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25 Aug 2021 - Performance Report: NWQ Fiduciary Fund

By: Australian Fund Monitors

Report Date25 August 2021
ManagerNWQ Capital Management Pty Ltd
Fund NameNWQ Fiduciary Fund
StrategyMulti Strategy
Latest Return DateJuly 2021
Latest Return1.12%
Latest 6 Months5.39%
Latest 12 Months9.76%
Latest 24 Months (pa)8.55%
Annualised Since Inception6.24%
Inception Date01 May 2013
FUM (millions)AU$67
Fund OverviewThe NWQ Fiduciary Fund (Fund), managed by NWQ Capital Management, is a diversified multi-manager portfolio, modelled on NWQ's Fiduciary Model Portfolio. The principal investment objective of the Fund is to produce attractive positive returns irrespective of market direction. This is achieved through active allocations to selective fund managers that employ a variety of traditional and absolute return strategies. The Fund places emphasis on managers who demonstrate a rigorous and repeatable investment process that has delivered a strong track record.

The Fund aims to produce returns after management fees and expenses of RBA Cash Rate + 4.0-5.0% p.a. over rolling five-year periods. Furthermore, the Fund aims to achieve these returns with volatility that is a fraction of the Australian equity market, in order to smooth returns for investors.
Manager CommentsThe NWQ Fiduciary Fund rose by +1.12% in July. Since inception in May 2013, the fund has returned +6.24% per annum with an annualised volatility of 5.73%. Over the same period, the ASX200 Accumulation Index has returned +8.75% with a volatility of 13.6%.

The fund's Sortino ratio (which excludes volatility in positive months) has ranged from a high of 5.53 for performance over the most recent 12 months to a low of 0.82 over the latest 36 months, and is 1.26 for performance since inception. By contrast, the ASX 200 Total Return Index's Sortino for performance since May 2013 is 0.69.

Since inception in May 2013 in the months where the market was negative, the fund has provided positive returns 53% of the time, contributing to a down-capture ratio for returns since inception of 13.25%. Over all other periods, the fund's down-capture ratio has ranged from a high of 30.01% over the most recent 36 months to a low of -8.46% over the latest 12 months. A down-capture ratio less than 100% indicates that, on average, the fund has outperformed in the market's negative months over the specified period, and negative down-capture ratio indicates that, on average, the fund delivered positive returns in the months the market fell.

Over the past 12 months, the fund's largest drawdown was -1.69% vs the index's -3.66%, and since inception in May 2013 the fund's largest drawdown was -8.77% vs the index's maximum drawdown over the same period of -26.75%.
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