Ironbark LHP Diversified Investments aims to achieve long-term absolute returns in all market conditions over a rolling five-year period, with lower volatility than equity markets and in excess of inflation. Fulcrum Asset Management employs a top-down investment process which combines fundamental and behavioural research to identify a handful of core macro themes and satellite ideas to construct a highly diversified and liquid portfolio with low directional exposure. The Fulcrum strategy invests globally, with exposure to equities, fixed income, commodities, alternatives and cash.
The Fulcrum Diversified Investment Fund (the ‘Fund’) returned -1.10% (net) for the quarter, with losses from Discretionary Macro offsetting gains from Dynamic Asset Allocation (DAA) and Diversifying Strategies (DS).
Within DAA, gains were led by long exposure to equities, whilst commodities were the main detractor. Fixed income, which the Fund is underweight, had a small negative impact. Returns from DS were led by currencies and commodities positioning within trendfollowing strategies.
Within DM, Fixed Income contributed positively over the quarter, as long positioning in Mexican and Brazilian rates benefited from a substantial decline in forward rate pricing across emerging markets. Performance within currencies was roughly flat over the quarter, with positive performance from emerging market Asian currencies offset by losses on our long Japanese yen holdings as the Bank of Japan maintained its loose policy stance.
Meanwhile, in Equity Macro, option-based exposure to the FTSE 100 detracted after the upside inflation surprise and resultant selloff in UK assets. Equity Thematic also saw losses, as declining energy prices and global industrial weakness led to falls in oil producers and oil refining companies. This weakness in energy prices affected the Commodities strategy, which also detracted from its exposure to precious metals, given the sharp rise in real yields. The Cross Asset strategy saw losses driven by continued defensive positioning from the macro models.
Elsewhere, Dynamic Convexity had a difficult quarter, with low volatility across asset classes resulting in limited payoffs and detractions from option premia. Finally, Volatility strategies had a strong quarter, with gains concentrated in VIX carry, VIX put and equity dispersion positions.
What is Ironbark LHP Diversified Investments Ironbark LHP Diversified Investments is an Managed Funds investment product that is benchmarked against Credit Suisse AllHedge Fund Index and sits inside the Alternatives - FOHF 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 Ironbark LHP Diversified Investments has Assets Under Management of 110.67 M with a management fee of 1.05%, a performance fee of 0.00% and a buy/sell spread fee of 0%.
How has the investment product performed recently?
The recent investment performance of the investment product shows that the Ironbark LHP Diversified Investments has returned 1.72% in the last month. The previous three years have returned 2.02% annualised and 6.47% each year since inception, which is when the Ironbark LHP Diversified Investments 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 Ironbark LHP Diversified Investments first started, the Sharpe ratio is 0.29 with an annualised volatility of 6.47%. The maximum drawdown of the investment product in the last 12 months is -3.85% and -19.73% 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 Ironbark LHP Diversified Investments has a 12-month excess return when compared to the Alternatives - FOHF Index of -3.61% and 1.3% 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. Ironbark LHP Diversified Investments has produced Alpha over the Alternatives - FOHF Index of -0.29% in the last 12 months and 0.11% since inception.
What are similar investment products?
For a full list of investment products in the Alternatives - FOHF Index category, you can click here for the Peer Investment Report.
What level of diversification will Ironbark LHP Diversified Investments provide?
Ironbark LHP Diversified Investments has a correlation coefficient of 0.72 and a beta of 1.2 when compared to the Alternatives - FOHF 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 Ironbark LHP Diversified Investments and its peer investments, you can click here for the Peer Investment Report.
How do I compare the Ironbark LHP Diversified Investments with the Credit Suisse AllHedge Fund Index?
For a full quantitative report on Ironbark LHP Diversified Investments compared to the Credit Suisse AllHedge Fund Index, you can click here.
Can I sort and compare the Ironbark LHP Diversified Investments to do my own analysis?
To sort and compare the Ironbark LHP Diversified Investments financial metrics, please refer to the table above.
Has the Ironbark LHP Diversified Investments 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 Ironbark LHP Diversified Investments?
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Comments from SMSF Mates
SMSF Mate does not receive commissions or kickbacks from the Ironbark LHP Diversified Investments. All data and commentary for this fund is provided free of charge for our readers general information.
Performance Commentary - March 31, 2023 The Fulcrum Diversified Investment Fund returned -2.73% (net) for the quarter.
The investment manager’s Macro Allocation and Risk System (MARS) was introduced to the Dynamic Asset Allocation (DAA) strategy. MARS is a proprietary quantitative modelling system that jointly forecasts macroeconomic variables and asset returns and holds long positions in global equities, sovereign fixed income, and commodities. The positive performance of DAA over the quarter came from its positioning in equity and fixed income, whilst commodities detracted.
Volatility posted losses coming from short VRP positions in VIX and bonds in March. Commodities saw mixed performance with losses coming from our long precious metals position which only saw a positive performance pick up in March on the back of an increasing risk-off sentiment, while the position posted mixed returns in the first two month of the year. This was offset by the investment manager’s long Carbon Emissions exposure in the UK and Europe, which posted gains on the back of stable economic activity in the regions.
Equity Thematic detracted from returns, driven by losses in the Long Health Insurers theme amid regulatory uncertainties, while the Short Real Estate and Long US Housing positions recorded gains. The Dynamic Convexity strategy detracted from returns as equities remained relatively strong over the period, despite high levels of volatility and an uncertain macro backdrop. In addition, currency volatility remained very low and inflation risk was largely priced out of the market.
Elsewhere, Cross Asset and Equity Macro were flat over the quarter, whilst Diversifying Strategies detracted amid the sharp reversal in market trends.
Performance Commentary - December 31, 2022 The Fulcrum Diversified Investment Fund returned -2.90% (net) for the quarter, with gains from directional strategies offsetting losses from relative value and diversifying strategies. Within relative value, losses were led by equity thematic as risk sentiment rebounded, and currencies performance was hit by an appreciation in European FX. Cross asset and diversifying strategies saw losses as price trends reversed and growth sentiment improved, and dynamic convexity was also down. Commodities positions added to returns as both precious and industrial metals saw strong gains over the quarter.
Performance Commentary - September 30, 2022 The Fulcrum Diversified Investment Fund returned 3.10% (net) for the quarter, with gains from relative value and diversifying strategies offsetting losses from directional strategies. Within relative value, gains were made from the investment manager’s negative stance on European government bonds, as well as from positioning for a strengthening US dollar.
Performance Commentary - June 30, 2022 The Fulcrum Diversified Investment Fund returned -1.26% (net) for the quarter, with broad based gains from relative value strategies and diversifying strategies not enough to offset losses from directional strategies. However, the portfolio exhibited very low sensitivity to traditional assets, demonstrating the important role the Fund can play during periods of weakness for traditional portfolios.
Performance Commentary - March 31, 2022 The Fulcrum Diversified Investment Fund returned 3.80% (net) for the quarter, with very strong gains from Relative Value Strategies and Diversifying Strategies, whilst Directional strategies detracted marginally. Interestingly, performance was positive each month in the quarter and was broad based across each sub-strategy. Importantly for an absolute return strategy, the returns exhibited a very low sensitivity to traditional assets, demonstrating the important role the Fund can play in an investment portfolio during times such as these.
The investment manager believes that we are in the first innings of the 2020s inflation shock, with the market still complacent about the inflation outlook. Central banks face the difficult task of bringing inflation under control without tipping the economy into recession. Despite the fact that a smooth landing becomes increasingly difficult the more action is delayed, central banks are likely to tolerate a higher level of inflation. Meanwhile, China’s domestic challenges are likely to negatively impact growth and, together with the RussiaUkraine situation, worsen the current global inflationary forces.
Performance Commentary - June 30, 2021 The Fulcrum Diversified Investments Fund returned 2.68% (net) for the quarter. The key drivers of returns from the Directional Strategies came from the Fund’s exposure to UK equities. Within Relative Value the key contributors were from positioning within currencies, commodities, and the Fund’s volatility strategies. Detractors came from within the Fund’s fixed income and equity macro positioning.
The investment manager’s long Chinese renminbi and US dollar positions were the main performers within currencies. Additionally, the investment manager’s long exposure to oil performed well as did the exposure to carbon emissions. As mentioned above, the investment manager has taken profits on their long US dollar positioning and are now neutral. Within fixed income the Fund’s US steepener underperformed as short-term interest rates increased relative to long-term rates on the back of the Federal Open Market Committee meeting in June, thereby resulting in an overall flatter yield curve. While the investment manager continues to hold a net negative duration bias, the investment manager has reduced their exposures.
Performance Commentary - March 31, 2021 The Fulcrum Diversified Investments Fund returned 3.40% (net) for the quarter.
In terms of performance drivers, directional made 1.2%, relative value strategies contributed 2.5% while diversifying strategies added another 0.2% and hedging detracted 0.2%. Within relative value, our commodity and currency strategies contributed the most to performance, with volatility and cross asset strategies also adding to returns. While a strong performer during previous quarters, equity thematic strategies were the main detractor in the first quarter, driven mainly by the investment manager’s technology disruption theme.
Elsewhere in fixed income, gains in UK, European and select emerging market exposures were insufficient to offset losses in the Fund’s US rates positions, which the investment manager reduced as the quarter progressed. The performance of the Fund over the first quarter of 2020 and 2021 highlights the complementarity return stream that the Fund can provide in significant periods of market turbulence. The Fund posted positive returns during both the first quarter of 2020 and the first quarter of 2021, when financial markets experienced one of the largest equity sell-offs and one of the largest bond sell-offs respectively
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