December, 2020
The Fund outperformed the benchmark over the month of December. Active positioning contributed very strongly to returns again in December, rounding off a very successful year for active asset allocation in Pendal’s sustainable diversified funds. Our active tilts at the start of December remained risk-on but less so than the prior month, continuing the recent trend in our positioning as selected markets reach expensive extremes.
The portfolio held overweights in a range of under-valued equity markets, underweights in expensive equity markets, and long volatility carry. Fixed income positions are relative value in nature. In commodities, we held long positions in copper and gold. In equities, our active positioning driven by valuation insights held overweights in Mexico’s Bolsa, long positions in the futures of EURO STOXX 50 dividends paid in the calendar year 2024 and FTSE 100 dividends paid in the calendar year 2023 and overweights to both global and Australian listed property, all of which screened amongst the most under-valued markets in the universe which we monitor.
The portfolio was long equity volatility carry through VIX futures. On the other side, we held short positions the Italian FTSE MIB, French CAC 40 and US S&P-500 indices, all of which are considered expensive within our valuation framework. Our trend-following process held an overweight to S&P-500, offsetting the abovementioned valuation underweight.
At the end of the month new trend-driven overweights were initiated in S&P/ASX-200 and STOXX® Europe 600 ESG-X indices. In fixed income, the portfolio was directionally neutral with modest overweights in Australian and Canadian 10-year bonds offset by underweights in German Bunds, US 10-year Notes and UK Gilts. The Australian “3s-10s curve flattener” (which holds a long position in 10-year bond futures combined with a larger notional short position in 3-year bond futures) was held unchanged and we added to the Australian 10s-20s curve flattener. In commodities, the portfolio continued to hold trend-based long positions in copper and gold. Our active positioning at the start of January is more risk-on than in recent months.
The portfolio is positioned with overweights in a range of under-valued equity markets, underweights in expensive equity markets, long equity volatility carry and overweight markets exhibiting strong upward trends. Fixed income positions are relative value in nature. In commodities, we hold long positions in copper and gold.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/163695000.pdfasset_class: Multi-Asset
asset_category: 21-40% Growth Assets - Diversified
peer_benchmark: Multi-Asset - 21-40% Diversified Index
broad_market_index: Multi-Asset Moderate Investor Index
manager_contact_details: Array
ticker: RFA0811AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
https://investmentcentre.moneymanagement.com.au/factsheets/mi/ltc8/pendal-sustainable-conservative
Factsheet
Provider’s own factsheet
fund_features:
Pendal Sustainable Conservative Fund aims to provide a real return over inflation over the medium term to meet the objectives of conservative investors including tax exempt entities whilst screening for investments which meet the Fund’s sustainable guidelines.
- Designed for investors who want the potential for long term capital growth and income, diversification across a broad range of asset classes and are prepared to accept some variability of returns.
- Invests in Australian and international shares, Australian and international property securities, Australian and international fixed interest, cash and alternative investments.
- The Fund may also use derivatives.
- Has a higher weighting towards defensive assets, such as fixed interest and cash.
structure: Managed Fund