September, 2023
The zero-duration daily liquidity Coolabah Short Term Income Fund (FRNS) ended September with an annualised yield to call/maturity of 5.55% pa, a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of AA. In September, FRNS returned 0.49% gross (0.43% net), outperforming the FE Cash Enhanced Index (0.23%), the RBA Overnight Cash Rate (0.32%), the BetaShares High Interest Cash (AAA) ETF (0.33%), the AusBond Bank Bill Index (0.34%), and the AusBond Credit FRN Index (0.37%). Over the previous 12 months, FRNS returned 6.25% pa gross (5.21% pa net), outperforming the RBA Overnight Cash Rate (3.47% pa), the AusBond Bank Bill Index (3.56% pa), the BetaShares High Interest Cash (AAA) ETF (3.65% pa), the FE Cash Enhanced Index (4.04% pa), and the AusBond Credit FRN Index (4.63% pa).
Since the inception of FRNS 9 years ago in October 2014, it has returned 3.67% pa gross (2.69% pa net), outperforming the RBA Overnight Cash Rate (1.43% pa), the AusBond Bank Bill Index (1.63% pa), the FE Cash Enhanced Index (1.75% pa), the BetaShares High Interest Cash (AAA) ETF (1.87% pa), and the AusBond Credit FRN Index (2.46% pa). Since inception, FRNS's Sharpe Ratio, which measures risk-adjusted returns, has been 2.59x gross (1.50x net). While FRNS's return volatility since inception has been low at around 0.84% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-9.pdfAugust, 2023
The zero-duration daily liquidity Smarter Money Higher Income Fund (SMHI) ended August with an annualised yield to call/maturity of 5.36% pa, a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of AA. In August, SMHI returned 0.57% gross (0.51% net), outperforming the RBA Overnight Cash Rate (0.34%), the BetaShares High Interest Cash (AAA) ETF (0.35%), the AusBond Bank Bill Index (0.37%), the FE Cash Enhanced Index (0.44%), and the AusBond Credit FRN Index (0.46%). Over the previous 12 months, SMHI returned 6.00% pa gross (4.97% pa net), outperforming the RBA Overnight Cash Rate (3.33% pa), the AusBond Bank Bill Index (3.37% pa), the BetaShares High Interest Cash (AAA) ETF (3.51% pa), the FE Cash Enhanced Index (3.91% pa), and the AusBond Credit FRN Index (4.38% pa).
Since the inception of SMHI 8.9 years ago in October 2014, it has returned 3.65% pa gross (2.67% pa net), outperforming the RBA Overnight Cash Rate (1.40% pa), the AusBond Bank Bill Index (1.60% pa), the FE Cash Enhanced Index (1.74% pa), the BetaShares High Interest Cash (AAA) ETF (1.85% pa), and the AusBond Credit FRN Index (2.44% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.58x gross (1.49x net). While SMHI's return volatility since inception has been low at around 0.85% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-8.pdfJuly, 2023
The zero-duration daily liquidity Smarter Money Higher Income Fund (SMHI) ended July with an annualised yield to call/maturity of 5.49% pa, a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of AA. In July, SMHI returned 0.92% gross (0.78% net), outperforming the RBA Overnight Cash Rate (0.34%), the BetaShares High Interest Cash (AAA) ETF (0.36%), the FE Cash Enhanced Index (0.37%), the AusBond Bank Bill Index (0.37%), and the AusBond Credit FRN Index (0.46%). Over the previous 12 months, SMHI returned 5.91% pa gross (4.89% pa net), outperforming the RBA Overnight Cash Rate (3.14% pa), the AusBond Bank Bill Index (3.15% pa), the BetaShares High Interest Cash (AAA) ETF (3.32% pa), the FE Cash Enhanced Index (3.56% pa), and the AusBond Credit FRN Index (4.26% pa).
Since the inception of SMHI 8.8 years ago in October 2014, it has returned 3.62% pa gross (2.64% pa net), outperforming the RBA Overnight Cash Rate (1.38% pa), the AusBond Bank Bill Index (1.58% pa), the FE Cash Enhanced Index (1.70% pa), the BetaShares High Interest Cash (AAA) ETF (1.83% pa), and the AusBond Credit FRN Index (2.41% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.56x gross (1.48x net). While SMHI's return volatility since inception has been low at around 0.85% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-7.pdfJune, 2023
The zero-duration daily liquidity Smarter Money Higher Income Fund (SMHI) ended June with an annualised yield to call/maturity of 5.61% pa, a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of AA. In June, SMHI returned 0.77% gross (0.65% net), outperforming the AusBond Bank Bill Index (0.30%), the RBA Overnight Cash Rate (0.32%), the FE Cash Enhanced Index (0.33%), the BetaShares High Interest Cash (AAA) ETF (0.34%), and the AusBond Credit FRN Index (0.41%). Over the previous 12 months, SMHI returned 5.25% pa gross (4.32% pa net), outperforming the RBA Overnight Cash Rate (2.89% pa), the AusBond Bank Bill Index (2.89% pa), the BetaShares High Interest Cash (AAA) ETF (3.07% pa), the FE Cash Enhanced Index (3.33% pa), and the AusBond Credit FRN Index (4.03% pa).
Since the inception of SMHI 8.7 years ago in October 2014, it has returned 3.54% pa gross (2.57% pa net), outperforming the RBA Overnight Cash Rate (1.35% pa), the AusBond Bank Bill Index (1.55% pa), the FE Cash Enhanced Index (1.67% pa), the BetaShares High Interest Cash (AAA) ETF (1.81% pa), and the AusBond Credit FRN Index (2.38% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.50x gross (1.42x net). While SMHI's return volatility since inception has been low at around 0.85% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-6.pdfMay, 2023
The zero-duration daily liquidity Smarter Money Higher Income Fund (SMHI) ended May with an annualised yield to call/maturity of 5.29% pa, a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of AA. In May, SMHI returned 0.44% gross (0.38% net), outperforming the AusBond Bank Bill Index (0.29%), the FE Cash Enhanced Index (0.33%), the RBA Overnight Cash Rate (0.34%), and the BetaShares High Interest Cash (AAA) ETF (0.35%). Over the previous 6 months, SMHI returned 3.14% gross (2.65% net), outperforming the AusBond Bank Bill Index (1.65%), the RBA Overnight Cash Rate (1.67%), the BetaShares High Interest Cash (AAA) ETF (1.75%), and the FE Cash Enhanced Index (2.01%).
Since the inception of SMHI 8.6 years ago in October 2014, it has returned 3.48% pa gross (2.52% pa net), outperforming the RBA Overnight Cash Rate (1.33% pa), the AusBond Bank Bill Index (1.53% pa), the FE Cash Enhanced Index (1.65% pa), and the BetaShares High Interest Cash (AAA) ETF (1.78% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.45x gross (1.39x net). While SMHI's return volatility since inception has been low at around 0.86% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-5.pdfApril, 2023
The zero-duration daily liquidity Smarter Money Higher Income Fund (SMHI) ended April with an annualised yield to call/maturity of 4.92% pa, a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of A. In April, SMHI returned 0.64% gross (0.53% net), outperforming the RBA Overnight Cash Rate (0.27%), the BetaShares High Interest Cash (AAA) ETF (0.28%), and the AusBond Bank Bill Index (0.30%). Over the previous 6 months, SMHI returned 3.48% gross (2.99% net), outperforming the RBA Overnight Cash Rate (1.56%), the AusBond Bank Bill Index (1.60%), and the BetaShares High Interest Cash (AAA) ETF (1.64%).
Since the inception of SMHI 8.6 years ago in October 2014, it has returned 3.47% pa gross (2.50% pa net), outperforming the RBA Overnight Cash Rate (1.30% pa), the AusBond Bank Bill Index (1.51% pa), and the BetaShares High Interest Cash (AAA) ETF (1.76% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.45x gross (1.39x net). While SMHI's return volatility since inception has been low at around 0.86% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-4.pdfMarch, 2023
The zero-duration daily liquidity Smarter Money Higher Income Fund (SMHI) returned 0.33% gross (0.27% net) month to date as of 13-April. In March, SMHI returned 0.09% gross (0.03% net), compared to the AusBond Bank Bill Index (0.28%), the RBA Overnight Cash Rate (0.29%), and the BetaShares High Interest Cash (AAA) ETF (0.31%). SMHI ended March with an annualised yield to call/maturity of 4.96% pa, a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of A. Over the 3 months to 13-April, SMHI returned 1.49% gross (1.20% net), outperforming the RBA Overnight Cash Rate (0.82%), the AusBond Bank Bill Index (0.82%), and the BetaShares High Interest Cash (AAA) ETF (0.85%).
Since the inception of SMHI 8.5 years ago in October 2014, it has returned 3.42% pa gross (2.46% pa net), outperforming the RBA Overnight Cash Rate (1.28% pa), the AusBond Bank Bill Index (1.49% pa), and the BetaShares High Interest Cash (AAA) ETF (1.74% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.42x gross (1.36x net). While SMHI's return volatility since inception has been low at around 0.86% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/Performance-Report.pdfFebruary, 2023
The zero-duration daily liquidity Smarter Money Higher Income Fund (SMHI) ended February with a yield to call/maturity of 5.32%, a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of A. In February, SMHI returned 0.71% gross (0.58% net), outperforming the AusBond Bank Bill Index (0.24%), the RBA Overnight Cash Rate (0.25%), the BetaShares High Interest Cash (AAA) ETF (0.26%), the FE Cash Enhanced Index (0.33%), and the AusBond Credit FRN Index (0.43%). Over the previous 3 months, SMHI returned 1.95% gross (1.68% net), outperforming the AusBond Bank Bill Index (0.76%), the RBA Overnight Cash Rate (0.76%), the BetaShares High Interest Cash (AAA) ETF (0.80%), the FE Cash Enhanced Index (1.02%), and the AusBond Credit FRN Index (1.20%).
Since the inception of SMHI 8.4 years ago in October 2014, it has returned 3.45% pa gross (2.48% pa net), outperforming the RBA Overnight Cash Rate (1.26% pa), the AusBond Bank Bill Index (1.47% pa), the FE Cash Enhanced Index (1.58% pa), the BetaShares High Interest Cash (AAA) ETF (1.72% pa), and the AusBond Credit FRN Index (2.30% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.50x gross (1.43x net). While SMHI's return volatility since inception has been low at around 0.86% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-3.pdfJanuary, 2023
The zero-duration and daily liquidity Smarter Money Higher Income Fund (SMHI) ended January with a yield to call/maturity of 5.02%, a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A. In January, SMHI returned 0.54% gross (0.46% net), outperforming the RBA Overnight Cash Rate (0.27%), the AusBond Bank Bill Index (0.27%), the BetaShares High Interest Cash (AAA) ETF (0.28%), the FE Cash Enhanced Index (0.37%), and the AusBond Credit FRN Index (0.42%). Over the previous 3 months, SMHI returned 2.01% gross (1.82% net), outperforming the RBA Overnight Cash Rate (0.74%), the AusBond Bank Bill Index (0.77%), the BetaShares High Interest Cash (AAA) ETF (0.78%), the FE Cash Enhanced Index (1.06%), and the AusBond Credit FRN Index (1.19%).
Since the inception of SMHI 8.3 years ago in October 2014, it has returned 3.39% pa gross (2.43% pa net), outperforming the RBA Overnight Cash Rate (1.24% pa), the AusBond Bank Bill Index (1.45% pa), the FE Cash Enhanced Index (1.55% pa), the BetaShares High Interest Cash (AAA) ETF (1.71% pa), and the AusBond Credit FRN Index (2.27% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.45x gross (1.39x net). While SMHI's return volatility since inception has been low at around 0.86% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-2.pdfDecember, 2022
The zero-duration and daily liquidity Smarter Money Higher Income Fund (SMHI) ended December with a yield to call/maturity of 5.32%, a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A. In December, SMHI returned 0.68% gross (0.63% net), outperforming the RBA Overnight Cash Rate (0.24%), the AusBond Bank Bill Index (0.25%), the BetaShares High Interest Cash (AAA) ETF (0.26%), the FE Cash Enhanced Index (0.32%), and the AusBond Credit FRN Index (0.34%).
Since the inception of SMHI 8.2 years ago in October 2014, it has returned 3.36% pa gross (2.40% pa net), outperforming the RBA Overnight Cash Rate (1.22% pa), the AusBond Bank Bill Index (1.44% pa), the FE Cash Enhanced Index (1.52% pa), the BetaShares High Interest Cash (AAA) ETF (1.69% pa), and the AusBond Credit FRN Index (2.24% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.43x gross (1.37x net). While SMHI's return volatility since inception has been low at around 0.86% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai-1.pdfNovember, 2022
The zero-duration and daily liquidity Smarter Money Higher Income Fund (SMHI) ended November with a yield to call/maturity of 5.12%, a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A.
In November, SMHI returned 0.77% gross (0.72% net), outperforming the RBA Overnight Cash Rate (0.23%), the BetaShares High Interest Cash (AAA) ETF (0.24%), the AusBond Bank Bill Index (0.25%), the FE Cash Enhanced Index (0.35%), and the AusBond Credit FRN Index (0.43%). Since the inception of SMHI 8.1 years ago in October 2014, it has returned 3.31% pa gross (2.35% pa net), outperforming the RBA Overnight Cash Rate (1.21% pa), the AusBond Bank Bill Index (1.42% pa), the FE Cash Enhanced Index (1.50% pa), the BetaShares High Interest Cash (AAA) ETF (1.68% pa), and the AusBond Credit FRN Index (2.22% pa).
Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.39x gross (1.33x net). While SMHI's return volatility since inception has been low at around 0.86% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/performance-pdf-smarter-money-higher-income-fund-ai.pdfSeptember, 2022
The zero-duration and daily liquidity Smarter Money Higher Income Fund (SMHI) ended September with a running yield of 3.61%, a yield to call/maturity of 5.26%, a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A. In September, SMHI returned 0.26% gross (0.21% net), outperforming the FE Cash Enhanced Index (0.10%), the AusBond Credit FRN Index (0.12%), the AusBond Bank Bill Index (0.15%), the RBA Overnight Cash Rate (0.18%), and the BetaShares High Interest Cash (AAA) ETF (0.20%).
Since the inception of SMHI 8 years ago in October 2014, it has returned 3.35% pa gross (2.38% pa net), outperforming the RBA Overnight Cash Rate (1.17% pa), the AusBond Bank Bill Index (1.39% pa), the FE Cash Enhanced Index (1.47% pa), the BetaShares High Interest Cash (AAA) ETF (1.65% pa), and the AusBond Credit FRN Index (2.19% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.51x gross (1.43x net). While SMHI's return volatility since inception has been low at around 0.85% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/191694473.pdfJuly, 2022
The zero-duration and daily liquidity Smarter Money Higher Income Fund (SMHI) ended July with a running yield of 2.99%, a yield to call/maturity of 4.31%, a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A. In July, SMHI returned 0.28% gross (0.23% net), compared to the RBA Overnight Cash Rate (0.10%), the BetaShares High Interest Cash (AAA) ETF (0.11%), the AusBond Bank Bill Index (0.12%), the FE Cash Enhanced Index (0.13%), and the AusBond Credit FRN Index (0.24%). Since the inception of SMHI 7.8 years ago in October 2014, it has returned 3.32% pa gross (2.35% pa net), outperforming the RBA Overnight Cash Rate (1.16% pa), the AusBond Bank Bill Index (1.38% pa), the FE Cash Enhanced Index (1.46% pa), the BetaShares High Interest Cash (AAA) ETF (1.64% pa), and the AusBond Credit FRN Index (2.18% pa).
Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.48x gross (1.40x net). While SMHI's return volatility since inception has been low at around 0.85% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/189403714.pdfMay, 2022
The zero-duration and daily liquidity Smarter Money Higher Income Fund (SMHI) ended May with a running yield of 2.37%, a yield to call/maturity of 3.73%, a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A. In May, SMHI returned -0.23% gross (-0.29% net), compared to the AusBond Credit FRN Index (-0.08%), the FE Cash Enhanced Index (-0.03%), the RBA Overnight Cash Rate (0.02%), the AusBond Bank Bill Index (0.03%), and the BetaShares High Interest Cash (AAA) ETF (0.04%).
Since the inception of SMHI 7.6 years ago in October 2014, it has returned 3.45% pa gross (2.47% pa net), outperforming the RBA Overnight Cash Rate (1.16% pa), the AusBond Bank Bill Index (1.39% pa), the FE Cash Enhanced Index (1.49% pa), the BetaShares High Interest Cash (AAA) ETF (1.65% pa), and the AusBond Credit FRN Index (2.19% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.63x gross (1.55x net). While SMHI's return volatility since inception has been low at around 0.85% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/187900197.pdfApril, 2022
The zero-duration and daily liquidity Smarter Money Higher Income Fund (SMHI) ended April with a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A. Over the previous 3 months, SMHI returned -0.02% gross (-0.18% net), compared to the FE Cash Enhanced Index (-0.39%), the AusBond Credit FRN Index (-0.35%), the AusBond Bank Bill Index (-0.01%), the RBA Overnight Cash Rate (0.01%), and the BetaShares High Interest Cash (AAA) ETF (0.05%).
Since the inception of SMHI 7.6 years ago in October 2014, it has returned 3.52% pa gross (2.54% pa net), outperforming the RBA Overnight Cash Rate (1.17% pa), the AusBond Bank Bill Index (1.40% pa), the FE Cash Enhanced Index (1.51% pa), the BetaShares High Interest Cash (AAA) ETF (1.67% pa), and the AusBond Credit FRN Index (2.22% pa). Since inception, SMHI's Sharpe Ratio, which measures risk-adjusted returns, has been 2.69x gross (1.61x net). While SMHI's return volatility since inception has been low at around 0.85% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/187152733.pdfMarch, 2022
March 2022 officially became the worst month in history for the Aussie bond market as judged by the benchmark fixed-rate AusBond Composite Bond Index, which fell a staggering 3.75%, the worst return recorded by the index in 33 years of data. It was also the third-worst month in the 24-year history of the AusBond Floating-Rate Note (FRN) Index, which fell 0.29%.
This continues a string of losses for both bond indices on the back of higher interest rates and wider credit spreads: the Composite Bond Index was down 1.21% in February and lost 5.88% over the March quarter. The FRN Index declined in both February and March as well. Over the 12 months to 31 March 2022, the Composite Bond Index lost 5.5% while the much lower volatility FRN Index declined 0.04%.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/186319245.pdfFebruary, 2022
In the month, the S&P500 Index in the US plunged 3.00% while the benchmark Aussie fixed-income index, known as the AusBond Composite Bond Index, fell 1.21% after declining by 1.02% in January. The AusBond Floating-Rate Note Index also lost 0.01% in February with the one stand-out being the ASX hybrids market, which managed to return 0.20% in the month.
Coolabah’s long/short strategies generally outperformed in February with the Long Short Opportunities Strategy returning 0.60% gross (0.50% net retail) and the Long Short Credit Fund delivering 0.40% gross (0.33% net retail). Our Active Composite Bond The strategy also outperformed the index by 0.32% gross (0.30% net retail). A key driver of this outperformance was Coolabah’s credit hedges, which we have had in place since late 2021.
While this data-set ends in 2020 (ie, our models do not have the benefit of any information after 2020), they put the probability of a full kinetic conflict between Russia and the Ukraine at a substantial 1-in-4 to 1-in-5 (or 22.2%) over the next 10 years. This probability included the declaration of war between these countries. The probabilities of conflict occurring between the US and China, and China and Taiwan, were an even higher 45.4% and 73.9%, respectively.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/185154457.pdfDecember, 2021
In December, the zero-duration and daily liquidity Smarter Money Higher Income Fund (SMHI) returned 0.30% gross (0.24% net), outperforming the RBA Overnight Cash Rate (0.00%), the AusBond Bank Bill Index (0.00%), the BetaShares AAA ETF (0.02%), the FE Cash Enhanced Index (0.03%), and the AusBond Credit FRN Index (0.04%). SMHI ended December with a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A. Over the previous 12 months, SMHI returned 1.24% pa gross (0.47% pa net), outperforming the AusBond Bank Bill Index (0.03% pa), the RBA Overnight Cash Rate (0.03% pa), the FE Cash Enhanced Index (0.13% pa), the AusBond Credit FRN Index (0.32% pa), and the BetaShares AAA ETF (0.34% pa).
It is interesting to highlight that the much higher risk (volatility) long duration benchmark bond index in Australia, known as the AusBond Composite Bond Index, has fallen by 2.87% over the last 12 months as a result of rising long-term interest rates.
Since the inception of SMHI 7.2 years ago in October 2014, it has returned 3.73% pa gross (2.73% pa net), outperforming the RBA Overnight Cash Rate (1.22% pa), the AusBond Bank Bill Index (1.46% pa), the FE Cash Enhanced Index (1.64% pa), the BetaShares AAA ETF (1.73% pa), and the AusBond Credit FRN Index (2.37% pa). Since inception, SMHI's Sharpe Ratio, which measures riskadjusted returns, has been 2.84x gross (1.76x net). While SMHI's return volatility since inception has been low at around 0.86% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volatility does exist. This contrasts with illiquid credit (eg, loans and high yield bonds) wherein assets that have very high risk can appear to have remarkably low volatility, which is, in fact, just a mirage explained by the inability to properly value these assets using executable prices.
File: https://commentary.quantreports.net/wp-content/uploads/2022/02/182425222.pdfasset_class:
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manager_contact_details: Array
ticker: SLT0052AU
release_schedule: Monthly
structure: Managed Fund
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https://coolabahcapital.com/higher-income-strategy/
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