- Market neutral strategies work – five years of proof in Pengana returns
- Set the risk target first and then set portfolio – approach is gaining traction
- Market Neutral Fund returned 19.2% after fees in 2013
1 yr | 3yr | 5yr | |
PAEMNF | 19.2% | 9.6% | 9.6% |
Benchmark (RBA Cash) | 2.8% | 3.7% | 3.8% |
Pengana questions the portfolio construction approach of passive core/alpha producing satellites as it does not address the issue that the majority of the portfolio’s risk and return is dominated by equity markets i.e. beta.
Pengana believes in placing risk at the centre of the mandate and allocate to the most attractive investments for that level of risk and with low correlations….. get away from preconceived asset allocations and it is a more efficient use of risk budget
A “pure” market neutral approach minimises relative market risk and focuses on stock specific opportunities and risks using a proprietary stock selection model based on Fundamental factors that have been shown to drive share prices such as earnings, cash flows and profit growth
The fund’s investment approach worked very well through the GFC and the fund has returned 9.7% p.a. net of fees since inception in September 2008 with half the volatility of the market and zero correlation to the market
The Fund is also uncorrelated to the major alternative funds being used by financial planners currently in Australia and to traditional asset class indices.
“This style of investing is more akin to the investment approach of family offices and endowment funds, who aim to protect capital first and then seek a justifiable risk and return for the portfolio.
“Market neutral is now a proven management strategy in the retail space that has successfully migrated down from the institutional market including family offices. We expect more advisers will pick up on the advantages when they see the returns that can be consistently generated,” said Mr Boustridge.
Media Contacts
Phillip Boustridge
Fund Manager
Pengana Australian Equities
Market Neutral Fund
phillip.boustridge@pengana.com
02 8524-9920
0448 712 362