• Abstract and Figures
• Public Full-text

Schroder Global Multi-Factor Equity Fund Final Report and Accounts June 2020 Schroder Global Multi-Factor Equity Fund June 2020 Contents Fund Information1 ___________________________________________________3 Review of Investment Activities1___________________________________4 Risk Profile1 ___________________________________________________________5 Statement of the Manager’s Responsibilities ____________________6 Report of the Trustee ________________________________________________7 Independent auditors’ report to the Unitholders of Schroder Global Multi-Factor Equity Fund ________________________8 Comparative Table__________________________________________________10 Portfolio Statement1________________________________________________11 Statement of Total Return_________________________________________18 Statement of Change in Net Assets Attributable to Unitholders __________________________________________________________18 Balance Sheet _______________________________________________________19 Notes to the Accounts______________________________________________20 Distribution Table___________________________________________________29 Remuneration _______________________________________________________30 General Information1_______________________________________________31 1 Collectively these comprise the Manager’s report. 2 Schroder Global Multi-Factor Equity Fund Fund Information Investment objective and policy The Schroder Global Multi-Factor Equity Fund (the ‘Fund’) aims to achieve capital growth in excess of the MSCI ACWI World (Net Total Return) index (after fees have been deducted) over a three to five year period by investing in equity and equity related securities of companies worldwide. The Fund is actively managed and invests at least 80% of its assets in equity and equity-related securities of companies worldwide. Companies will be simultaneously assessed on all targeted equity factors using a fully integrated systematic, bottom-up investment approach. The Fund will focus on a range of equity factors (also commonly known as investment styles) that may include the following: – Low volatility – involves evaluating indicators such as share price movement and historical performance to determine those securities that the Investment Manager believes will experience smaller price movements than the global equity markets on average. – Momentum – involves evaluating trends in stocks, sectors or countries within the relevant equity market. – Quality – involves evaluating indicators such as a company’s profitability, stability and financial strength. – Value – involves evaluating indicators such as cash flows, dividends and earnings to identify securities that the Investment Manager believes have been undervalued by the market. – Small cap – involves investing in small-sized companies being companies that, at the time of purchase, are considered to be in the bottom 30% by market capitalisation of the global equity market and exhibit attractive characteristics based on the styles described above. The Fund may also invest directly or indirectly in other securities (including in other asset classes), countries, regions, industries or currencies, collective investment schemes (including Schroder funds), warrants and money market instruments, and hold cash. The Fund may use derivatives with the aim of achieving investment gains, reducing risk or managing the Fund more efficiently (for more information, please refer to section 6 of Appendix I of the Prospectus). With effect from 7 August 2019 the Fund’s Investment objective and policy changed, previously it was: The Fund aims to achieve capital growth by investing in equity and equity related securities of companies worldwide. The Fund will invest at least 80% of its assets in equity and equity-related securities of companies worldwide. The Fund will focus on a range of equity factors (also commonly known as investment styles) that may include the following: – Low volatility – involves evaluating indicators such as share price movement and historical performance to determine those securities that the Investment Manager believes will experience smaller price movements than the global equity markets on average. – Momentum – involves evaluating trends in stocks, sectors or countries within the relevant equity market. – Quality – involves evaluating indicators such as a company’s profitability, stability and financial strength. – Value – involves evaluating indicators such as cash flows, dividends and earnings to identify securities that the Investment Manager believes have been undervalued by the market. – Small cap – involves investing in small-sized companies being companies that, at the time of purchase, are considered to be in the bottom 30% by market capitalisation of the global equity market and exhibit attractive characteristics based on the styles described above. The Fund may also invest in collective investment schemes, exchange-traded funds, money market instruments and warrants, and may hold cash. The Fund may use derivatives with the aim of achieving investment gains, reducing risk or managing the Fund more efficiently. Fund characteristics The Fund’s performance should be assessed against its target benchmark, being to exceed the MSCI ACWI World (Net Total Return) index. The Investment Manager invests on a discretionary basis and is not limited to investing in accordance with the composition of the benchmark. The target benchmark has been selected because it is representative of the type of investments in which the Fund is likely to invest, and it is, therefore, an appropriate target in relation to the return that the Fund aims to provide. Schroder Global Multi-Factor Equity Fund 3 Review of Investment Activities From 28 June 2019 to 30 June 2020, the price of I Accumulation units on a Fund Manager: dealing price to dealing price basis fell 0.02%. In the same period, the Schroders Systematic Investment Team MSCI All Countries World index generated a net return of 5.18%1 in sterling terms. Global equity market performance has been dominated by the negative The Schroders Systematic Investment Team was established effects of both the spread of and measures to contain the Covid-19 in 2011 and manages over £23 billion (as at 31 December coronavirus, followed by the subsequent positive impacts from the easing of 2019) across a range of quantitative equity strategies lockdowns and accompanying early signs of economic recovery. In absolute The team consists of over 20 members based in London terms, this has resulted in a volatile 12-month period for the fund, albeit one under the leadership of Ashley Lester that is disguised by the 0.0% overall return. On a relative basis, over the last 12 months, the fund has struggled to perform due to the combination of two large factor drawdowns. First, larger cap stocks have experienced record outperformance over smaller cap stocks. As a result, our overweight to small cap stocks has hurt performance. Second, Value has seen the continuation of an exceptionally deep, prolonged and broad-based drawdown. On a more positive note, strong performance from our Profitability factor has helped to mitigate underperformance elsewhere. Towards the end of this period, we began implementing a Size constraint in the portfolio. As referenced above, the underperformance of Size has been a drag on performance over the long term. Whilst we do not regard Size as a return factor in itself, we recognise that we, like many factor investors, are exposed to Size risk as we seek factor returns in smaller cap stocks. The new constraint takes the form of a continuous control on our Size exposure. Importantly, this removes the overall Size bias without materially impacting our ability to access the other return factors in the portfolio whilst simultaneously allowing us to invest in attractive small cap stocks as the opportunities arise. 1 Source: Thomson Reuters Datastream. Past performance is not a guide to future performance and may not be repeated. The value of investments and the income from them may go down as well as up and investors may not get back the amounts originally invested. Exchange rate changes may cause the value of any overseas investments to rise or fall. 4 Schroder Global Multi-Factor Equity Fund Risk Profile Risk and reward indicator Lower risk Higher risk Potentially lower reward Potentially higher reward 1234 5 6 7 The risk category was calculated using simulated historical performance data and may not be a reliable indicator of the Fund’s future risk profile. The Fund’s risk category is not guaranteed to remain fixed and may change over time. A fund in the lowest category does not mean a risk-free investment. For specific risks, including the risk and reward profile, please refer to the Key Investor Information Document available on the following website www.schroders.com. Schroder Global Multi-Factor Equity Fund 5 Statement of the Manager’s Responsibilities The Financial Conduct Authority’s Collective Investment Schemes sourcebook requires the Manager to prepare accounts for each annual and half yearly accounting period, in accordance with United Kingdom Generally Accepted Accounting Practice, which give a true and fair view of the financial position of the Fund and of its net revenue and the net capital losses on the property of the Fund for the year. In preparing the accounts the Manager is required to: – select suitable accounting policies and then apply them consistently; – comply with the disclosure requirements of the Statement of Recommended Practice

Load more

  32

Copy Link