The Acadian Global Managed Volatility Equity Fund (The Fund) is an actively managed, equity investment strategy that seeks to capture returns similar to that of a global equity index, but with significantly lower absolute volatility and superior downside protection over the long term. Limiting absolute risk has the potential to allow investors to compound wealth more efficiently and steadily.
The Portfolio returned -0.01%, 15.72%, 6.35% and 10.18% net of fees for the quarterly, 1-,5-, and 10-year periods, versus returns of -0.37%, 20.34%, 8.92% and 11.62% for the cap-weighted benchmark2. A combination of stock selection and an underweight position in information technology contributed 60 basis points, led by a position in Dell Technologies. Stock selection in healthcare contributed 47 basis points, owing primarily to holding in Amgen. Offsetting these results to a degree were 48 basis points of negative returns from a combination of stock selection and an overweight position in consumer staples, driven by a position in Hershey.*
Approximately 49% of the portfolio was held in the lowest beta stocks, compared to roughly 17% for the index. The portfolio’s allocation to the lowest beta quintile contributed 32 basis points; however, losses from stock selection within this quintile (-41 basis points) offset these returns to yield a net detraction of 9 basis points.
Key Holdings3
Positive
‐ Our overweight to Dell Technologies Inc., a manufacturer and seller of various comprehensive and integrated solutions, products, and services, was rewarded with 21 basis points of active return as share prices rallied 27.3% during the quarter. Growth in demand for workstations that enable organizations to run complex AI workloads locally has been boosting the company’s revenues.
Negative
‐ Our overweight to Hershey, a provider of confectionery products and pantry items, cost the portfolio 22 basis points of active return as share prices fell 21% in the quarter. The company lowered its GAAP EPS outlook for the upcoming quarter on recessionary concerns. Notably, its management did not increase its revenue guidance for 2023, during the last earnings release, indicating weak top line growth.
What is Acadian Global Managed Volatility Equity Acadian Global Managed Volatility Equity is an Managed Funds investment product that is benchmarked against Developed -World Index and sits inside the Foreign Equity - Large Quantitative 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 Acadian Global Managed Volatility Equity has Assets Under Management of 273.67 M with a management fee of 0.62%, a performance fee of 0.00% and a buy/sell spread fee of 0.1%.
How has the investment product performed recently?
The recent investment performance of the investment product shows that the Acadian Global Managed Volatility Equity has returned -0.67% in the last month. The previous three years have returned 10.18% annualised and 8.28% each year since inception, which is when the Acadian Global Managed Volatility Equity 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 Acadian Global Managed Volatility Equity first started, the Sharpe ratio is NA with an annualised volatility of 8.28%. The maximum drawdown of the investment product in the last 12 months is -2.09% and -12.52% 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 Acadian Global Managed Volatility Equity has a 12-month excess return when compared to the Foreign Equity - Large Quantitative Index of -3.98% and -2.27% 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. Acadian Global Managed Volatility Equity has produced Alpha over the Foreign Equity - Large Quantitative 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 Foreign Equity - Large Quantitative Index category, you can click here for the Peer Investment Report.
What level of diversification will Acadian Global Managed Volatility Equity provide?
Acadian Global Managed Volatility Equity has a correlation coefficient of 0.9 and a beta of 0.79 when compared to the Foreign Equity - Large Quantitative 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 Acadian Global Managed Volatility Equity and its peer investments, you can click here for the Peer Investment Report.
How do I compare the Acadian Global Managed Volatility Equity with the Developed -World Index?
For a full quantitative report on Acadian Global Managed Volatility Equity compared to the Developed -World Index, you can click here.
Can I sort and compare the Acadian Global Managed Volatility Equity to do my own analysis?
To sort and compare the Acadian Global Managed Volatility Equity financial metrics, please refer to the table above.
Has the Acadian Global Managed Volatility Equity 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.
How can I invest in Acadian Global Managed Volatility Equity?
If you or your self managed super fund would like to invest in the Acadian Global Managed Volatility Equity please contact Tower 1, Ground Floor, 201 Sussex St,Sydney, NSW, 2000 via phone +61 2 93782000 or via email .
How do I get in contact with the Acadian Global Managed Volatility Equity?
If you would like to get in contact with the Acadian Global Managed Volatility Equity manager, please call +61 2 93782000.
Comments from SMSF Mates
SMSF Mate does not receive commissions or kickbacks from the Acadian Global Managed Volatility Equity. All data and commentary for this fund is provided free of charge for our readers general information.
Performance Commentary - June 30, 2023 The Portfolio returned 4.18%, 15.59%, 7.59% and 10.65% net of fees for the quarterly, 1-,5-, and 10-year periods, versus returns of 6.83%, 20.38%, 10.38% and 12.27% for the cap-weighted benchmark2. An overweight position in consumer staples detracted 74 basis points, led by an overweight to Cal-Maine Foods.
Furthermore, a combination of stock selection and an overweight position in materials detracted 71 basis points, owing primarily to an overweight to Royal Gold. Offsetting these results to a degree were 24 basis points of positive returns from a combination of stock selection and an underweight position in financials, driven by an overweight to Marsh & McLennan.*
Approximately 49% of the portfolio was held in the lowest beta stocks, compared to roughly 17% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative. Approximately 37% of the portfolio was held in the lowest volatility stocks, compared to roughly 28% for the index. The effect of the portfolio’s exposure to the lowest volatility quintile was negative.
Performance Commentary - March 31, 2023 The Portfolio returned 5.62%, 8.44%, 7.55% and 11.29% net of fees for the quarterly, 1-,5-, and 10-year periods, versus returns of 8.65%, 3.78%, 9.87% and 12.94% for the cap-weighted benchmark2. A combination of stock selection and an underweight position in information technology detracted 151 basis points, led by a lack of exposure to NVIDIA. Furthermore, a combination of stock selection and an underweight position in consumer discretionary detracted 82 basis points, owing primarily to a lack of exposure to Tesla. Offsetting these results to a degree were 72 basis points of positive returns from a combination of stock selection and an underweight position in financials, driven by a lack of exposure to Charles Schwab.*
Approximately 45% of the portfolio was held in the lowest beta stocks, compared to roughly 16% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was negative. Approximately 39% of the portfolio was held in the lowest volatility stocks, compared to roughly 28% for the index. The effect of the portfolio’s exposure to the lowest volatility quintile was negative.
Key Holdings3
Positive
‐ The overweight to Reliance Steel & Aluminum Co., a diversified metal solutions provider and the metals service center company, was rewarded with 27 basis points of active return as share prices gained 23.9% over the quarter. The company expects to benefit from healthy demand trends in the first quarter of 2023, estimating an uptick of 11%-13% in its tons sold in the period.
Negative
‐ The lack of exposure to NVIDIA Corp., an artificial intelligence computing company, cost the portfolio 53 basis points of active return as share prices rallied 87.4% over the quarter. The company has been benefiting from growth opportunities in ray-traced gaming, rendering, high-performance computing, AI and self-driving cars. A surge in Hyperscale demand also boosted its shares.
Performance Commentary - December 31, 2022 The Portfolio returned 5.19%, -1.08%, 6.54% and 11.43% net of fees for the quarterly, 1-,5-, and 10-year periods, versus returns of 4.07%, -12.46%, 8.27% and 12.68% for the cap-weighted benchmark2. A combination of an underweight position and stock selection in consumer discretionary added 130 basis points, led by a lack of exposure to Tesla Inc. A combination of stock selection and underweight position in information technology contributed 85 basis points, owing primarily to a position in Apple Inc. Offsetting these results to a degree was 80 basis points of negative returns from a stock selection in energy, driven by a lack of exposure in Exxon Mobil Corp.*
Approximately 45% of the portfolio was held in the lowest beta stocks, compared to roughly 17% for the index. The effect of the portfolio’s exposure to the lowest beta quintile was positive. Approximately 40% of the portfolio was held in the lowest volatility stocks, compared to roughly 28% for the index. The effect of the portfolio’s exposure to the lowest volatility quintile was negative.
Key Holdings3
Positive
‐ Our lack of exposure to Tesla, Inc., an EV maker, was rewarded with 82 basis points of active return as share prices declined 54.1% over the quarter. Tesla’s Q4 EV delivery data disappointed, falling short of expectations and weighed on the stock. The company made 405,278 deliveries in the period, compared to the consensus estimate of around 427,000 deliveries.
Negative
‐ Our out of benchmark exposure to H&R Block, Inc., a provider of assisted income tax return preparation and do-it-yourself (DIY) tax return preparation services and products, cost the portfolio 17 basis points of active return as share prices fell 13.7% over the quarter. Escalating operating expenses have been eroding the company’s margins. Additionally, its decreasing current ratio is not desirable.
Performance Commentary - September 30, 2022 For the third quarter, the portfolio saw -0.03% of negative return, providing 0.3% of active returns relative to the cap-weighted benchmark2. A combination of stock selection and an overweight position in health care added 53 basis points, led by an overweight to Molina Healthcare. Stock selection in industrials contributed 40 basis points, owing primarily to a position in Wolters Kluwer NV. Offsetting these results to a degree was 37 basis points of negative return from a combination of stock selection and an underweight position in consumer discretionary, driven by a lack of exposure in Tesla Inc.*
Approximately 46% of the portfolio was held in the lowest beta stocks, compared to roughly 18% for the index. The portfolio’s allocation to the lowest beta quintile detracted 102 basis points and loss from stock selection within this quintile (-16 basis points) provided positive return, to yield a net detraction of 118 basis points.
Performance Commentary - June 30, 2022 For the second quarter, the portfolio saw -2.1% of negative return, providing 5.8% of active returns relative to the cap-weighted benchmark2 . A combination of stock selection and an underweight position in information technology added 145 basis points, led by a lack of exposure in Amazon. Stock selection in communication services contributed 124 basis points, owing primarily to a position in KT Corp.
Offsetting these results to a degree was 24 basis points of negative return from a combination of stock selection and an overweight position in energy, driven by a position in South32 Ltd.* Approximately 44% of the portfolio was held in the lowest beta stocks, compared to roughly 18% for the index. The portfolio’s allocation to the lowest beta quintile contributed 326 basis points and gains from stock selection within this quintile (+151 basis points) provided positive return, to yield a net contribution of 476 basis points.
Performance Commentary - March 31, 2022 For the first quarter, the portfolio saw -4.2% of negative return, providing 4.1% of active returns relative to the cap-weighted benchmark . A combination of stock selection and an overweight position in materials added 166 basis points, led by a holding in South32. Stock selection in communication services contributed 99 basis points, owing primarily to a position in KT Corp.
Offsetting these results to a degree was 44 basis points of negative return from a combination of stock selection and an underweight position in energy, driven by a position in Exxon Mobil.* Approximately 32.3% of the portfolio was held in the lowest beta stocks, compared to roughly 15.9% for the index. The portfolio’s allocation to the lowest beta quintile contributed 97 basis points and gains from stock selection within this quintile (+198 basis points) provided positive return, to yield a net contribution of 295 basis points.
Performance Commentary - December 31, 2021 For the fourth quarter, the portfolio saw 6.2% of positive return, up 0.2% relative to the cap-weighted benchmark2. Stock selection in health care contributed 84 basis points, owing primarily to a position in Cerner. A combination of stock selection and an underweight position in industrials added 52 basis points, led by a holding in AP Moller – Maersk. Offsetting these results to a degree was 87 basis points of negative return from a combination of stock selection and an overweight position in communication services, driven by a position in KDDI.
Approximately 43.5% of the portfolio was held in the lowest beta stocks, compared to roughly 16.4% for the index. The portfolio’s allocation to the lowest beta quintile detracted 71 basis points; however, gains from stock selection within this quintile (+49 basis points) provided some positive offset, to yield a net detraction of 22 basis points.
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