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Absolute Return

Update 10th February 2012: Past performance for this sector has been somewhat disappointing. In fact less than half of the 22 absolute return funds we monitor (which are available through Cofunds) provided positive returns over the last 12 months. But it must be remembered that absolute return funds do not make guarantees about their capital values, however, they do tend to prioritise a lack of downside risk. What 2011 should have taught investors is the importance of engaging brain when investing in this sector. While the funds’ underlying investment strategies can be somewhat complex you should understand what drives an individual fund’s performance.

Looking at the table below – CF Octopus Absolute UK Equity ranks highly. The fund’s recent performance has benefited from its ability to short equity markets. The fund is positioned 30% net short which is its most negative positioning since 2008. While this has been to the fund’s benefit, if macro headwinds abate the fund will likely lag others within the sector. Perhaps unsurprisingly the fund has the highest risk profile of the highlighted funds.

Elsewhere in the sector funds such as Standard Life Global Absolute Return Strategies use a mix of assets and strategies. Other funds place an emphasis on bonds or equities. The result is a range of funds where some are surprisingly volatile, others marvellously lacking in volatility (Insight Absolute Insight).

But because of the different approaches you have to consider where we are in the economic cycle. Our research has shown apparently similar funds can perform differently during a given stage in the cycle. We’d always suggest a blend of absolute return and corporate bond funds.

 

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Growth (%)
1 Month 6 Month 1 Year Monthly risk
Fund name Value Rank Value Rank Value Rank Value Rank
Baring Absolute Return Global Bond in GB -2.17 57 -0.33 47 -10.89 52 4.98 37
BlackRock Absolute Return Bond in GB -0.1 16 0.77 40 0 0 0 0
BlackRock European Absolute Alpha in GB 0.82 4 5.76 5 11.19 2 1.15 11
BlackRock UK Absolute Alpha in GB -0.22 20 1.69 32 -4.89 46 2.05 21
Cazenove Absolute UK Dynamic in GB -2.12 56 2.87 17 5.41 7 4.05 33
Cazenove UK Absolute Target in GB 0.29 7 3.13 13 10.61 3 3.38 29
CF Absolute Return Cautious Multi Asset in GB -2.72 62 -8.37 60 -13.25 53 5.8 39
CF Eclectica Absolute Macro in GB -1.06 36 -1.27 52 9.91 4 2.75 22
CF Odey UK Absolute Return in GB -0.76 31 17.59 1 5.35 8 4.23 34
CF Ruffer Absolute Return in GB -0.73 30 2.99 15 1.35 16 0 0
CF Turcan Connell Absolute Return Portfolio in GB -0.92 34 5.02 6 -3.46 42 0 0
EFA AR Diversity Strategy Portfolio in GB -2.08 54 -3.9 54 0 0 0 0
EFA AR Multi Asset Income Portfolio in GB -1.77 49 -4.54 56 0 0 0 0
EFA OPM Diversified Target Return in GB -1.45 46 2.01 26 0 0 0 0
Elite Global Trend in GB -5.46 65 0 0 0 0 0 0
Elite LJ Absolute Return Portfolio in GB -0.51 27 5.01 7 0 0 0 0
GAM Composite Absolute Return in GB 0.92 3 6.05 4 -1.17 30 0 0
Henderson Absolute Return Bond in GB 0.17 8 1.11 38 -0.16 22 0 0
Henderson Credit Alpha in GB 0.14 9 2.44 21 -0.2 24 0.82 4
Henderson Emerging Market Debt Absolute Return in GB -0.03 15 0.67 41 0.57 21 1.29 13
Henderson European Absolute Return in GB -0.12 17 1.5 34 0.83 17 1.74 19
Henderson Japan Absolute Return in GB -0.53 28 -0.33 48 -2.27 35 1.7 17
Henderson MultiManager Absolute Return in GB -1.28 43 2.09 25 -0.75 28 1.09 10
Henderson UK Absolute Return in GB -1.14 38 0.9 39 -1.46 33 1.85 20
IFDS IM CAF Alternative Strategies in GB 0.06 12 -0.29 45 -0.83 29 0 0
IFDS IM Octopus Alternative Strategies in GB 0.1 10 0.01 42 -1.2 31 0.85 6
IFSL Barclays RADAR in GB -0.87 33 0 0 0 0 0 0
IFSL Blacksquare Diversified Absolute Return in GB -2.57 61 -0.09 44 -13.77 54 0 0
IFSL Blacksquare Multi-Manager Absolute Return in GB -1.92 51 -1.05 50 -3.38 41 1.55 15
Ignis Argonaut European Absolute Return in GB -0.15 18 2.99 16 11.72 1 4.28 36
IM Octopus Global Strategies in GB -1.34 44 0 0 0 0 0 0
Insight Absolute Insight in GB 0 13 2.78 18 -0.47 27 0.65 1
Insight Diversified Target Return in GB -1.14 39 1.81 29 -2.69 38 3.97 32
Investec Target Return in GB -0.02 14 1.57 33 -3.28 39 1.06 9
JPM Global Equity Absolute Alpha in GB -1.15 40 -0.06 43 0 0 0 0
JPM Highbridge Statistical Market Neutral in GB -0.21 19 1.96 27 0.63 19 0 0
Jupiter Absolute Return in GB -0.33 22 2.62 19 2.71 11 2.89 24
Kames UK Equity Absolute Return in GB 0.47 6 1.25 36 3.75 9 0.84 5
L&G European Absolute in GB -2.41 59 -9.73 62 -16.11 56 3.53 30
L&G UK Absolute in GB 1.45 1 4.55 9 6.62 6 3.12 27
Liontrust European Absolute Return in GB -1.51 48 -5.8 59 1.85 13 2.75 23
MFM CPI Defensive Managed TR in GB -1.27 42 1.76 31 1.39 15 0.74 3
Newton Real Return TR in GB -2.77 63 1.42 35 -2.14 34 4.23 35
Octopus Investments CF Octopus Absolute UK Equity in GB -3.98 64 -1.89 53 -5.7 48 6.26 40
Premier Defensive Growth in GB -0.23 21 2.38 23 2.16 12 0 0
S&W Saltus Multi Asset Class in GB -0.62 29 1.95 28 -2.5 36 1.67 16
S&W Saltus Wealth TR in GB -1.49 47 1.21 37 -5.36 47 0 0
S&W The Tenax in GB -0.83 32 3.11 14 -0.17 23 1.05 8
Schroder Absolute Return Bond in GB 1.25 2 4.94 8 -0.42 26 1.55 14
Scot Wid HIFML Absolute Return in GB 0.08 11 2.62 20 -1.31 32 0.71 2
SJP UK Absolute Return in GB -0.46 25 1.79 30 -4.18 44 0 0
Skandia Alternative Investments in GB -2.01 52 3.59 12 -3.31 40 3.58 31
Stan Life Inv Global Absolute Return Strategies in GB -0.35 23 6.89 2 7.59 5 2.95 25
SVM UK Absolute Alpha in GB -1.84 50 -9.11 61 -16.03 55 5.42 38
SWIP Absolute Return Bond in GB 0.61 5 4.14 11 1.67 14 0.86 7
SWIP Euro Absolute Return in GB -1.2 41 -1.2 51 -4.87 45 0 0
Thesis Cherwell in GB -2.07 53 4.17 10 0.61 20 2.98 26
Threadneedle Absolute Return Bond in GB -0.44 24 -0.3 46 -0.28 25 1.26 12
Threadneedle Credit Opportunities in GB -0.5 26 6.13 3 0.66 18 1.73 18
Threadneedle Target Return Core in GB -2.11 55 -5.29 57 -5.98 49 0 0
Threadneedle Target Return in GB -2.39 58 -5.61 58 -7.02 50 0 0
Threadneedle UK Absolute Alpha in GB -1.44 45 2.43 22 3.06 10 0 0
Valu-Trac icf Absolute Return Portfolio in GB -0.93 35 2.17 24 -2.58 37 0 0
WAY Absolute Return Portfolio in GB -1.11 37 -0.37 49 -4.15 43 0 0

 




Dennehy Weller & Co Ltd, 3 High Street, Chislehurst, Kent, BR7 5AB. Tel: 020 8467 1666. Authorised and regulated by the Financial Services Authority (http://www.fsa.gov.uk/register/home.do). FSA Registration No: 114360. Registered in England & Wales, No. 1476316. Registered Office: 303 High Street, Orpington, Kent, BR6 0NN. The information contained within this site is subject to the UK regulatory regime and is therefore targeted primarily at investors based in the UK.