active vs passive management framework: investment ... · the active vs passive management...
TRANSCRIPT
Investment strategies that co-exist.
MANAGEMENT FRAMEWORK:ACTIVE VS PASSIVE
92 93 94 95 96 97 98 999190 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17
92 93 94 95 96 97 98 999190 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17
25%
0%
-25%
25%
0%
-25%
S&P/ASX All Ordinaries Accumulation Index
Active Manager Over / Under Performance5.0%
2.5%
0.0%
-2.5%
5.0%
2.5%
0.0%
-2.5%
2
1
0
-1
-2
2
1
0
-1
-2
Stock Dispersion5 & Stock Correlation5
Technology stocks fell (high disperson) while the rest of the market was less affected (low correlation)
Volatile market conditions with increasing stock dispersion and low correlation
Strong bull market in the run up to the GFC - high correlation (all stocks
rising) with low dispersion.
Quantitative easing post-GFC. High correlation (benefits all stocks). Low dispersion and returns.
Growth of A$1,000with no acquisition costs
or taxes & all income reinvested
$1,000
$10,000
$1,000
Asian Currency Crisis
Second Iraq War
Lehmann Brotherscollapse
BREXITFirst Australian
Index Fund Launched
“...the recession we had to have.”
Percentage Returns1
as at 31 December 20171 Year 10 Year5 Year3 Year 20 Year
Australian Shares2
Long Term Bonds3
Average Active Manager4
12.5%
6.2%
11.4%
9.2%
3.7%
7.8%
10.4%
5.2%
9.9%
4.0%
7.9%
4.0%
8.7%
6.7%
8.6%
Sources: Australian Stock Exchange Limited, Commonwealth Bank of Australia, Deutsche Bank, Morningstar, Reserve Bank of Australia, Standard & Poors, Thomson Reuters. Notes: 1. Returns are per annum total returns to 31 December 2017. 2. S&P/ASX All Ordinaries Accumulation Index. 3. Commonwealth Bank All Series Greater than 10 Years Bond Accumulation Index. 4. Calculated using Morningstar active manager returns across growth, value and blend data sets. 5. Deutsche Bank, Australia
Issued by: The Investment Manager, Perennial Value Management Limited, ABN 22 090 879 904, AFSL: 247293. Responsible Entity: Perennial Investment Management Limited ABN 13 108 747 637, AFSL: 275101.This chart is provided for information purposes only. Accordingly, reliance should not be placed on this information as the basis for making an investment, financial or other decision. This information does not take into account your investment objectives, particular needs or financial situation. While every effort has been made to ensure the information on this chart is accurate; its accuracy, reliability or completeness is not guaranteed. Past performance is not a reliable indicator of future performance. Gross performance does not include any applicable management fees or expenses. Net performance is based on redemption price for the period and assumes that all distributions are reinvested. Fees indicated reflect the maximum applicable. Contractual arrangements, including any applicable management fee, may be negotiated with certain large investors. Investments in the Trusts must be accompanied by an application form. The current relevant product disclosure statements, Additional Information Booklet and application forms can be found on our website. Use of the information on this chart is governed by Australian law and is subject to the terms of use.
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2018 Active vs Passive Chart
1300 730 032
The active vs passive management framework
1300 730 032 | perennial.net.au | [email protected] ACTIVE VS PASSIVE
Australian Equity –
Small Cap
Global listedInfrastructure
Broad based Equities International
Equity – Large Cap (Developed
Markets)
Factor/Smart Beta Exposure
ListedProperty Currency
Cash
EquityLong/Short
Emerging Markets
Equity + FI AbsoluteReturn
Australian Equity –
Micro Cap
DispersionIn simple terms, 'dispersion' is the difference between the best and worst performers in a group, or 'index', of securities·. This measure is particularly relevant when you are looking at fund managers who generate returns based on picking stocks (as opposed to making decisions based solely on macro economic factors). For them, the greater the dispersion, the higher the potential to gain meaningful returns above the average return of the index.
Correlation'Correlation' is a measure of how much two variables, such as two stocks, match each other in the direction of their performance over a certain period of time. Correlation does not measure their level of performance, only the relationship between them. If two stocks have a correlation of + 1, their performance has always moved in the same direction. If they have a correlation of -1, their performance has always moved in opposite directions. A figure near zero suggests a weak or non-existent relationship between the performance of the two stocks.
Downside Protection
Low correlation in asset class
High Alpha expectations
High dispersion
Low liquidity
Low analyst coverage
High tracking error/active risk tolerance
FACTORS
Active large/ Mid cap Equities
Equity for income
High correlation in asset class
Low Alpha expectations
Low dispersion
High liquidity
High analyst coverage
Low tracking error/active risk tolerance