Arrowstreet Global Equity aims to achieve a long-term total return (before fees and expenses) that exceeds the MSCI All Country World ex Australia Index, in $A unhedged with net dividends reinvested (Benchmark). Arrowstreet employs a fully quantitative investment management approach and subscribes to a core investment style. The Manager has noted that over the short term the Fund may exhibit either value or growth traits depending on the prevailing market conditions, however over the long term this should even out to be core or style neutral.
• The Fund returned -1.14%, net of fees, in September 2023, compared with a return for the Benchmark of -3.82%.
• Energy was the only market sector to advance in September, with IT and Consumer Discretionary amongst the leading Benchmark detractors. For the Fund, the largest relative sector contributors were Energy, as a result of overweight positioning in UK Energy and French Energy, and Financials, owing to overweight positioning in Japanese, Chinese and Turkish Financials. There were no sector level detractors for the Fund during the month.
• On a country basis, the US and France were the main detractors from index performance. The largest relative contributors for the Fund included Japan, owing to overweight positioning in Japanese Financials, and overweight positioning and stock selection within Japanese Industrials, and the US, due to stock selection in US Communication Services and underweight positioning to US Industrials. Taiwan was the largest relative detractor, driven by stock selection in Taiwanese IT.
• Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of its Benchmark. Arrowstreet’s core investment style seeks to outperform during a broad range of market environments.
What is Arrowstreet Global Equity Arrowstreet Global 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 Arrowstreet Global Equity has Assets Under Management of 2.83 BN with a management fee of 1.28%, a performance fee of 0.00% and a buy/sell spread fee of 0.3%.
How has the investment product performed recently? The recent investment performance of the investment product shows that the Arrowstreet Global Equity has returned 0.48% in the last month. The previous three years have returned 13.56% annualised and 11.6% each year since inception, which is when the Arrowstreet Global 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 Arrowstreet Global Equity first started, the Sharpe ratio is 0.59 with an annualised volatility of 11.6%. The maximum drawdown of the investment product in the last 12 months is -1.94% and -37.29% 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 Arrowstreet Global Equity has a 12-month excess return when compared to the Foreign Equity - Large Quantitative Index of 2.2% and 2.13% 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. Arrowstreet Global Equity has produced Alpha over the Foreign Equity - Large Quantitative Index of 0.5% in the last 12 months and 0.18% 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 Arrowstreet Global Equity provide? Arrowstreet Global Equity has a correlation coefficient of 0.96 and a beta of 0.71 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 Arrowstreet Global Equity and its peer investments, you can click here for the Peer Investment Report.
How do I compare the Arrowstreet Global Equity with the Developed -World Index? For a full quantitative report on Arrowstreet Global Equity compared to the Developed -World Index, you can click here.
Can I sort and compare the Arrowstreet Global Equity to do my own analysis? To sort and compare the Arrowstreet Global Equity financial metrics, please refer to the table above.
Has the Arrowstreet Global 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 Arrowstreet Global Equity? If you or your self managed super fund would like to invest in the Arrowstreet Global Equity please contact Macquarie Group Investor Relations 50 Martin Place, Sydney, NSW 2000, Australia via phone +61 2 82323333 or via email -.
How do I get in contact with the Arrowstreet Global Equity? If you would like to get in contact with the Arrowstreet Global Equity manager, please call +61 2 82323333.
Comments from SMSF Mates SMSF Mate does not receive commissions or kickbacks from the Arrowstreet Global Equity. 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 1.97%, net of fees, in August 2023, compared with a return for the Benchmark of 1.17%.
• The majority of market sectors moved higher during the month in unhedged terms, led by Energy, Health Care and IT. For the Fund, the largest relative sector contributors were Energy, as a result of stock selection in Brazilian Energy and overweight positioning in French Energy and Turkish Energy, and Consumer Staples, owing to overweight positioning in Turkish Consumer Staples. Health Care was the largest relative detractor, due to stock selection and underweight positioning in US Health Care.
• On a country basis, the US powered the overall index, offsetting weakness in Chinese equity markets. The largest relative contributors to the Fund included Turkey, owing to overweight positioning in Turkish Financials, Turkish Consumer Staples and Turkish Energy, and Japan, as a result of stock selection in Japanese Industrials. The US was the largest relative detractor, driven by stock selection in US Financials and underweight positioning in US Energy.
• Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of its Benchmark. Arrowstreet’s core investment style seeks to outperform during a broad range of market environments.
Performance Commentary - July 31, 2023 • The Fund returned 2.16%, net of fees, in July 2023, compared with a return for the Benchmark of 2.39%.
• All sectors made a positive contribution to benchmark returns in July, led by Financials and Communication Services. For the Fund, the largest relative sector detractors were IT, as a result of stock selection in US IT and Chinese IT, and Consumer Discretionary, owing to stock selection in US Consumer Discretionary as well as underweight positioning and stock selection in Chinese Consumer Discretionary. Consumer Staples was the largest relative contributor, as a result of overweight positioning in Turkish Consumer Staples.
• On a country basis, positive index performance was driven by the US, China and Japan. The largest relative detractors from the Fund included the US, owing to stock selection in US IT and US Consumer Discretionary, and China, owing to stock selection in Chinese IT as well as underweight positioning and stock selection in Chinese Consumer Discretionary. Turkey was the largest relative contributor, due to overweight positioning in Turkish Financials, Turkish Consumer Staples and Turkish Energy.
• Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of its Benchmark. Arrowstreet’s core investment style seeks to outperform during a broad range of market environments.
Performance Commentary - June 30, 2023 • The Fund returned 2.83%, net of fees, in June 2023, compared with a return for the Benchmark of 2.88%.
• The Consumer Discretionary, IT and Industrials sectors made the largest contributions to a strong month for the index. For the Fund, the largest relative sector contributors were Energy, primarily due to overweight positioning and stock selection in Brazilian Energy, and Consumer Staples, owing to underweight positioning in US Consumer Staples. Financials was the largest relative detractor, as a result of overweight positioning and stock selection in Chinese Financials.
• On a country basis, the index-heavyweight US was responsible for most of the market’s gains. The largest relative contributors to the Fund included Brazil, owing to overweight positioning and stock selection in Brazilian Energy, and the UK, owing to overweight positioning in UK Materials and underweight positioning in UK Health Care and UK Consumer Staples. China was the largest relative detractor, due to overweight positioning and stock selection in Chinese Financials, as well as stock selection in Chinese Communication Services.
• Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of its Benchmark. Arrowstreet’s core investment style seeks to outperform during a broad range of market environments.
Performance Commentary - May 31, 2023 Performance summary:
• The Fund returned 1.32%, net of fees, in May 2023, compared with a return for the Benchmark of 1.10%.
• The IT, Communication Services and Consumer Discretionary sectors were the only positive contributors to index returns in May. The largest relative sector contributors to the Fund were Communication Services, as a result of stock selection and overweight positioning in US Communication Services, and Health Care, owing to stock selection in US Health Care. Consumer Discretionary was the largest relative detractor, as a result of stock selection in US Consumer Discretionary, partially offset by overweight positioning.
• On a country basis, the technology sectors of the US, Japanese and Taiwanese equity markets powered the index higher. For the Fund, the largest relative contributors included Canada, as a result of underweight positioning in Canadian Financials and Canadian Materials, and South Korea, owing to overweight positioning in South Korean IT. The UK was the largest relative detractor, as a result of overweight positioning in UK Energy.
• Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of its Benchmark. Arrowstreet’s core investment style seeks to outperform during a broad range of market environments.
Performance Commentary - April 30, 2023 • The Fund returned 3.99%, net of fees, in April 2023, compared with a return for the Benchmark of 2.83%.
• The Financials, Health Care and Consumer Staples sectors made the largest contributions to index returns amid a broad-based rally
in April. For the Fund, the largest relative sector contributors were Consumer Discretionary, as a result of stock selection in US
Consumer Discretionary and underweight positioning in Chinese Consumer Discretionary, and Energy, owing to overweight
positioning in Brazilian Energy, UK Energy and French Energy. Materials was the largest relative detractor, as a result of stock
selection and overweight positioning in UK Materials.
• On a country basis, equity markets in the US, UK, France and Switzerland all drove gains for the index. The largest relative
contributors to the Fund included the US, driven by stock selection in US Consumer Discretionary and US Health Care, and China,
owing to underweight positioning in Chinese Consumer Discretionary and overweight positioning in Chinese Financials. Turkey was
the largest relative detractor, as a result of overweight positioning and stock selection in Turkish Industrials.
• Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in
countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of its Benchmark. Arrowstreet’s core
investment style seeks to outperform during a broad range of market environments.
Performance Commentary - March 31, 2023 The Fund returned 2.29%, net of fees, in March 2023, compared with a return for the Benchmark of 3.87%.
With the notable exception of Financials, most index sectors advanced in March, with IT and Communication Services the largest contributors. For the Fund, the largest relative sector detractors were Energy, as a result of overweight positioning in UK Energy and French Energy, and Consumer Discretionary, owing to stock selection in US Consumer Discretionary. IT was the largest relative contributor, as a result of overweight positioning in South Korean IT and US IT.
On a country basis, the US again made the largest contribution to index returns. The largest relative detractors from the Fund included France, driven by overweight positioning in French Energy and French Financials, and Japan, owing to overweight positioning in Japanese Financials. Canada was the largest relative contributor, as a result of underweight positioning in Canadian Financials and stock selection in Canadian IT.
Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of its Benchmark. Arrowstreet’s core investment style seeks to outperform during a broad range of market environments.
Performance Commentary - February 28, 2023 • The Fund returned 2.36%, net of fees, in February 2023, compared with a return for the Benchmark of 1.58%, with both developed and emerging markets remaining unsettled by an uncertain economic outlook.
• Most index sectors moved higher across the month, with IT and Industrials recording the largest gains. The largest relative sector contributors to the Fund were Energy, driven by overweight positioning in UK Energy and underweight positioning in US Energy, and Consumer Discretionary, owing to underweight positioning in Chinese Consumer Discretionary. IT was the largest relative detractor, as a result of stock selection in US IT.
• On a country basis, the US was again among the largest contributors to index returns, while China was the only noteworthy detractor. For the Fund, the largest relative contributors were Japan, driven by stock selection in Japanese Industrials; China, owing to underweight positioning in Chinese Consumer Discretionary; and Turkey, due to overweight positioning in Turkish Industrials. The US was the largest relative detractor from the Fund, as a result of stock selection in US IT.
• Arrowstreet employs a quantitative benchmark-aware approach, dynamically taking overweight and underweight positions in countries, sectors, and individual stocks, with the aim of achieving long-term outperformance of its Benchmark. Arrowstreet’s core investment style seeks to outperform during a broad range of market environments.
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