JPMorgan Diversified Risk (PER7633AU) Report & Performance

Following strong performance in June, the fund retracted some of its gains in July. The momentum style was the leading detractor, followed by the carry style. The quality factor was broadly flat, while the value factor contributed positively.

The single-stock equity factors were negative in aggregate. Individually, equity relative value momentum was the leading detractor. This was partially offset by gains to equity value, which, despite an equity market backdrop that has been broadly favourable for large cap growth, is nonetheless slightly positive for the year-to-date period.

The carry style detracted, driven by FX carry on negative returns from short exposures in the Japanese yen and Swiss franc. Commodity carry was modestly negative, while credit carry was flat.

Fixed income relative value factors were flat. This reflects continued low levels of risk exposure as fixed income value and carry continue to largely offset each other.

The macro momentum-based factors were a modest positive in aggregate. Equity trend was the leading contributor as the net long positioning helped performance during the market rally. Fixed income trend was also positive. In contrast, FX momentum detracted as gains from a Japanese yen long position were offset by a loss from a short position in the Norwegian krone. Commodity trend was modestly negative.

The fund delivered strong returns in June. The momentum style was the leading contributor, followed by the value and carry styles. Quality factor was flat.

The macro momentum-based factors contributed positively. Equity trend was the leading contributor, as the net long positioning helped performance during the market rally in June. Fixed income trend also contributed positively, recovering the previous month’s losses. In contrast, FX momentum modestly detracted, driven by a short position in the Norwegian krone and Australian dollar. Similarly, the commodity trend, which was positioned short, was modestly negative in June.

The single stock equity factors contributed positively in aggregate. Individually, equity value, which has been volatile year-to-date, was the leading contributor, offsetting the decline during the more challenging month of May. The equity relative-value momentum was also positive, potentially capturing the outperformance in growth stocks, while the quality factor was flat.

The carry style was also positive in June. FX carry was the strongest performer, driven by positive returns from long exposures in the Norwegian krone and Canadian dollar. Credit carry was a leading detractor while commodity carry was flat.

Fixed income relative value factors were modestly down. The carry factor was more adversely impacted than value, as gains made by short exposures in Sweden and the US 10-year swaps, were offset by long exposures in Australia and Denmark.

The fund was modestly down in May. The carry style was the leading contributor while value and momentum detracted.

The carry style was the leading contributor to performance. FX carry was the strongest performer, driven by positive returns from short exposures in the euro and Japanese yen. This was supported by gains from fixed income carry, due to short exposures in the US and Sweden. Commodity carry also contributed while credit carry was flat.

The single stock equity factors detracted in aggregate. Individually, equity value was the leading detractor, retracing its gains from April, reflecting a volatile period of performance year-to-date. The equity relative-value momentum was positive, backed by the rally in growth stocks. The quality factor was flat.

Likewise, fixed income value was negative, driven by long exposures in Australia, the US and the UK 10-year swaps, which was partly balanced by a short exposure in Sweden.

The macro momentum-based factors detracted, as most underlying asset classes struggled. Fixed income trend saw the most significant decline, as the factor continued to deal with the lack of clear trend in fixed income markets. FX momentum also detracted, driven by a long position in the euro and a short position in the Swedish krone. The net long position in equity trend hurt performance, as markets pulled back in May. Commodity trend contributed positively.

The fund delivered strong returns with positive performance across all underlying styles. The carry style was the leading contributor but was supported by decent gains to both value and momentum.

The carry style’s strong month was underpinned by gains spread across credit, fixed income and FX. Credit carry benefitted from continued strength in credit markets. FX carry contributed, driven by gains within emerging markets, while it was softer in G10 countries. In fixed income carry, a short exposure in the UK 10-year swap and a long exposure in Australia helped performance. Commodity carry was flat.

The single stock equity factors were positive in aggregate. Individually, equity value was the leading contributor in April. The quality factor was modestly positive, while equity relative-value momentum was flat.

The macro momentum-based factors contributed, with mixed underlying asset class performance. FX momentum led performance, driven by a long position in the euro and a short position in the Norwegian krone. A net long position in equity trend helped, as markets were positive. Fixed income trend was the most significant negative, as modestly short duration exposure was adversely impacted by lower government bond yields, as inflation dynamics in the US showed signs of improvement. Commodity trend was flat.

Fixed income value was positive, primarily driven by a short exposure in the UK and long exposure in the Australian 10-year swaps.

After a strong February, the fund retraced some of its gains and ended the month down. The value and momentum styles detracted but were partially offset by gains in the carry and quality styles.

The macro momentum-based factors were the leading detractors. The fixed income trend was the most significant negative as the short duration exposure was adversely impacted by a flight to quality that drove government bond yields lower. The net long position in the equity trend initially detracted and was then whipsawed by a rebound. The commodity trend was flat, while FX momentum contributed modestly, driven by long positions in the euro and UK sterling.

The single-stock equity factors were a small negative in aggregate. Equity value was a leading detractor as macroeconomic moves appeared to favour growth or higher-quality names. This was reflected in positive contributions to both equity relative-value momentum, a leading contributor, and the quality factor.

Fixed income value detracted, driven by short exposures in Sweden, the UK and Denmark 10-year swaps.

The carry style was a contributor to performance. Credit carry was the leading performer, benefitting from strength in credit spreads. FX carry contributed; a long position in the Canadian dollar helped performance. Fixed income carry was positive, driven by gains from long exposures to Australia and Denmark 10-year swaps. Commodity carry was flat.

The fund delivered strong returns in February. Performance was positive across most underlying factors, with no significant detractors. Value, momentum and quality styles contributed, while the carry style was a small detractor.

The single stock equity factors were in aggregate additive; performance was positive across underlying factors. Individually, equity value was the leading contributor, followed by the equity relative-value-momentum factor. The quality factor also was also up in February.

Fixed income value also contributed positively, driven primarily by short exposures in Sweden and Danish 10-year swaps. The macro momentum-based factors were positive in aggregate. Fixed income trend was positive, as the net short-duration exposure of -2.3 years benefitted from rising yields. FX momentum contributed, driven by short positions in the Norwegian krone and Canadian dollar. Commodity trend was also positive, driven by implied short exposures to agriculture and energy sub-groups. The net long position in equity trend however detracted, as stock markets fell.

The carry style was a small detractor to performance, although moves across the underlying factors were modest. Fixed income carry was modestly down: losses from long exposures to Denmark and Australia were largely balanced by gains on short exposures to UK and Swedish. FX carry also detracted; the long position in the New Zealand dollar hurt performance. Commodity carry was modestly negative while credit carry was flat.