The objective of the Fund is to outperform the S&P/ASX 300 Index over rolling 5 year periods but with a lower level of variability than its benchmark. The objective of the Fund is to out perform the S&P/ASX 300 Index, before management costs, over rolling 5 year periods but with a lower level of variability.
Differences in the gross and net returns prior to August 2013 are attributable to fluctuating MERs on the initial SSGA seed money. In August 2013, the MER on the fund was capped at 79bps p.a. and as of July 2020 was reduced to 70bps p.a. Any net performance numbers stated here or in external materials prior to August 2013 will reflect a larger MER that is not attributable to investors going forward. Performance figures are calculated using end-of-month exit prices except for the ‘Since Inception’ return which is calculated using NAV prices for the pre 1 January 2010 period, and end-of-month exit prices thereafter, assume the reinvestment of distributions and make no allowance for tax. Net performance figures are after management and transaction costs. Gross performance figures are before management costs but after transaction costs. Past performance is not a reliable indicator of future performance. Index returns are unmanaged and do not reflect the deduction of any fees or expenses. The calculation method for the value added returns may show rounding differences.
† Inception date is September 2009. # The value added returns may show rounding differences. *Benchmark: S&P/ASX 300 Accumulation Index, S&P/ASX 200 All Australian Accumulation Index prior to February 2013. Since inception performance and risk is calculated from 30 September 2009.
^ Standard deviation is a historical measure of the degree to which a fund’s returns varied over a certain period of time. The higher the standard deviation, the greater the likelihood (and risk) that a fund’s performance will fluctuate and have greater potential for volatility; a lower standard deviation indicates past returns have been less volatile.
~ Sharpe ratio is calculated by dividing the fund’s net excess return over the risk-free rate by its standard deviation. The higher a fund’s sharpe ratio, the better its returns have been relative to the amount of investment risk it has taken
What is State Street Australian Equity State Street Australian Equity is an Managed Funds investment product that is benchmarked against ASX Index 200 Index and sits inside the Domestic Equity - Large Cap Neutral 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 State Street Australian Equity has Assets Under Management of 262.10 M with a management fee of 0.7%, a performance fee of 0 and a buy/sell spread fee of 0.49%.
How has the investment product performed recently?
The recent investment performance of the investment product shows that the State Street Australian Equity has returned 5.23% in the last month. The previous three years have returned 3.35% annualised and 11.06% each year since inception, which is when the State Street Australian 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 State Street Australian Equity first started, the Sharpe ratio is 0.47 with an annualised volatility of 11.06%. The maximum drawdown of the investment product in the last 12 months is -10.44% and -23.94% 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 State Street Australian Equity has a 12-month excess return when compared to the Domestic Equity - Large Cap Neutral Index of -10.74% and -1.93% 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. State Street Australian Equity has produced Alpha over the Domestic Equity - Large Cap Neutral Index of -0.73% in the last 12 months and 0.01% since inception.
What are similar investment products?
For a full list of investment products in the Domestic Equity - Large Cap Neutral Index category, you can click here for the Peer Investment Report.
What level of diversification will State Street Australian Equity provide?
State Street Australian Equity has a correlation coefficient of 0.88 and a beta of 0.79 when compared to the Domestic Equity - Large Cap Neutral 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 State Street Australian Equity and its peer investments, you can click here for the Peer Investment Report.
How do I compare the State Street Australian Equity with the ASX Index 200 Index?
For a full quantitative report on State Street Australian Equity compared to the ASX Index 200 Index, you can click here.
Can I sort and compare the State Street Australian Equity to do my own analysis?
To sort and compare the State Street Australian Equity financial metrics, please refer to the table above.
Has the State Street Australian 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 State Street Australian Equity?
How do I get in contact with the State Street Australian Equity?
Comments from SMSF Mates
SMSF Mate does not receive commissions or kickbacks from the State Street Australian Equity. All data and commentary for this fund is provided free of charge for our readers general information.
Performance Commentary - July 31, 2023 On the 22 June 2023, the CBOE Volatility Index (VIX) hit a low of 12.9, down -40% from the start of the year when it was trading at 21.7.1 The VIX is a measure of investors expectation of volatility based on S&P 500 Index options. It is a commonly accepted measure of investor fear (or in this case lack of fear). The recent decline may be suggesting investor complacency. This is important because equity markets are more vulnerable to shocks when they are not expected. Figure 1 below highlights the recent fall in the VIX. At these low levels the VIX now sits below the 25th percentile.
The possible complacency has coincided with exuberant equity markets in 2023 which has taken valuations back into the expensive zone. The price-to-earnings ratio for the MSCI World Index has moved from 14.9 to 16.9 in 2023.2 A move from the 50th percentile to the 85th percentile based on valuation levels of the last 20 years. At the same time the earnings trend has been subdued at only +1%3, leading economic indicators continue to point lower, and the risks of a global economic slowdown or recession remain ever present.
Performance Commentary - June 30, 2023 On the 22 June 2023, the CBOE Volatility Index (VIX) hit a low of 12.9, down -40% from the start of the year when it was trading at 21.7.1 The VIX is a measure of investors expectation of volatility based on S&P 500 Index options. It is a commonly accepted measure of investor fear (or in this case lack of fear). The recent decline may be suggesting investor complacency. This is important because equity markets are more vulnerable to shocks when they are not expected. Figure 1 below highlights the recent fall in the VIX. At these low levels the VIX now sits below the 25th percentile.
The possible complacency has coincided with exuberant equity markets in 2023 which has taken valuations back into the expensive zone. The price-to-earnings ratio for the MSCI World Index has moved from 14.9 to 16.9 in 2023.2 A move from the 50th percentile to the 85th percentile based on valuation levels of the last 20 years. At the same time the earnings trend has been subdued at only +1%3, leading economic indicators continue to point lower, and the risks of a global economic slowdown or recession remain ever present.
Performance Commentary - May 31, 2023 After a period of resilience, Australian earnings trends have declined in-line with global earnings trends in 2023. Figure 1 provides a 20 year perspective on the relationship between Australian and global earnings1 . The global and Australian earnings cycles are closely linked to global economic trends. The sometimes unfortunate truth for Australia is that by having an open economy with many global linkages, we can do little to avoid being impacted by these global trends. As an example, in early 2008 (highlighted in Figure 1) we observed a similar disconnect when Australian mining companies continued to see upgrades and the domestic banking sector initially appeared resilient, before surrendering to global influences.
The right hand side of Figure 1 highlights the recent changes. For most of 2022 the Australian equity market proved resilient to the earnings per share (EPS) slowdown in the developed world, maintaining EPS growth of approximately 20%. In 2022, the Australian companies exposure to iron ore, copper, oil and gas and our domestic economy were more resilient. In 2023, the outlook for financials, energy and materials has deteriorated and the 12-month EPS trend has declined to -1% as at 19 May 2023.
Performance Commentary - March 31, 2023 So far the Australian equity market has been one of the best performing markets in the world and has been reasonably insulated from global markets. Figure 2 highlights the almost flat performance of the Australian S&P/ASX 300 Index, down only -0.3% compared to the MSCI World Index (-11%). It also highlights the underperformance of the US banks, the relative outperformance of the Australian banks and the positive +9% return from iron ore and steel stocks. The Australian equity market has a large concentrated weight to both iron ore and steel companies as well as the banks.
Performance Commentary - February 28, 2023 The S&P/ASX 300 Index has also given up ground in February. We have seen Australian investors favour companies with lower volatility, better valuations, higher quality and larger capitalization. Figure 3 below reports the quintile spread returns for several standard company characteristics for the S&P ASX 300 universe of stocks in February so far.
Performance Commentary - December 31, 2022
Performance Commentary - November 30, 2022 In the last 20 years the best place to be for smaller companies has been global not local. The MSCI World Small Cap Index has generated 8.25% p.a. and has outperformed the MSCI World Index by 2.56% p.a. as well as Australian smaller companies by +2.76%.1 The index has been associated with earnings growth of 6.2% an average yield of 2.2% and an average multiple of 16.9 since Jan 2001.1 Smaller companies are known to be more volatile than larger capitalised stocks and this can be seen in both the annualized volatility and the beta of the smaller capitalized companies.
As shown in figure 2 below the MSCI World small capitalised stocks outperform the most during bull markets and underperform the most during market corrections. The cycles of both outperformance and under performance are usually a function of changing investor risk appetites as well as liquidity effects.
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