September, 2023
The zero-duration daily liquidity Long-Short Credit Fund (LSCF) ended September with an annualised yield to call/maturity of 7.85% pa (assuming current funding costs), a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of AA. In September, LSCF returned 0.84% gross (0.69% net), outperforming the RBA Overnight Cash Rate (0.32%), the AusBond Bank Bill Index (0.34%), and the AusBond Credit FRN Index (0.37%). Over the previous 12 months, LSCF returned 13.31% pa gross (10.34% pa net), outperforming the RBA Overnight Cash Rate (3.47% pa), the AusBond Bank Bill Index (3.56% pa), and the AusBond Credit FRN Index (4.63% pa).
Since the inception of LSCF 6.1 years ago in September 2017, it has returned 5.88% pa gross (3.86% pa net), outperforming the RBA Overnight Cash Rate (1.22% pa), the AusBond Bank Bill Index (1.38% pa), and the AusBond Credit FRN Index (2.16% pa). While LSCF's return volatility since inception has been low at around 3.49% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d-7.pdfAugust, 2023
The zero-duration daily liquidity Long-Short Credit Fund (LSCF) ended August with an annualised yield to call/maturity of 7.19% pa (assuming current funding costs), a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of AA. In August, LSCF returned 1.10% gross (0.87% net), outperforming the RBA Overnight Cash Rate (0.34%), the AusBond Bank Bill Index (0.37%), and the AusBond Credit FRN Index (0.46%). Over the previous 12 months, LSCF returned 12.14% pa gross (9.28% pa net), outperforming the RBA Overnight Cash Rate (3.33% pa), the AusBond Bank Bill Index (3.37% pa), and the AusBond Credit FRN Index (4.38% pa).
Since the inception of LSCF 6 years ago in September 2017, it has returned 5.82% pa gross (3.80% pa net), outperforming the RBA Overnight Cash Rate (1.18% pa), the AusBond Bank Bill Index (1.35% pa), and the AusBond Credit FRN Index (2.13% pa). While LSCF's return volatility since inception has been low at around 3.51% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d-1-1.pdfJuly, 2023
The zero-duration daily liquidity Long-Short Credit Fund (LSCF) ended July with an annualised yield to call/maturity of 7.56% pa (assuming current funding costs), a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of AA. In July, LSCF returned 2.20% gross (1.76% net), outperforming the RBA Overnight Cash Rate (0.34%), the AusBond Bank Bill Index (0.37%), and the AusBond Credit FRN Index (0.46%). Over the previous 12 months, LSCF returned 11.27% pa gross (8.59% pa net), outperforming the RBA Overnight Cash Rate (3.14% pa), the AusBond Bank Bill Index (3.15% pa), and the AusBond Credit FRN Index (4.26% pa).
Since the inception of LSCF 5.9 years ago in September 2017, it has returned 5.71% pa gross (3.70% pa net), outperforming the RBA Overnight Cash Rate (1.14% pa), the AusBond Bank Bill Index (1.30% pa), and the AusBond Credit FRN Index (2.08% pa).
While LSCF's return volatility since inception has been low at around 3.53% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d-6.pdfJune, 2023
The zero-duration daily liquidity Long-Short Credit Fund (LSCF) ended June with an annualised yield to call/maturity of 7.89% pa (assuming current funding costs), a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of AA. In June, LSCF returned 2.04% gross (1.64% net), outperforming the AusBond Bank Bill Index (0.30%), the RBA Overnight Cash Rate (0.32%), and the AusBond Credit FRN Index (0.41%). Over the previous 12 months, LSCF returned 10.43% pa gross (8.17% pa net), outperforming the RBA Overnight Cash Rate (2.89% pa), the AusBond Bank Bill Index (2.89% pa), and the AusBond Credit FRN Index (4.03% pa).
Since the inception of LSCF 5.8 years ago in September 2017, it has returned 5.40% pa gross (3.45% pa net), outperforming the RBA Overnight Cash Rate (1.10% pa), the AusBond Bank Bill Index (1.26% pa), and the AusBond Credit FRN Index (2.03% pa). While LSCF's return volatility since inception has been low at around 3.55% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d-5.pdfMay, 2023
The zero-duration daily liquidity Long-Short Credit Fund (LSCF) ended May with an annualised yield to call/maturity of 7.98% pa (assuming current funding costs), a weighted-average credit rating of A, and a portfolio weighted average MSCI ESG rating of A. In May, LSCF returned 0.89% gross (0.31% net), compared to the AusBond Bank Bill Index (0.29%), the RBA Overnight Cash Rate (0.34%), and the AusBond Credit FRN Index (0.34%). Over the previous 6 months, LSCF returned 7.61% gross (6.29% net), outperforming the AusBond Bank Bill Index (1.65%), the RBA Overnight Cash Rate (1.67%), and the AusBond Credit FRN Index (2.27%).
Since the inception of LSCF 5.7 years ago in September 2017, it has returned 5.10% pa gross (3.21% pa net), outperforming the RBA Overnight Cash Rate (1.06% pa), the AusBond Bank Bill Index (1.22% pa), and the AusBond Credit FRN Index (1.99% pa). While LSCF's return volatility since inception has been low at around 3.57% 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/2021/02/SG-Hiscock-Property-Opportunities-Fund-Fact-Sheet-10.pdfMarch, 2023
The zero-duration daily liquidity Long-Short Credit Fund (LSCF) ended April with an annualised yield to call/maturity of 7.34% pa (assuming current funding costs), a weighted-average credit rating of A+, and a portfolio weighted average MSCI ESG rating of A. In April, LSCF returned 2.52% gross (2.18% net), outperforming the RBA Overnight Cash Rate (0.27%), the AusBond Bank Bill Index (0.30%), and the AusBond Credit FRN Index (0.46%). Over the previous 6 months, LSCF returned 10.00% gross (9.19% net), outperforming the RBA Overnight Cash Rate (1.56%), the AusBond Bank Bill Index (1.60%), and the AusBond Credit FRN Index (2.36%).
Since the inception of LSCF 5.7 years ago in September 2017, it has returned 5.01% pa gross (3.20% pa net), outperforming the RBA Overnight Cash Rate (1.01% pa), the AusBond Bank Bill Index (1.19% pa), and the AusBond Credit FRN Index (1.96% pa). While LSCF's return volatility since inception has been low at around 3.60% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d-4.pdfFebruary, 2023
The zero-duration daily liquidity Long-Short Credit Fund (LSCF) ended February with a yield to call/maturity of 8.50% (assuming current funding costs), a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of A. In February, LSCF returned 2.17% gross (2.09% net), outperforming the AusBond Composite Bond Index (-1.32%), the AusBond Bank Bill Index (0.24%), the RBA Overnight Cash Rate (0.25%), and the AusBond Credit FRN Index (0.43%). Over the previous 3 months, LSCF returned 4.98% gross (4.72% net), outperforming the AusBond Composite Bond Index (-0.69%), the AusBond Bank Bill Index (0.76%), the RBA Overnight Cash Rate (0.76%), and the AusBond Credit FRN Index (1.20%).
Since the inception of LSCF 5.5 years ago in September 2017, it has returned 4.87% pa gross (3.08% pa net), outperforming the RBA Overnight Cash Rate (0.94% pa), the AusBond Composite Bond Index (0.95% pa), the AusBond Bank Bill Index (1.12% pa), and the AusBond Credit FRN Index (1.88% pa). While LSCF's return volatility since inception has been low at around 3.48% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d-3.pdfJanuary, 2023
The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended January with a yield to call/maturity of 8.81% (assuming current funding costs), a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of A.
In January, LSCF returned 1.03% gross (0.94% net), compared to the RBA Overnight Cash Rate (0.27%), the AusBond Bank Bill Index (0.27%), the AusBond Credit FRN Index (0.42%), and the AusBond Composite Bond Index (2.76%). Over the previous 3 months, LSCF returned 5.96% gross (5.70% net), outperforming the RBA Overnight Cash Rate (0.74%), the AusBond Bank Bill Index (0.77%), the AusBond Credit FRN Index (1.19%), and the AusBond Composite Bond Index (2.20%). Since the inception of LSCF 5.4 years ago in September 2017, it has returned 4.52% pa gross (2.73% pa net), outperforming the RBA Overnight Cash Rate (0.91% pa), the AusBond Bank Bill Index (1.09% pa), the AusBond Composite Bond Index (1.21% pa), and the AusBond Credit FRN Index (1.83% pa). While LSCF's return volatility since inception has been low at around 3.47% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d-2.pdfDecember, 2022
The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended December with a yield to call/maturity of 10.08% (assuming current funding costs), a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of A. In December, LSCF returned 1.70% gross (1.62% net), outperforming the AusBond Composite Bond Index (-2.06%), the RBA Overnight Cash Rate (0.24%), the AusBond Bank Bill Index (0.25%), and the AusBond Credit FRN Index (0.34%). Since the inception of LSCF 5.3 years ago in September 2017, it has returned 4.40% pa gross (2.59% pa net), outperforming the AusBond Composite Bond Index (0.72% pa), the RBA Overnight Cash Rate (0.87% pa), the AusBond Bank Bill Index (1.05% pa), and the AusBond Credit FRN Index (1.78% pa). While LSCF's return volatility since inception has been low at around 3.46% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d-1.pdfNovember, 2022
The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended November with a yield to call/maturity of 10.39% (assuming current funding costs), a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of A.
In November, LSCF returned 3.13% gross (3.05% net), outperforming the RBA Overnight Cash Rate (0.23%), the AusBond Bank Bill Index (0.25%), and the AusBond Credit FRN Index (0.43%). Since the inception of LSCF 5.2 years ago in September 2017, it has returned 4.13% pa gross (2.32% pa net), outperforming the RBA Overnight Cash Rate (0.84% pa), the AusBond Bank Bill Index (1.02% pa), and the AusBond Credit FRN Index (1.74% pa). While LSCF's return volatility since inception has been low at around 3.46% 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/2021/02/performance-pdf-smarter-money-long-short-credit-fund-d.pdfSeptember, 2022
The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended September with a running yield of 5.08%, a yield to call/maturity of 11.59% (assuming current funding costs), a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of A.
In September, LSCF returned -0.20% gross (-0.28% net), compared to the AusBond Credit FRN Index (0.12%), the AusBond Bank Bill Index (0.15%), and the RBA Overnight Cash Rate (0.18%). Since the inception of LSCF 5.1 years ago in September 2017, it has returned 4.48% pa gross (2.64% pa net), outperforming the RBA Overnight Cash Rate (0.78% pa), the AusBond Bank Bill Index (0.96% pa), and the AusBond Credit FRN Index (1.68% pa). While LSCF's return volatility since inception has been low at around 3.20% 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/2021/02/191694416.pdfAugust, 2022
The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended August with a running yield of 6.00%, a yield to call/maturity of 12.24% (assuming current funding costs), a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of A. In August, LSCF returned 0.32% gross (0.23% net), compared to the AusBond Bank Bill Index (0.15%), the RBA Overnight Cash Rate (0.16%), and the AusBond Credit FRN Index (0.35%).
Since the inception of LSCF 5 years ago in September 2017, it has returned 4.60% pa gross (2.74% pa net), outperforming the RBA Overnight Cash Rate (0.76% pa), the AusBond Bank Bill Index (0.95% pa), and the AusBond Credit FRN Index (1.69% pa). While LSCF's return volatility since inception has been low at around 3.19% 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/2021/02/190861466.pdfJuly, 2022
The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended July with a running yield of 7.16%, a yield to call/maturity of 12.18% (assuming current funding costs), a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of A. In July, LSCF returned 1.40% gross (1.34% net), outperforming the RBA Overnight Cash Rate (0.10%), the AusBond Bank Bill Index (0.12%), and the AusBond Credit FRN Index (0.24%).
Since the inception of LSCF 4.9 years ago in September 2017, it has returned 4.60% pa gross (2.73% pa net), outperforming the RBA Overnight Cash Rate (0.74% pa), the AusBond Bank Bill Index (0.93% pa), and the AusBond Credit FRN Index (1.64% pa). While LSCF's return volatility since inception has been low at around 3.19% 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/2021/02/189403699.pdfMay, 2022
The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended May with a running yield of 8.41%, a weighted-average credit rating of AA, and a portfolio weighted average MSCI ESG rating of A. Over the previous 3 months, LSCF returned -0.35% gross (-0.59% net), compared to the AusBond Composite Bond Index (-6.02%), the AusBond Credit FRN Index (-0.41%), the AusBond Bank Bill Index (0.02%), and the RBA Overnight Cash Rate (0.03%).
Since the inception of LSCF 4.7 years ago in September 2017, it has returned 5.21% pa gross (3.30% pa net), outperforming the RBA Overnight Cash Rate (0.73% pa), the AusBond Bank Bill Index (0.93% pa), the AusBond Composite Bond Index (1.18% pa), and the AusBond Credit FRN Index (1.64% pa). While LSCF's return volatility since inception has been low at around 3.10% 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 price.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/187900309.pdfApril, 2022
: The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended April with a weighted-average credit rating of AA, and a portfolio weighted average MSCI ESG rating of A. Over the previous 3 months, LSCF returned 0.94% gross (0.71% net), outperforming the AusBond Composite Bond Index (-6.33%), the AusBond Credit FRN Index (-0.35%), the AusBond Bank Bill Index (-0.01%), and the RBA Overnight Cash Rate (0.01%).
Since the inception of LSCF 4.7 years ago in September 2017, it has returned 5.51% pa gross (3.57% pa net), outperforming the RBA Overnight Cash Rate (0.74% pa), the AusBond Bank Bill Index (0.94% pa), the AusBond Composite Bond Index (1.40% pa), and the AusBond Credit FRN Index (1.69% pa). While LSCF's return volatility since inception has been low at around 3.10% 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/2021/02/187152718.pdfMarch, 2022
In March, the zero-duration and daily liquidity Long-Short Credit Fund (LSCF) returned 0.79% gross (0.71% net), outperforming the AusBond Composite Bond Index (-3.75%), the AusBond Credit FRN Index (-0.29%), the AusBond Bank Bill Index (0.00%), and the RBA Overnight Cash Rate (0.00%). LSCF ended March with a weighted-average credit rating of AA-, and a portfolio weighted average MSCI ESG rating of A.
Since the inception of LSCF 4.6 years ago in September 2017, it has returned 5.67% pa gross (3.71% pa net), outperforming the RBA Overnight Cash Rate (0.75% pa), the AusBond Bank Bill Index (0.96% pa), the AusBond Credit FRN Index (1.73% pa), and the AusBond Composite Bond Index (1.75% pa).
March was an extraordinary, record-setting month following on from the weakness recorded by global bond markets in February, with Coolabah’s portfolios materially outperforming benchmarks for peers and the major fixed-income indices during this sharp downturn. All our long-only and long-short strategies registered solid returns in March while our index-tracking Active Composite Bond strategy beat the benchmark by a significant margin. Our long-short strategies also delivered robust returns in the similarly challenging month of February when the major bond benchmarks suffered losses.
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%.
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/185996652.pdfDecember, 2021
In December, the zero-duration and daily liquidity Long-Short Credit Fund (LSCF) returned 1.33% gross (1.23% net), outperforming the RBA Overnight Cash Rate (0.00%), the AusBond Bank Bill Index (0.00%), the AusBond Credit FRN Index (0.04%), and the AusBond Composite Bond Index (0.09%). LSCF ended December with a weighted-average credit rating of AA, and a portfolio weighted average MSCI ESG rating of A. Over the previous 12 months, LSCF returned 2.42% pa gross (1.11% pa net), outperforming the AusBond Composite Bond Index (-2.87% pa), the AusBond Bank Bill Index (0.03% pa), the RBA Overnight Cash Rate (0.03% pa), and the AusBond Credit FRN Index (0.32% pa).
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/182423181.pdfOctober, 2021
In October, the zero-duration and daily liquidity Long-Short Credit Fund (LSCF) returned 1.24% gross (1.02% net), outperforming the AusBond Credit FRN Index (-0.10%), the AusBond Bank Bill Index (0.00%), and the RBA Overnight Cash Rate (0.00%). It is noteworthy that in the month of October the AusBond Composite Bond Index lost 3.55%, which was its second-worst month in 30 plus years (the worst was February 2021). This means the Composite Bond Index is now down 5.3% over the 12 months to October 2021.
LSCF ended October with a weighted-average credit rating of AA, and a portfolio weighted average MSCI ESG rating of A. Over the previous 12 months, LSCF returned 5.52% pa gross (3.57% pa net), outperforming the AusBond Bank Bill Index (0.03% pa), the RBA Overnight Cash Rate (0.03% pa), and the AusBond Credit FRN Index (0.52% pa). Since the inception of LSCF 4.2 years ago in August 2017, it has returned 6.53% pa gross (4.44% pa net), outperforming the RBA Overnight Cash Rate (0.82% pa), the AusBond Bank Bill Index (1.05% pa), and the AusBond Credit FRN Index (1.97% pa).
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/180942941.pdfSeptember, 2021
In September, the zero-duration and daily liquidity Long-Short Credit Fund (LSCF) returned 1.10% gross (1.01% net), outperforming the AusBond Credit FRN Index (-0.06%), the AusBond Bank Bill Index (0.00%), and the RBA Overnight Cash Rate (0.00%). It was noteworthy that in the month, the AusBond FRN Index lost 0.06%, the AusBond Composite Bond Index declined by 1.51%, and global equities suffered a 3.04% correction. LSCF ended September with a weighted-average credit rating of AA, a portfolio weighted average MSCI ESG rating of A, and a running yield of 2.70%. Over the previous 12 months, LSCF returned 6.37% pa gross (4.14% pa net), outperforming the AusBond Bank Bill Index (0.04% pa), the RBA Overnight Cash Rate (0.04% pa), and the AusBond Credit FRN Index (0.93% pa).
Since the inception of LSCF 4.1 years ago in August 2017, it has returned 6.35% pa gross (4.28% pa net), outperforming the RBA Overnight Cash Rate (0.84% pa), the AusBond Bank Bill Index (1.07% pa), and the AusBond Credit FRN Index (2.03% pa). LSCF's since inception Sharpe Ratio, which measures risk-adjusted returns, has been 1.71x (1.10x) gross (net). While LSCF's return volatility since inception has been low at around 3.12% 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/2021/02/179858463.pdfAugust, 2021
The zero-duration and daily liquidity Long-Short Credit Fund (LSCF) ended August with a weighted-average credit rating of AA, a portfolio weighted average MSCI ESG rating of A, and a running yield of 4.18%. Over the previous 12 months, LSCF returned 5.68% gross (3.39% net), outperforming the benchmark RBA Overnight Cash Rate (0.05%) by 5.63% gross (3.34% net).
Since the inception of LSCF 4.0 years ago in August 2017, it has returned 6.20% pa gross (4.10% pa net), outperforming the benchmark RBA Overnight Cash Rate (0.86% pa) by 5.34% pa (3.25% pa net). LSCF's since inception Sharpe Ratio, which measures risk-adjusted returns, has been 1.66x (1.04x) gross (net). While LSCF's return volatility since inception has been low at around 3.11% 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/2021/02/179237042.pdfJuly, 2021
In July, the zero-duration and daily liquidity Long-Short Credit Fund (LSCF) returned 0.14% gross (0.04% net), outperforming the benchmark RBA Overnight Cash Rate (0.00%) by 0.14% gross (0.04% net). LSCF ended July with a weighted-average credit rating of AA-, a portfolio weighted average MSCI ESG rating of A, and a running yield of 4.05%. Over the previous 12 months, LSCF returned 8.28% gross (5.77% net), outperforming the benchmark RBA Overnight Cash Rate (0.06%) by 8.22% gross (5.71% net).
Since the inception of LSCF 3.9 years ago in August 2017, it has returned 6.76% pa gross (4.62% pa net), outperforming the benchmark RBA Overnight Cash Rate (0.87% pa) by 5.88% pa (3.75% pa net). LSCF's since inception Sharpe Ratio, which measures risk-adjusted returns, has been 1.81x (1.20x) gross (net). While LSCF's return volatility since inception has been low at around 3.13% 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/2021/02/176305949.pdfJune, 2021
In June, the zero-duration and daily liquidity Long Short Credit Fund (LSCF) returned -1.61% gross (-1.35% net), as the spreads on State government bonds over and above the interest rate on Commonwealth government bonds jumped during the month to the highest levels since before the COVID-19 crisis, which presented attractive entry opportunities that are expected to mean-revert and drive future performance. The increase in State government bond spreads was driven by a debt funding surprise from NSW, which dragged the interest rates on all State government bonds higher. In line with Coolabah forecasts, NSW reported an $11 billion smaller whole-of-government budget deficit in FY2021, which was significantly better than market expectations. Yet NSW signalled that it might actively choose to ramp-up gross debt for discretionary reasons based on a range of non-viable assumptions that we expect to be reversed over time, resulting in correspondingly lower debt issuance downgrades.
The recent COVID-19 outbreak in NSW will only reinforce the need for Australia's biggest state to focus on responsible budget management. The circa 15 to 20 basis point increase in the spreads on State government bonds fully removed all the benefits of the RBA's bond purchase program, which is expected to continue until the Q3 or Q4 2022, and entail another $140 billion to $180 billion of asset purchases (one-fifth of which will be dedicated to State government bonds). LSCF ended June with a weighted-average credit rating of AA-, a portfolio weighted average MSCI ESG rating of AA, and a running yield of 3.15%. Over the previous 12 months, LSCF returned 9.59% gross (6.78% net), outperforming the benchmark RBA Overnight Cash Rate (0.07%) by 9.52% gross (6.71% net).
File: https://commentary.quantreports.net/wp-content/uploads/2021/02/174851911.pdfMay, 2021
In May, the zero-duration and daily liquidity Long Short Credit Fund (LSCF) strategy returned -0.04% gross (-0.10% net), compared to the benchmark RBA Overnight Cash Rate (0.00%). LSCF ended May with a weighted-average credit rating of AA- and a portfolio weighted average MSCI ESG rating of AA. Over the May quarter, LSCF returned 1.40% gross (0.92% net), outperforming the benchmark RBA Overnight Cash Rate (0.01%) by 1.39% gross (0.91% net). Over the previous 12 months, LSCF returned 13.34% gross (9.73% net), outperforming the benchmark RBA Overnight Cash Rate (0.08%) by 13.26% gross (9.66% net).
Since LSCF's inception 3.8 years ago in August 2017, it has returned 7.49% pa gross (5.20% pa net), outperforming the benchmark RBA Overnight Cash Rate (0.91% pa) by 6.58% pa (4.29% pa net). LSCF's since inception Sharpe Ratio, which measures risk-adjusted returns, has been 2.03x (1.37x) gross (net). While LSCF's return volatility since inception has been low at around 3.14% 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/2021/02/173463213.pdfApril, 2021
In April, the zero-duraon and daily liquidity Long Short Credit Fund (LSCF) strategy returned 0.64% gross (0.45% net), outperforming the Benchmark RBA Overnight Cash Rate (0.00%) by 0.64% gross (0.45% net). LSCF also outperformed the AusBond Bank Bill Index (0.00%), and the AusBond Credit FRN Index (0.07%). LSCF ended April with a weighted-average credit rang of AA- and a porolio weighted average MSCI ESG rang of AA. Over the April quarter, LSCF returned 2.00% gross (1.41% net), outperforming the Benchmark RBA Overnight Cash Rate (0.01%) by 1.99% gross (1.40% net).
LSCF also outperformed the AusBond Bank Bill Index (0.00%), and the AusBond Credit FRN Index (0.06%). Over the previous 12 months, LSCF returned 15.42% gross (11.72% net), outperforming the Benchmark RBA Overnight Cash Rate (0.08%) by 15.33% gross (11.64% net). LSCF also outperformed the AusBond Bank Bill Index (0.07%), and the AusBond Credit FRN Index (1.78%).
Since LSCF's incepon 3.7 years ago in August 2017, it has returned 7.68% pa gross (5.35% pa net), outperforming the Benchmark RBA Overnight Cash Rate (0.93% pa) by 6.75% pa (4.42% pa net). LSCF also outperformed the AusBond Bank Bill Index (1.19% pa), and the AusBond Credit FRN Index (2.19% pa). LSCF's since incepon Sharpe Rao, which measures risk-adjusted returns, has been 2.06x (1.39x) gross (net). While LSCF's return volality since incepon has been low at around 3.17% pa (measured using daily returns), as a daily liquidity product with assets that are marked-to-market using executable prices, volality 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 volality, 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/2021/02/172022659.pdfDecember, 2020
The zero-duration and daily liquidity Long Short Credit Fund (LSCF) strategy returned 1.74% gross (1.33% net) in December, outperforming the AusBond Credit FRN Index (0.00%), the AusBond Bank Bill Index (0.00%), the RBA Overnight Cash Rate (0.00%), and the FE Alternative Funds Index (1.63%). LSCF ended December with a weighted-average credit rang of AA- and a running yield of approximately 6.05%. Over the December quarter, LSCF returned 4.69% gross (3.54% net), outperforming the RBA Overnight Cash Rate (0.02%), the AusBond Bank Bill Index (0.02%), the AusBond Credit FRN Index (0.53%), and the FE Alternative Funds Index (4.36%). Over the previous 12 months, LSCF returned 9.10% gross (6.31% net), outperforming the RBA Overnight Cash Rate (0.25%), the AusBond Bank Bill Index (0.37%), the AusBond Credit FRN Index (1.79%), and the FE Alternative Funds Index (4.54%). Since LSCF's inception 3.3 years ago in August 2017, it has returned 7.32% pa gross (5.08% pa net), outperforming the RBA Overnight Cash Rate (1.02% pa), the AusBond Bank Bill Index (1.30% pa), the AusBond Credit FRN Index (2.37% pa), and the FE Alternative Funds Index (3.64% pa).
LSCF's since inception Sharpe Rao, which measures risk-adjusted returns, has been 1.88x (1.24x) gross (net). While LSCF's return volatility since inception has been low at around 3.27% 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/2021/02/163945763.pdfasset_class: Fixed Income
asset_category: High Yield Credit
peer_benchmark: Fixed Income - High Yield Credit Index
broad_market_index: Global High Yield Credit Hdg Index
manager_contact_details: Array
ticker: SLT2562AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
https://coolabahcapital.com/long-short-credit-strategy/
or
fund_features:
Smarter Money Long-Short Credit Assisted targets generating absolute returns of 4% to 6% p.a. above the RBA cash rate after management fees and performance related fees over rolling 3 year periods with less than 5% p.a. volatility, and low to no correlation with equities, fixed-rate bonds, and property markets.
- An active, diversified portfolio of Australian deposits, investment grade floating-rate notes and hybrid securities, and derivatives issued by Australian entities domestically, exploiting inefficiencies in the short-term yield curve by using a highly contrarian and dynamic asset-allocation strategy between cash, derivatives, and floating-rate notes, without taking capital risks.
- The fund can also invest in these types of securities when they are issued overseas, or by overseas entities (into the Australian market or offshore) with the currency risk fully hedged.
- The fund does not invest in fixed-rate bonds (unless interest rate risk is hedged), sub-investment grade bonds, direct loans, equities, capital notes, or take currency risk.
structure: Managed Fund