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The quantitative model is proprietary and designed in-house. The critical elements are Valuation, Momentum, and Quality (VMQ) and every stock in the global universe is scored and ranked. Verification of the quant model scores is then cross checked by fundamental analysis in which a company's Accounting policies, Governance, and Strategic positioning is evaluated.
The manager believes strategy is suited to investors seeking returns from investing in global companies, diversification away from Australia and a risk aware approach to global investing. It should be noted that this is a strategy in an IMA format and is not offered as a fund. An IMA solution can be a more cost and tax effective solution, for clients who wish to own fewer stocks in a long only strategy.
The Delft Partners Global High Conviction Strategy has a track record of 11 years and 3 months and has outperformed the Global Equity Index since inception in August 2011, providing investors with an annualised return of 14.45% compared with the index's return of 12.63% over the same period.
On a calendar year basis, the fund has experienced a negative annual return on 2 occasions in the 11 years and 3 months since its inception. Over the past 12 months, the fund's largest drawdown was -9.85% vs the index's -15.77%, and since inception in August 2011 the fund's largest drawdown was -13.33% vs the index's maximum drawdown over the same period of -15.77%. The fund's maximum drawdown began in February 2020 and lasted 1 year, reaching its lowest point during July 2020. The fund had completely recovered its losses by February 2021. During this period, the index's maximum drawdown was -13.19%.
The Manager has delivered these returns with 1.18% more volatility than the index, contributing to a Sharpe ratio which has fallen below 1 four times over the past five years and which currently sits at 1.06 since inception. The fund has provided positive monthly returns 88% of the time in rising markets and 14% of the time during periods of market decline, contributing to an up-capture ratio since inception of 99% and a down-capture ratio of 90%.