The Fund seeks to deliver returns with low volatility and low correlation to the broader equity and fixed income markets by investing in a diversified range of alternative investment strategies globally. The Fund is a multi-manager, multi-strategy fund providing access to underlying alternative investment funds (‘Underlying Funds’) or underlying investment managers (‘Underlying Investment Manager’) by investing substantially through the K2 Managed Account Platform (‘K2 Platform’) administered by third parties. From time to time, the Fund may also invest in other Underlying Funds managed by external managers that are not on the K2 Platform. The Fund’s investment process is based on a bottom-up approach in manager selection and due diligence combined with top-down inputs at a strategy level. This overall process incorporates both qualitative and quantitative analysis. Portfolio management is dynamic and subject to ongoing monitoring whereby managers are added or replaced as required over time.
The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 3.74% (net) for the quarter (in Australian dollar terms).
The Fund generated strong gains in fixed income from short positions in US bonds and on the front end of the yield curve in Europe, with additional gains from long positions on the front end of the yield curve in the US Short positions in fixed income were mainly the result of signals from the carry and trend sub-strategies.
Long positions in Japanese and European benchmark indices led to positive performance in equities, which was partially offset by losses from short positions in US benchmark indices. Positioning in the sector was primarily driven by the underlying trend and macro strategies.
In currencies, losses resulted from short exposure to the Australian Dollar, Canadian Dollar, and Euro versus the US Dollar. Losses were partially offset by gains from short exposure to the Japanese Yen and long exposure to the Mexican Peso. Long US Dollar positions were mainly influenced by the carry and value sub-strategies.
The portfolio experienced losses in commodities due to mixed positions in agricultural commodities, short positions in energy, and long positions in gold and silver. Commodity positions were the result of a combination of signals from the underlying strategies.
What is Ironbark GCM Global Macro Ironbark GCM Global Macro 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 Ironbark GCM Global Macro has Assets Under Management of 181.07 M with a management fee of 0.97%, 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 GCM Global Macro has returned -3.28% in the last month. The previous three years have returned 4.89% annualised and 7.37% each year since inception, which is when the Ironbark GCM Global Macro 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 GCM Global Macro first started, the Sharpe ratio is 0.09 with an annualised volatility of 7.37%. The maximum drawdown of the investment product in the last 12 months is -6.85% and -15.21% 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 GCM Global Macro has a 12-month excess return when compared to the Alternatives - Macro Index of -0.34% and -0.88% 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 GCM Global Macro has produced Alpha over the Alternatives - Macro Index of -0.03% in the last 12 months and -0.09% 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 Ironbark GCM Global Macro provide?
Ironbark GCM Global Macro has a correlation coefficient of 0.46 and a beta of 1.97 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 Ironbark GCM Global Macro and its peer investments, you can click here for the Peer Investment Report.
How do I compare the Ironbark GCM Global Macro with the Credit Suisse AllHedge Global Macro Index?
For a full quantitative report on Ironbark GCM Global Macro compared to the Credit Suisse AllHedge Global Macro Index, you can click here.
Can I sort and compare the Ironbark GCM Global Macro to do my own analysis?
To sort and compare the Ironbark GCM Global Macro financial metrics, please refer to the table above.
Has the Ironbark GCM Global Macro 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 GCM Global Macro?
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Comments from SMSF Mates
SMSF Mate does not receive commissions or kickbacks from the Ironbark GCM Global Macro. All data and commentary for this fund is provided free of charge for our readers general information.
Performance Commentary - March 31, 2023 The Ironbark GCM Global Macro Fund (the ‘Fund’) returned -0.06% (net) for the quarter (in Australian dollar terms).
The portfolio experienced losses in fixed income due to short positions across the yield curve following the major reversal in markets triggered by the collapse of Silicon Valley Bank. The carry and trend sub-strategies were mainly responsible for generating short positions in fixed income, but long signals from the value/reversion strategy helped mitigate losses.
In commodities, mixed positions in energy and short positions in gold led to losses, which were partially offset by gains from positions in agricultural commodities. Energy positions were influenced by a combination of signals form the underlying strategies, while short precious metals positions were driven by the carry and value sub-strategies.
Losses in equities were driven by long positions in UK and European benchmark indices during the middle part of the month when markets reversed. Long equity positions were the result of signals from the macro, trend, and value sub-strategies.
The portfolio recorded modest losses in currencies from long exposure to the US dollar versus several global currencies, particularly the Swiss Franc. Long US dollar positions were generated by the underlying carry and value strategies.
Performance Commentary - December 31, 2022 Performance review The Ironbark GCM Global Macro Fund (the ‘Fund’) returned -6.89% (net) for the quarter (in Australian dollar terms). The Portfolio generated strong gains during 2022, with all four underlying strategies contributing profits.
The portfolio recorded profits in commodities, primarily due to long positions in energy during the first half of the year. Long energy positions were driven by a combination of the underlying strategies throughout the year, particularly the carry, trend and value substrategies.
In currencies, profits resulted from long exposure to a stronger US dollar versus various global currencies, most notably the Japanese yen, euro, and British pound sterling. Positioning in currencies was influenced by a combination of the underlying strategies during the period as well as portfolio constructions considerations as the long US dollar position diversification to other portfolio risks.
Evolving positions in the front end of the yield curve in the US and Europe led to positive performance in fixed income, with positioning driven by a combination of the underlying strategies throughout the year.
The Portfolio experienced losses in equities, mainly due to evolving positions in US benchmark indices, with further losses from long positions in the Nikkei 225 Index. Each of the underlying strategies were responsible for generating long equity positions during 2022.
Performance Commentary - September 30, 2022 The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 1.32% (net) for the quarter (in Australian dollar terms).
The Fund’s underlying strategy experienced losses in commodities due to long positions in energy, especially natural gas and, to a lesser extent, oil, as well as from various agricultural commodities including wheat, soybeans, and cotton. Long positions in energy were driven by carry, trend, and value models while agricultural commodity positions were driven by a combination of the underlying strategies.
The portfolio also recorded losses in equities due to modest long positions in global benchmark indices. Long equity positions were generated by a combination of sub-strategies and supplemented by portfolio construction considerations as these positions have low correlation to other positions in the portfolio.
The portfolio generated strong gains in currencies due to a stronger US dollar versus the Australian dollar, British pound sterling, Japanese yen, New Zealand dollar, and Euro, among others. Long US dollar positions continued to be influenced by a combination of carry, trend, and value strategies as well as portfolio construction considerations.
Positive performance in fixed income was driven mainly by modest short positions across the yield curve in the US and UK Gains were partially offset by losses from long positions in European bonds. The trend sub-strategies were primarily responsible for generating short fixed income positions.
Performance Commentary - June 30, 2022 The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 7.93% (net) for the quarter (in Australian dollar terms).
The Fund generated strong gains in fixed income, most notably from short positions across the yield curve in the US and Europe. The macro fundamental and trend sub-strategies were primarily responsible for generating short fixed income positions. The Fund also recorded profits in currencies, mainly due to short exposure to the Japanese yen and British pound versus the US dollar. Long US dollar positions continued to be influenced by a combination of carry, trend, and value strategies as well as portfolio construction considerations. In equities, gains resulted from short positions in European and US benchmark indices. Short equity positions were driven mainly by the macro fundamental and trend sub-strategies. Losses in commodities were primarily driven by positions in energy with smaller losses in grains and cotton.
Performance Commentary - March 31, 2022 The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 10.74% (net) for the quarter. The first quarter of 2022 was one of the most successful quarters to date amidst a market environment that presented several challenges to investors – including heightened market volatility, falling equity and bond prices, and rising inflationary pressures. Macro strategies can potentially reduce drawdowns by providing valuable portfolio diversification to stocks and bonds by generating compelling crisis protection and long-term returns – while also being able to profit amidst rising inflation. Finding the balance of consistent crisis protection coupled with long-term returns has become increasingly difficult for investors, and macro strategies have proven historically that they can be a valuable component of meeting this objective.
The results of the first quarter have underscored the importance of a long-term, strategic allocation to macro strategies in a broader investment portfolio. On the quantitative side, the investment manager was gratified not only by recent performance results, but also by the active risk management of the underlying models and the portfolio construction process. The Portfolios continued to systematically reduce exposure during March amidst the heightened market volatility. Long energy and long US dollar positions were reduced materially during the month, while positions in fixed income and equities remained modest with strategies trading on both side of flat.
Performance Commentary - June 30, 2021 The Ironbark GCM Global Macro Fund (the ‘Fund’) returned 4.44% (net) for the quarter. The Graham Quant Macro portfolio recorded gains in commodities, mostly from long positions in energy that were driven primarily by carry, macro fundamental, and trend sub-strategies. The portfolio also posted profits in equities, primarily from long positions in US benchmark indices. Positioning in the sector was driven by the carry and trend sub-strategies. Losses resulted in currencies, primarily from long positions in the British pound sterling and Canadian dollar versus the US dollar. US dollar positions were driven by the trend sub-strategy as well as portfolio diversification benefits. In fixed income, losses were recorded primarily from short positions on the long end of the yield curve in the US and Europe. Fixed income positioning was driven by a combination of the underlying strategies.
Performance Commentary - March 31, 2021 In March, success with the vaccine rollout in the US and UK coupled with continued monetary and fiscal aid fuelled optimism for the reopening of economies and the outlook for global growth.
Amidst this backdrop, equities continued their upward trend. US equities benefitted from an additional late month rally following the announcement of Biden’s $2.3 trillion infrastructure plan, and the S&P 500 closed March up 4.2%. Despite new lockdown measures and lagging vaccination rates in the Eurozone, European equities were pulled higher along with US equities, with the DJ Eurostoxx index finishing the month 7.9% higher. Asian equity indices posted smaller gains in both the Nikkei and Hang Seng.
In bond markets, government bond yields generally rose as expectations took hold for a strong global rebound in economic activity coupled with higher inflation. In the US, the curve steepened as 5-year and 10-year yields rose 0.21% and 0.34%, respectively. Elsewhere, Eurozone bonds held steady as the German 10-year yield dropped 0.03%, supported by comments from the European Central Bank that they planned to maintain their supportive stance despite rising inflation.
The US dollar strengthened against its major counterparts and the dollar index closed March up 2.6%. The US currency notably recorded a 3.9% gain against the Japanese yen as investors digested positive economic data and signs of a US recovery. Likewise, the euro, Australian dollar, and British pound sterling declined 2.9%, 1.4%, and 1.1%, respectively, versus the US dollar.
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