The Fund aims to generate long-term total returns by investing in exchange-traded futures providing exposure to developed market and emerging market currencies. P/E Global’s investment process involves the use of a disciplined and dynamic quantitative model to determine positions held by the Fund. The model relies on statistical analysis to forecast returns and volatilities for currencies based on underlying fundamental factors which P/E Global believes drive exchange rates.
• The Fund returned 5.89%, net of fees, in September 2023.
• During the month, interest rates continued to diverge across global markets. The European Central Bank signalled that rate increases have likely ended; by contrast, the U.S. Federal Reserve indicated that another rate increase will be forthcoming. Further, U.S. growth expectations have improved relative to those of both Europe and Asia. Finally, the Euro continues to be crowded among speculators.
• Currently, yield spreads, economic surprise, relative growth factors, and inflation factors are driving FX Strategy positioning. P/E’s factors currently favour currencies with higher rates and higher expected growth, such as the US dollar. Inflation risk is increasing as energy prices near the highs for the year. In addition, P/E anticipates continued correction in currencies with extreme speculative positioning.
What is P/E Global FX Alpha Fund P/E Global FX Alpha Fund is an Managed Funds investment product that is benchmarked against Credit Suisse AllHedge Global Macro Index and sits inside the Alternatives - Macro Index. Think of a benchmark as a standard where investment performance can be measured. Typically, market indices like the ASX200 and market-segment stock indexes are used for this purpose. The P/E Global FX Alpha Fund has Assets Under Management of 131.23 M with a management fee of 1.88%, a performance fee of 6.75% and a buy/sell spread fee of 0.02%.
How has the investment product performed recently? The recent investment performance of the investment product shows that the P/E Global FX Alpha Fund has returned -3.17% in the last month. The previous three years have returned 8.71% annualised and 17.31% each year since inception, which is when the P/E Global FX Alpha Fund first started.
How is risk measured in this investment product? There are many ways that the risk of an investment product can be measured, and each measurement provides a different insight into the risk present. They can be used on their own or together to perform a risk assessment before investing, but when comparing investments, it is common to compare like for like risk measurements to determine which investment holds the most risk. Since P/E Global FX Alpha Fund first started, the Sharpe ratio is NA with an annualised volatility of 17.31%. The maximum drawdown of the investment product in the last 12 months is -13.42% and -28.1% since inception. The maximum drawdown is defined as the high-to-low decline of an investment during a particular time period.
What is the relative performance of the investment product? Relative performance is what an asset achieves over a period of time compared to similar investments or its peers. Relative return is a measure of the asset's performance compared to the return to the other investment. The P/E Global FX Alpha Fund has a 12-month excess return when compared to the Alternatives - Macro Index of -8.94% and 2.74% since inception.
Does the investment product produce Alpha over its Peers? Alpha is an investing term used to measure an investment's outperformance relative to a market benchmark or peer investment. Alpha describes the excess return generated when compared to peer investment. P/E Global FX Alpha Fund has produced Alpha over the Alternatives - Macro Index of NA% in the last 12 months and NA% since inception.
What are similar investment products? For a full list of investment products in the Alternatives - Macro Index category, you can click here for the Peer Investment Report.
What level of diversification will P/E Global FX Alpha Fund provide? P/E Global FX Alpha Fund has a correlation coefficient of 0.2 and a beta of 1.18 when compared to the Alternatives - Macro Index. Correlation measures how similarly two investments move in relation to one another. This establishes a 'correlation coefficient', which has a value between -1.0 and +1.0. A 100% correlation between two investments means that the correlation coefficient is +1. Beta in investments measures how much the price moves relative to the broader market over a period of time. If the investment moves more than the broader market, it has a beta above 1.0. If it moves less than the broader market, then the beta is less than 1.0. Investments with a high beta tend to carry more risk but have the potential to deliver higher returns.
How do I compare the investment product with its peers? For a full quantitative report on P/E Global FX Alpha Fund and its peer investments, you can click here for the Peer Investment Report.
How do I compare the P/E Global FX Alpha Fund with the Credit Suisse AllHedge Global Macro Index? For a full quantitative report on P/E Global FX Alpha Fund compared to the Credit Suisse AllHedge Global Macro Index, you can click here.
Can I sort and compare the P/E Global FX Alpha Fund to do my own analysis? To sort and compare the P/E Global FX Alpha Fund financial metrics, please refer to the table above.
Has the P/E Global FX Alpha Fund been independently verified by SMSF Mate? This investment product is in the process of being independently verified by SMSF Mate. Once we have verified the investment product, you will be able to find more information here.
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Comments from SMSF Mates SMSF Mate does not receive commissions or kickbacks from the P/E Global FX Alpha Fund. All data and commentary for this fund is provided free of charge for our readers general information.
Performance Commentary - August 31, 2023 • The Fund returned 7.08%, net of fees, in August 2023.
• Thus far, 2023 has been a year of currency divergence. The Japanese yen and the Australian dollar have depreciated versus the US dollar by more than 10% and 5%, respectively. By contrast, the euro and the British pound have appreciated versus the US dollar. In August, the strength of European currencies began to reverse as growth slowed and comparable rates fell. The European Central Bank appears to be near the end of its hiking cycle.
• Currently, yield spread, inflation, and relative growth factors are driving FX Strategy positioning. P/E’s factors currently favour currencies with higher rates and higher expected growth. Inflation risk is increasing as energy prices are near the highs for the year. In addition, P/E anticipates continued correction in currencies with extreme speculative positioning, such as the euro.
Performance Commentary - July 31, 2023 • The Fund returned -2.60%, net of fees, in July 2023.
• Over the last twelve months, European currencies have outperformed the US dollar by about 10%, and Asian/Pacific currencies have generally underperformed the US dollar by about 10%. European currencies have benefited from a lowering of perceived contagion risk from the war in Ukraine. Asian/Pacific currencies have fallen as the Chinese growth engine has sputtered. Overall, energy prices have fallen over the past year, leading to improving global inflation data. However, energy prices appear to have bottomed in June. Global economic data has also begun to diverge, with US economic data improving and European data deteriorating during the month of July.
• Currently, yield spread, inflation, and relative growth factors are driving FX Strategy positioning. P/E’s factors currently favour currencies with higher rates and higher expected growth, such as the US dollar. P/E see inflation risk increasing as optimism for low inflation remains high. In addition, the Fund anticipates correction in currencies with extreme speculative positioning.
Performance Commentary - June 30, 2023 • The Fund returned -2.55%, net of fees, in June 2023.
• During the month, the US Federal Reserve’s “skip” decision, alongside hawkish moves by other central banks, engendered short term negative sentiment for the US dollar. Economic growth concerns continued to rise in Asia, as China’s recovery faltered. Finally, positive economic surprise for the United States surpassed economic surprise indicators in Europe and Asia.
• Currently, yield spreads factors, inflation, and relative growth are driving FX Strategy positioning. P/E’s factors currently favour currencies with higher rates and higher expected growth, such as the US dollar. In addition, the Fund anticipates correction in currencies with extreme speculative positioning.
Performance Commentary - May 31, 2023 • The Fund returned 7.06%, net of fees, in May 2023.
• During the month, concerns regarding the US debt ceiling declined as government officials worked towards resolution. Strong employment and inflation data in the US, combined with slowing growth in both core Europe and China, supported the US dollar. In addition, significantly lower inflation data out of Europe reduced the expected hawkishness of the European Central Bank.
• Currently, inflation, capital flows, relative growth, and yield spreads factors are driving FX Strategy positioning. P/E’s factors currently favour safe haven currencies, such as the US dollar, and those with relatively more inverted yield curves. In addition, the Fund anticipates correction in currencies with extreme speculative positioning.
Performance Commentary - February 28, 2023 The Fund returned 9.70%, net of fees, in February 2023.
During the month, crowded long speculative positioning in certain currencies, most notably the euro, began to unwind. Similar periods of speculative unwinding occurred in early 2021 and in 2018. Given 2023 extremes, P/E are forecasting a significant rebound in the US dollar, versus the euro and Australian dollar, over the next few months. P/E notes that these views remain contrarian to the stated forecasts of many market participants.
Currently, the factors driving FX positioning are diverse. The importance of the relative long term rates factor has increased, while the significance of the relative growth factor has moderated. The inflation factor has also risen in significance. Overall, P/E’s factors favour the currencies of economies with relatively more inverted yield curves, relatively stronger growth prospects, and positive economic surprise. P/E also anticipates correction in currencies with extreme speculative positioning.
Performance Commentary - December 31, 2022 The Fund returned -5.27%, net of fees, in December 2022.
The Japanese yen strengthened considerably during the month, when the Bank of Japan widened the band on its Yield Curve Control (YCC) policy. Short term rates in Japan remain at 0%; however, Japanese 10 Year Notes can now yield up to 0.5%, versus 0.25% prior to the announcement. While this change was not material, it did fuel investor expectations of greater moves in the future. The US Federal Reserve and European Central Bank both raised rates by 50 bps in December; still, investors interpreted these moves divergently, seeing a more dovish Fed and a more hawkish ECB. Over the past two months, changes in speculative positions, rather than material changes in fundamental factors, have driven currency prices. Investors liquidated speculative long US dollar positions in November. In December, speculative short US dollar positions grew crowded. This crowding should support the US dollar into January.
Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) yield curve characteristics, where steeper curves are more attractive, and 3) capital flows, where the level of speculative positions has become material.
Performance Commentary - November 30, 2022 • The Fund returned -9.29%, net of fees, in November 2022.
• The US dollar weakened during the month as weaker inflation data spurred liquidation. While global speculators held net long US dollar positions mid-month, by month end, global speculators were net flat. Still, this movement was likely corrective, as the Fund’s fundamental drivers remained relatively unchanged. More specifically, positive relative growth, and elevated global inflation, are positive for both the US dollar, and for other safety currencies. US growth continued to outpace growth in other regions during November, supported by strong employment and liquidity conditions. P/E’s factors continue to indicate stronger growth in North America versus other parts of the world, and a strengthening of the US dollar, the Canadian dollar, and the Mexican peso, relative to the euro, the British pound, the Australian dollar, and the Japanese yen.
• Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) long term rates, where higher rates are more attractive, and 3) capital flows, where investors have been buying US assets versus those of Europe or Asia.
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