ABSOLUTE RETURN FUNDS : THE REAL DEAL?
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- Nickolas Underwood
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1 ABSOLUTE RETURN FUNDS : THE REAL DEAL? Matt Brenzel obo Francois van Wyk: Chief Investment Officer 2011 Best Specialist Fund House Morningstar Award 2011 Best Flexible Asset Allocation Fund
2 AGENDA Background and Introduction The Search for Real Returns & Practical Complexities The SA Experience (Past 5 years) Multi-Asset Funds Absolute Return Funds (Inflation Plus 5%) How to benefit from Absolute Return Funds Conclusion
3 INTRODUCTION Originated in South Africa in 2001 Following a period of poor asset class performance Traditional Balanced Funds could not keep pace with inflation Investors frustrated at paying for relative performance, but getting negative real returns Defined contribution environment puts investment responsibility in the hands of the members of a fund and shortens time horizons (behavioral aspect)
4 INTRODUCTION Annexure B to PF 130 provides guidance on formulating Fund s IPS Stipulates 3 performance objectives for Funds Real return of x% p.a. Benchmark portfolio Nominal rate of return Sanlam Benchmark Survey 88% of respondents have an IPS 56% of respondents have real return objective Absolute Return Funds in general are closer aligned to these principles due to explicit objectives (fund manager assumes the benchmark risk). Traditional Balanced Funds typically have peer relative benchmarks, not aligned to above principles (the client assumes the benchmark risk).
5 INTRODUCTION Absolute Return Funds have established themselves as a viable asset class/product set over the past decade: Within the Collective Investment Scheme (Retail) Environment R261.9bn (26.9%) represented by Multi-Asset products, of which; 79.6% in traditional Balanced Funds 20.4% in Absolute/Targeted Return Funds Within the Institutional Multi-Asset Environment (R316bn) 60.1% in Traditional Balanced Funds 39.9% in Absolute/Targeted Return Funds
6 THE HURDLE IS CYCLICAL IN NATURE.. 17% 15.5% 25% 9% 16% 11% Prime ODR
7 .AS IS THE TOOLKIT
8 EQUITIES INVERSELY CORRELATED WITH CPI (VIA INTEREST RATES) Rising rates, beyond a certain threshold, tend to dampen equities
9 CRUCIAL TO UNDERSTAND THE BEHAVIOUR OF DIFFERENT ASSET CLASSES Only Cash is positively correlated to Inflation Correlation Matrix (Oct Sep 2011) Domestic LMW Peer Mean Global LMW Peer Mean Cash Bonds Equities Property CPI REPO Domestic LMW Peer Mean Global LMW Peer Mean Cash Bonds Equities Property CPI REPO
10 DIFFERENT ECONOMIC ENVIRONMENTS Understanding Asset Class behavior during different Economic Environments is Key INFLATION ECONOMIC ENVIRONMENTS Accelerating Decelerating Rising Expansion (89%) Correction (65%) GDP GROWTH Declining Stagflation (60%) Contraction (51%)
11 ASSET ALLOCATION RESEARCH SUMMARY Inflation Economic environments Accelerating Decelerating Rising Expansion Correction GDP Growth Declining Stagflation Contraction Probability of outperforming CPI + 5% in different Economic environments Assets Expansion Stagflation Correction Contraction Cash 0% 8% 29% 35% Bonds 21% 48% 36% 58% Equity 89% 44% 62% 2% Interest Rate Sensitive Financials 56% 62% 58% 44% Banks 64% 66% 58% 49% General Retailers 79% 52% 84% 19% Rand Hedge/Commodities/Defensives Resources 93% 18% 55% 0% Beverages 78% 56% 74% 23%
12 ASSET CLASS RETURNS IN THE LAST DECADE Good for Property & Equities..but increased volatility
13 ASSET CLASS RETURNS IN THE LAST DECADE Good for Equities..but increased volatility 08 09: Subprime and Lehman Bros. QE : Bonds driven by inflation targeting 10 TD: QE II, Euro-zone 05 08: Equities driven by economic and earnings growth
14 PERFORMANCE OF MULTI ASSET CLASS FUNDS Absolute Return Funds have offered protection and reduced volatility
15 THE PAST 5 YEARS Steady but Surely
16 GIVEN THE COMPLEXITIES How have SA fund managers fared?
17 RISK RETURN ANALYSIS October 2006 September 2011
18 RISK RETURN ANALYSIS October 2006 September 2011
19 RISK RETURN ANALYSIS October 2006 September 2011
20 RISK RETURN ANALYSIS October 2006 September 2011
21 RISK RETURN ANALYSIS October 2006 September 2011
22 PERFORMANCE OF MULTI ASSET CLASS FUNDS 5 Years Ended Sept 2011
23 PERFORMANCE OF MULTI ASSET CLASS FUNDS 5 Years Ended Sept 2011
24 ANALYSIS OF FUND RETURNS October 2006 September 2011 Analysis of the Absolute Return Funds with Benchmark: CPI + 5 (October September 2011) Annualised Annualised Sharpe Ratio Downside Sortino Ratio Fund Name Return Risk (Rank) Risk (Rank) Coronation Absolute Domestic (2) (2) Cadiz Inflation + 5% (5) (5) Domestic LMW Peer Mean (10) (10) Prudential Global Inflation Plus 5% (6) (6) Investment Solution Real Return Focus Local (4) (3) SMM Absolute Return (7) (7) Prescient Positive Return Fund (3) (4) Foord Asset Management Absolute (12) (12) Investec Absolute Balanced (1) (1) Global LMW Peer Mean (14) (15) Investment Solution Real Return Focus (8) (8) SIM CPI + 5% (9) (9) JMBusha Absolute AllClass (13) (13) SYmmETRY CPIX+5% Fund (11) (11) Vunani Fund Managers CPI+ 5-Domestic (15) (14) Mergence Africa Absolute Return Fund (16) (16) RMBAM Prominent Inflation (17) (17) STANLIB Domestic Absolute Return (18) (18) Metropolitan Absolute (19) (19) STANLIB AM Absolute (20) (20) Average
25 SOUTH AFRICAN ABSOLUTE RETURN FUNDS In the category of CPI+ 5% There should be significant differences between Absolute Return and Traditional Balanced funds. Evaluation factors to consider when looking at these funds: Drawdown (fall from peak to trough) Downside Participation (return captured when the market is negative) Upside Participation (return captured when the market is positive) Ability to protect capital over a rolling 12 month period Relative returns
26 DRAWDOWNS Balanced Funds do considerably worse 0.0% Maximum Drawdown for the 3 Years ending 30 September % -4.0% -6.0% -8.0% -10.0% -12.0% -14.0%
27 UPSIDE/DOWNSIDE PARTICIPATION In general, AR managers have done better than their BF peers 70.00% Participation for the 3 years ending 30 September % 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% % % Downside Upside %
28 CAPITAL PROTECTION A focal area & Balanced Funds clearly do not have a Capital Protection mindset Capital Protection over rolling 12 months for the 60 months ending 30 September % 80.00% 60.00% 40.00% 20.00% 0.00%
29 PERFORMANCE On Performance alone, Balanced Funds are competitive Man N Median Moderate Balanced (Local) Man Z Man O Man J Man P Top Quartile Man A Man F Median Moderate Balanced (Global) Man T Man C Man H Man I Man M Man Q Man B Man G Man D Man K Man R Man L Man E Man S 3 Years to 30 September % 2% 4% 6% 8% 10% 12% 14% 16%
30 OBSERVATIONS A clear distinction exists between Balanced and AR funds Maximum drawdown Capital protection Several different strategies are used in the AR space Equity centric Low equity Hedged equity Asset allocation centric Capital protection & reduced volatility rank high on the AR agenda Few funds are designed to perform through the cycle
31 GIVEN THE EVIDENCE What to do
32 ROLLING 12 MONTH RISK RETURN: BALANCED FUNDS VS. INFLATION October 2006 September 2011
33 ROLLING 12 MONTH RISK RETURN: BALANCED & ABSOLUTE RETURN FUNDS VS. INFLATION October 2006 September 2011
34 CONCLUSION Myth or Delivering the goods? Empirical evidence strongly supports a case for Absolute Return Funds Less volatile Ability to protect capital Real Return mindset The introduction of Absolute Return type exposure within a Balanced Fund Environment will enhance Fund s performance characteristics Manager selection and fund strategy are crucial Patience and a long-term focus is, as always, essential
35 QUESTIONS?
36 Regulatory Information Physical Address: 4rd Floor, The Terraces 25 Protea Road Claremont 7700 T Cadiz Asset Management ( CAM ) is a licensed discretionary financial services provider (FSP 636) approved by the Registrar of Financial Services Providers ( to provide intermediary services and advice in terms of the Financial Advisory and Intermediary Services Act 37 of Market fluctuations and changes in rates of exchange or taxation may have an effect on the value, price or income of investments. Because the performance of financial markets fluctuates an investor may not get back the full amount invested. Past performance is not necessarily a guide to future investment performance. All returns are rand returns, and calculated by Cadiz, unless otherwise stated. Investment deals done on behalf of clients with an associated company within the Cadiz Group are all done on an arms length basis.
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