s appointment as prime minister saw its best monthly performance since January 2020.
Expectations of a US Fed pivot saw US dollar strength take pause, down 0.5%. This, alongside OPEC’s production cuts saw a sharp +8% rebound in crude oil. Gold fell 1.6% over the month
Market Return strategies contributed to fund performance, with all strategies posting gains. US equities led the gains, followed by European equities and high yield credit.
Opportunistic Returns also generated gains, led by the newly introduced long UK rates strategy and followed by the US and European systematic value equities and long European dividends positions. On the other hand, the short European rates and long resource equities strategies detracted.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-5.pdfSeptember, 2022
The third quarter started off strong for risky assets as prospects of easier monetary policy saw global equities surge in July. The S&P broke its record for the biggest post-FOMC gain despite a 75-basis point hike as markets priced in a more dovish tilt by the US Fed. Developed bond market yields tightened considerably on the changing narrative of recession risks away from inflation concerns, especially the longer-dated maturities which led to another inversion of the yield curve.
August was a tale of two halves for risky assets, initially building on the gains from July and optimism that peak inflation was likely behind us. However, hawkish rhetoric leading up to and during the Jackson Hole central bank conference dampened investor. Developed bond market yields rose sharply, particularly at the front end of the curve, causing further inversion of the US and German yield curves.
The continuation of hawkish central bank rhetoric in September to stem inflation alongside Europe’s energy supply concerns and market turmoil following the UK government’s mini-budget announcement induced strong risk-off moves in risky assets. Developed bond markets had a particularly volatile month, with the spotlight on the UK Gilts market, where the 2-year gilt yield rose a record 160bps to peak at 4.6% before the Bank of England intervention allowed it to settle the month at 4.2%.
Growth concerns saw crude oil prices fall 25% over the quarter, the US dollar climb another 7% while gold fell by 8%.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-3-1.pdfAugust, 2022
Shorter term we expect the slowing economic data to dominate sentiment even if longer term we still expect that the Fed will need to raise rates by more than market pricing to contain inflation. Higher sovereign bond yields still appear to be the most likely direction of travel. Our constructive medium-term outlook for selective equities remains, with the focus on position management to adjust for the current risk landscape. At portfolio level, we maintain our relatively low equity positioning, but rebalanced the risk away from emerging markets and European exposure towards US equities where we hold greater conviction. While taking some profit this month, we continue to maintain preference for value versus growth. Given high levels of implied volatility, we have retained our short volatility positions but these are materially smaller than earlier in the year.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-1-1.pdfJuly, 2022
Prospects of easier monetary policy along with short term oversold conditions and poor sentiment (a contrary indicator) saw global equities surge in July, with the S&P breaking its record for the biggest post-FOMC gain despite a 75-basis point hike as markets priced in a more dovish tilt by the US Fed. Tech and consumer discretionary were the biggest winners at the expense of more defensive sectors such as healthcare and consumer staples. Developed bond market yields tightened considerably on the changing narrative of recession risks away from inflation concerns, especially the longer-dated maturities which led to yet another inversion of the yield curve this year. Correspondingly, commodity prices also experienced a pull back, notably in energy. Despite weakening in the second half, the US dollar still ended the month 1.2% higher while gold declined 2.3%. Market Return strategies made strong positive contribution to fund performance, led predominantly by the long US equities position. All strategies except long oil & gas and long resource equities posted gains over the period.
Opportunistic Returns detracted over the month. Our short Japanese duration and short US and Indian rates positions gave back some of their previous gains and value-oriented equity relative value strategies also dragged on performance. Meanwhile, the short volatility position and long building efficiency relative value strategy helped offset some of the losses. The Risk-Reducing section of the portfolio posted a small loss. While the long US strong balance sheet equity relative value strategy generated positive performance, the discretionary option hedges more than offset those gains.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-4-1.pdfJune, 2022
To achieve a 5% per annum gross return above the Reserve Bank of Australia Cash Rate (or equivalent) over a 3-year rolling period, regardless of market conditions (absolute return).
Performance basis: NET OF FEES, COSTS, TAXES. Mirrors Australian Dollar Hedged ‘F’ Share Class of the Aviva Investors Multi-Strategy Target Return Fund, a sub-fund of Aviva Investors SICAV. The Fund’s performance is measured against the Reserve Bank of Australia Cash Rate + 5%. *Financial year-to-date. The financial year runs from 1 July to 30 June.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-3.pdfMay, 2022
Following an initial decline, global equities were able to claw back most of the losses through the month of May. The bulk of the gains occurred in the last full week of May, breaking an eight-week losing streak as speculation of less aggressive rate hikes by the US Fed alongside easing COVID restrictions in China buoyed investor sentiment; but it was not enough to bring returns into positive territory. The trend of value and energy outperformance versus growth continued. US bond yields tightened over the month as investors turned their attention to the weakening growth outlook and increasing recession risks. Meanwhile in Europe, German bund yields widened on the back of increasingly hawkish ECB rhetoric. Oil continued its move higher on increased European sanctions on Russian oil imports as well as reports of tighter than expected US supply. The US dollar gave back some of its gains while gold experienced another month of declines. Market Return strategies generated strong positive contribution to fund performance. Equities led the gains, most notably through our position in European banks, US equities and oil & gas stocks. All strategies except long global convertibles generated gains.
Opportunistic Returns detracted, led primarily by the long Australian vs US rates and short US rates positions. Most of those losses were offset by gains in short volatility, systematic value equities and short Indian rates strategies.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-2-2.pdfApril, 2022
The Fund only invests in the Australian Dollar Hedged ‘F’ Share Class of the Aviva Investors Multi-Strategy Target Return Fund, a sub-fund of Aviva Investors SICAV, an open-ended investment company incorporated as a Société d’Investissement à Capital Variable in Luxembourg (the“Underlying Fund”).
The Fund may also hold cash and equivalents. Any references to the “Fund” in the document shall mean the Underlying Fund except in the Key facts, Performance and Additional information sections. Objective: To achieve a 5% per annum gross return above the Reserve Bank of Australia Cash Rate (or equivalent) over a 3-year rolling period, regardless of market conditions (absolute return). The Underlying Fund invests mainly in equities, bonds, money market instruments and bank deposits from anywhere in the world. It may also invest in regulated Funds and makes extensive use of derivatives for investment purposes. The Underlying Fund Investment Manager actively makes the investment selection decisions for the Underlying Fund.
For full investment objectives please refer to the Underlying Fund’s prospectus and to the Fund’s PDS, both of which are available on the Investment Manager’s website.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-tr-factsheet-3.pdfFebruary, 2022
Risk assets continued their downward trend from January. Most of the weakness was driven in the final week following the outbreak of war. Investor sentiment was already low amidst rising bond yields and expectations of hawkish central bank actions. For developed bond markets, it was a tale of two halves, with yields rising notably in the first half on inflation concerns but quickly reversing on news of Russian invasion into Ukraine later in the month. Emerging market bond spreads rose sharply in the final week, close to peak levels traded during the COVID crisis. The US dollar index ended the month flat after a meaningful decline at the start of the month. Oil continued its surge and gold, which served as a safe haven amidst the geopolitical uncertainty, also rose over the month. Given the challenging market backdrop, Market Return strategies detracted from fund performance, led primarily by US equities and, to a lesser extent, European equities. Meanwhile, UK and emerging market equities posted small gains.
Opportunistic Returns delivered another month of positive return for the Fund. Key contributors included gold, short US rates as well long Australian vs US rates relative value position. Value and healthcare equity relative value strategies also performed well. The UK yield curve steepener, a position we trimmed over the month, was the main detractor.
The Risk-Reducing section of the portfolio posted losses. The short emerging market currency basket, a position we closed during the month, detracted most while the long Chinese rates position gave back its gains from the previous period.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-6.pdfJanuary, 2022
Risk assets tumbled in January as hawkish rhetoric by central banks, rising bond yields and growing geopolitical tensions stemming from the RussiaUkraine stand-off weighed on investor confidence. Equity markets witnessed a strong rotation from growth into value, with European and emerging market equities outperforming their US counterpart. Developed bond markets saw a rise in rates but more notably a flattening of the yield curve, particularly in the US, as markets priced in greater likelihood of multiple rate hikes. The one exception was China, where bond yields fell over the month. The US dollar index closed the month higher; oil continued its surge while gold suffered on the back of rising real yields.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-4.pdfDecember, 2021
The fund ended the quarter in positive territory, with all three sections of the portfolio posting gains. On aggregate, Market Returns led the gains, followed by Opportunistic Returns while Risk-Reducing strategies posted moderate gains despite the positive market backdrop.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update.pdfNovember, 2021
Global equities were up almost 2% at one point during November but ended down about 2.5% as they reacted to the discovery of the new COVID variant Omicron. Global bonds served as traditional safe havens with yields falling on the news. The Fund registered a negative return, with Opportunistic and Market Returns detracting while Risk-Reducing contributed positively to fund performance.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-2-1.pdfOctober, 2021
The Fund only invests in the Australian Dollar Hedged ‘F’ Share Class of the Aviva Investors Multi-Strategy Target Return Fund, a sub-fund of Aviva Investors SICAV, an open-ended investment company incorporated as a Société d’Investissement à Capital Variable in Luxembourg (the “Underlying Fund”). The Fund may also hold cash and equivalents. Any references to the “Fund” in the document shall mean the Underlying Fund except in the Key facts, Performance and Additional information sections. Objective: To achieve a 5% per annum gross return above the Reserve Bank of Australia Cash Rate (or equivalent) over a 3-year rolling period, regardless of market conditions (absolute return). The Underlying Fund invests mainly in equities, bonds, money market instruments and bank deposits from anywhere in the world. It may also invest in regulated Funds and makes extensive use of derivatives for investment purposes. The Underlying Fund Investment Manager actively makes the investment selection decisions for the Underlying Fund. For full investment objectives please refer to the Underlying Fund’s prospectus and to the Fund’s PDS, both of which are available on the Investment Manager’s website. Recommendation: this Fund is designed for investors who plan to invest for at least 5 years.
Strategy: To produce steady returns in all market conditions while seeking to preserve capital by investing only in the Underlying Fund which in turn uses a multi-strategy approach, combining a range of global investment ideas. The ideas are implemented as strategies within the Underlying Fund. Some strategies are expected to perform well when financial markets rise, others when they fall, and a third group which look to generate returns while being indifferent to the direction markets take. The Underlying Fund strives to meet its objectives irrespective of the performance of a benchmark or peers, making significant use of derivatives. Where derivatives do not perform as expected or in adverse market conditions, the Underlying Fund, and so the Fund, could suffer substantial losses
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-tr-factsheet-1-1.pdfSeptember, 2021
The fund ended the quarter with a moderate loss. Opportunistic Returns posted gains, but this was more than offset by underperformance in Market Return and Risk-Reducing strategies.
Within Market Returns, the portfolio remains constructive on risk assets. Equities make up the bulk of the allocation, implemented predominantly via option-based structures that add elements of convexity to the portfolio’s return profile.
As outlined above, we prefer to express our pro-cyclical view via the volatility market, which sits within the Opportunistic section of the portfolio. Other high conviction positions we hold are long energy equities vs Market, long gold, and short US and Polish bonds strategies. We continue to use tail-hedging option structures and discretionary hedging strategies for capital preservation within the Risk-Reducing section of the portfolio. This month we introduced a defensive safe haven currency as well as an equity relative value strategy for additional portfolio protection. We maintain our long duration position in Chinese rates.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-1.pdfAugust, 2021
Following the more subdued rally in July, risk assets accelerated higher in August, with strong equity performance across regions. The portfolio generated positive performance against this backdrop, with Market Returns driving most of the gains. Risk-Reducing returns were broadly flat while Opportunistic Returns detracted.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-trf-monthly-update-2.pdfJuly, 2021
The Fund only invests in the Australian Dollar Hedged ‘F’ Share Class of the Aviva Investors Multi-Strategy Target Return Fund, a sub-fund of Aviva Investors SICAV, an open-ended investment company incorporated as a Société d’Investissement à Capital Variable in Luxembourg (the “Underlying Fund”). The Fund may also hold cash and equivalents. Any references to the “Fund” in the document shall mean the Underlying Fund except in the Key facts, Performance and Additional information sections. Objective: To achieve a 5% per annum gross return above the Reserve Bank of Australia Cash Rate (or equivalent) over a 3-year rolling period, regardless of market conditions (absolute return).
The Underlying Fund invests mainly in equities, bonds, money market instruments and bank deposits from anywhere in the world. It may also invest in regulated Funds and makes extensive use of derivatives for investment purposes. The Underlying Fund Investment Manager actively makes the investment selection decisions for the Underlying Fund. For full investment objectives please refer to the Underlying Fund’s prospectus and to the Fund’s PDS, both of which are available on the Investment Manager’s website. Recommendation: this Fund is designed for investors who plan to invest for at least 5 years.
Strategy: To produce steady returns in all market conditions while seeking to preserve capital by investing only in the Underlying Fund which in turn uses a multi-strategy approach, combining a range of global investment ideas. The ideas are implemented as strategies within the Underlying Fund. Some strategies are expected to perform well when financial markets rise, others when they fall, and a third group which look to generate returns while being indifferent to the direction markets take. The Underlying Fund strives to meet its objectives irrespective of the performance of a benchmark or peers, making significant use of derivatives.
Where derivatives do not perform as expected or in adverse market conditions, the Underlying Fund, and so the Fund, could suffer substantial losses.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/aims-tr-factsheet.pdfMay, 2021
The Fund only invests in the Australian Dollar Hedged ‘F’ Share Class of the Aviva Investors Multi-Strategy Target Income Fund, a sub-fund of Aviva Investors SICAV, an open-ended investment company incorporated as a Société d’Investissement à Capital Variable in Luxembourg (the “Underlying Fund”).
The Fund may also hold cash and equivalents. Any references to the “Fund” in the document shall mean the Underlying Fund except in the Key facts, Performance and Additional information sections.
Objective:
To achieve a 4% per annum gross return above the Reserve Bank of Australia Cash Rate (or equivalent) over a 3-year rolling period, regardless of market conditions (absolute return). The Underlying Fund invests mainly in equities, bonds, money market instruments and bank deposits from anywhere in the world. It may also invest in regulated Funds and makes extensive use of derivatives for investment purposes.
The Underlying Fund Investment Manager actively makes the investment selection decisions for the Underlying Fund. For full investment objectives please refer to the Underlying Fund’s prospectus and to the Fund’s PDS, both of which are available on the Investment Manager’s website. Recommendation: this Fund is designed for investors who plan to invest for at least 5 years.
Strategy:
To produce steady returns in all market conditions while seeking to preserve capital, by investing only in the Underlying Fund which in turn uses a multi-strategy approach, combining a range of global investment ideas. The ideas are implemented as strategies within the Underlying Fund. Some strategies are expected to perform well when financial markets rise, others when they fall, and a third group which look to generate returns while being indifferent to the direction markets take.
The Underlying Fund strives to meet its objectives irrespective of the performance of a benchmark or peers, making significant use of derivatives. Where derivatives do not perform as expected or in adverse market conditions, the Underlying Fund, and so the Fund, could suffer substantial losses.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/173679372.pdfApril, 2021
The Fund only invests in the Australian Dollar Hedged ‘F’ Share Class of the Aviva Investors Multi-Strategy Target Income Fund, a sub-fund of Aviva Investors SICAV, an open-ended investment company incorporated as a Société d’Investissement à Capital Variable in Luxembourg (the “Underlying Fund”). The Fund may also hold cash and equivalents. Any references to the “Fund” in the document shall mean the Underlying Fund except in the Key facts, Performance and Additional information sections. Objective: To achieve a 4% per annum gross return above the Reserve Bank of Australia Cash Rate (or equivalent) over a 3-year rolling period, regardless of market conditions (absolute return). The Underlying Fund invests mainly in equities, bonds, money market instruments and bank deposits from anywhere in the world. It may also invest in regulated Funds and makes extensive use of derivatives for investment purposes. The Underlying Fund Investment Manager actively makes the investment selection decisions for the Underlying Fund. For full investment objectives please refer to the Underlying Fund’s prospectus and to the Fund’s PDS, both of which are available on the Investment Manager’s website.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/172022413.pdfNovember, 2020
November began with all focus placed on the US election which concluded in a Biden presidency. Investors’ attention quickly shifted, however, to the more favourable news related to COVID-19 vaccine developments, with a number of healthcare companies releasing very encouraging signs on the effectiveness of their vaccines. This kickstarted one of the strongest ever rallies in risk assets.
At sector level, cyclicals and commodities led the charge while, regionally, Europe stood out as one of the clear outperforms. Inflation expectations rose over the month while the US dollar weakened against the more positive backdrop. Bond yields ex-US also marched higher. Market Returns made the largest positive contribution to overall Fund performance. Much of the strong upside was captured by strategies aligned with our longer-term view of a return to a more “normal” world. This accelerated further following the US elections and positive vaccine headlines.
Long global equity income and European equity strategies were the biggest contributors, followed closely by long European and US high yield credit positions. Opportunistic Returns also contributed positively, led by long Value equities vs Market and long semiconductor equity strategies. However, the more defensive US and EU good balance sheet positions detracted.
Within currencies, our long euro and Mexican peso positions generated gains which were partially offset by losses in the long gold position. Risk-Reducing strategies detracted modestly. The main movements took place in duration strategies, with gains in long US rates partially offsetting losses registered by the long Chinese and Australian rates positions.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/163021220.pdfticker: PIM0037AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
Resources -> Factsheets & Highlights -> download “AIMS Target Return Monthly Highlights” PDF
in the PDF grab
asset_class: Alternatives
asset_category: Macro
peer_benchmark: Alternatives - Macro Index
broad_market_index: Credit Suisse AllHedge Global Macro Index
fund_features:
The Fund aims to provide a positive total return under all market conditions over the medium to long term. The investment objective of the Fund is to target a gross return in Australian Dollars of 5% per annum above the Reserve Bank of Australia cash rate over three year rolling periods, regardless of market conditions.
- To achieve its investment objectives, the Fund typically will be fully invested in the Australian Dollar currency hedged ‘F’ share class of the Aviva Investors Multi-Strategy Target Return Sub-Fund of Aviva Investors Société d’Investissement à Capital Variable (the Underlying Fund) or in cash or cash equivalents. Multi Strategy
manager_contact_details: Array
structure: Managed Fund