December, 2020
The Fund returned 0.03% (pre-fee) for the month of December, underperforming its benchmark, which generated 0.08%. Over the month, the FX, Relative Value and the Yield Curve strategies added to performance, and the Duration strategy detracted while the Cross Market and Macro strategies were roughly flat. The duration strategy detracted this month. Our long duration bias was maintained over the month.
Most of the losses were from the long duration positions in the Australian front end. To a lesser extent the long positions in the New Zealand front end also contributed to losses. In other developed markets, we had long duration positions in the European long end and the US along the curve, with all positions ended the month flat on performance. In the emerging markets, however, our long duration in China added to performance whilst the long position in Korean front end was roughly flat for the month. As of the month end, we kept all our long duration positions in the various markets. The FX strategy performed well and added to performance over the month. We kept long CNH and INR against short TWD while the net USD exposure kept small.
Gains were made in CNH and INR positions. The Macro strategy was roughly flat to performance this month. We remain long Australian credit via selling protection position in the iTraxx Australia contract. The Cross-Market strategy was largely flat this month. Gains were made in the systematic trades, in which the short NZD leg continue to perform well, while other legs were roughly flat on performance. In the month we initiated a new position long Australia against short US with a slightly positive performance for the month. On the flip side, the receiving USD and paying KRW long end trade detracted with most of the losses contributed by the USD leg.
The Yield Curve strategy contributed to performance this month. All gains were from the steepening position in Korea, which was opened last month. The Relative Value strategy added to performance over the month. Gains were from the receiving real yield position in the US. The gains were partially offset by the losses from the buy protection in Brazil CDS against CDX EM index.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/163694964.pdfticker: RFA0032AU
release_schedule: Monthly
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manager_contact_details: Array
asset_class: Fixed Income
asset_category: Bonds - Global
peer_benchmark: Fixed Income - Bonds - Global Index
broad_market_index: Global Aggregate Hdg Index
structure: Managed Fund
fund_features:
Pendal Global Fixed Interest aims to provide a return (before fees, costs and taxes) that exceeds JP Morgan GBI Global Traded hedged to AUD, over the medium term. This Fund is designed for investors who want income and are prepared to accept some variability of returns.
- Does not generally invest directly in traditional international fixed interest securities.
- Gains benchmark returns through an index swap and excess returns through a variety of credit, duration and currency strategies.
- The Fund has assets that are denominated in foreign currencies.
- Foreign currency exposure will generally be fully hedged back to the Australian dollar to the extent considered reasonably practicable.
- Manager Address : Level 14, The Chifley Tower 2 Chifley Square, Sydney NSW 2000, Australia
- Phone : +612 9220 2000
- Website : https://www.pendalgroup.com/
- Contact Email : David.Higgins@pendalgroup.com