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ASX Small Caps Systematic Monthly Performance Report

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ASX Small Caps Systematic Monthly Performance Report ASX Small Caps Systematic Monthly Performance Report September 2019 Performance Overview The Blue Orbit Australian Small Caps Systematic Alpha strategy returned -0.58% during September, underperforming the benchmark S&P/ASX Small Ordinaries Accumulation index which returned 2.61%. Month FYTD 1 Year 2 Years Inception* (p.a.) Blue Orbit ASX Small Systematic (paper) -0.58% 0.98% 4.38% 13.88% 14.14% S&P/ASX Small Ordinaries 2.61% 3.11% 3.94% 11.33% 12.03% Excess -3.19% -2.13% 0.44% 2.55% 2.12% * Paper portfolio inception date of 31/08/2017, annualised returns. ** All figures calculated using FactSet. Global markets finished the month higher, with the S&P 500 up 1.87% (in USD) and MSCI World Gross AUD up 2.1%. September saw a sharp reversal in global factor performance, with value factors rebounding strongly from a lengthy period of poor performance, and growth and momentum factors seeing a sharp drawdown after months of strong performance. The Australian market was also positive with the S&P/ASX 100 up 1.83% for the month. Small caps stocks outperformed larger cap stocks, with the Small Ordinaries index up 2.61%. Within small cap stocks, Bellamy’s Australia was the strongest performer, up 73.6% on news of a takeover bid from China Mengniu Dairy. Some of the smallest stocks had a strong run, with Speedcast, Liquidifed Natural Gas, Mesoblast, Ioneer, and Flexigroup all up more than 40%. On a sector basis, Financials (+9.8%) and Utilities (+8.9%) performed strongly, while Information Technology (-3.86%) and Energy (-1.71%) were detractors. Figure 1 ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 1 ASX Small Caps Systematic Monthly Performance Report Portfolio Characteristics As at 30 September 2019 Characteristic Portfolio Benchmark # of Securities 106 200 Market Capitalization 2,926 1,979 Active Share 50.5 -- Dividend Yield 3.1 3.0 Price/Earnings 19.7 19.2 Price/Cash Flow 13.4 12.4 Price/Book 2.4 1.9 ROE 17.5 13.4 PEG using FY1 Est 3.1 5.0 LT Debt to Capital 16.3 19.2 Alpha Signal Attribution 12 Month 12 Month 1 Month 1 Month 12 month Alpha Signal Tracking Information Return Excess Excess Error Ratio Small Ords +2.61% Defensive Alpha Signal +4.12% +1.51% +6.54% 4.10% 1.6 Quality Alpha Signal +1.76% -0.85% +8.43% 3.61% 2.3 Trend Alpha Signal +0.06% -2.55% +5.93% 5.12% 1.2 Diversified Alpha Signal +1.99% -0.62% +7.06% 1.85% 3.8 Systematic Alpha Portfolio (Model) -0.58% -3.19% +0.44% 4.12% 0.1 Systematic (Live) - - Defensive Alpha Signal The Defensive Alpha Signal outperformed significantly in September. Sector allocation contributed 71bp, mostly due to the large overweight to Financials and large underweight to Information Technology. Stock selection contributed 0.80%, mostly within Financials and Consumer Discretionary. Communications Services and Consumer Staples were the only detracting sectors. Largest stock contributors were overweight positions in Janus Henderson (+15.6%) and IOOF (+30.2%), and an underweight position in Appen (-18.2%). The only notable detractors were underweights in Bellamy’s Australia (+73.6%) and Mesoblast (+49.1%). Companies that are dividend payers returned 2.8% for the month, while non-dividend paying companies returned 5.2%. Quality Alpha Signal The Quality Alpha signal underperformed by 0.85% during September. Sector allocation detracted 39bp, with more than that from the large overweight to Information Technology, while the underweight to Real Estate added some value. Stock selection detracted 0.46%, with 0.84% of the detraction coming from Health Care, and 1.06% detraction from Materials. Good stock selection in Consumer Staples contributed 0.97% to performance. ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 2 ASX Small Caps Systematic Monthly Performance Report All of the top stock contributors were due to overweight positions – Flexigroup Ltd (+40.3%), Bellamy’s (+73.6%), and EML Payments (+11.4%) were the key contributors. The large overweight to Pro Medicus (-24.3%) detracted 79bp, while overweights to Ramelius Resources and Silver Lake Resources, and not holding IOOF Holdings (+30.2%), detracted a further 71bps. Companies that had positive free cash flow returned 3.2% for the month. The cap-weighted portfolio of stocks with zero or negative free cash flows returned 3.3% for the month. Trend Alpha Signal The Trend Alpha Signal strongly underperformed the benchmark by 2.6% in September. Sector allocation detracted 54bp, half of which came from the overweight position to Information Technology. Poor stock selection detracted 2.02%, particularly in Financials and Health Care. The large overweight position to Appen Ltd (-18.2%) detracted 31bp, and not holding Bellamy’s (+73.6%) or IOOF (+30.2%) collectively detracted a further 51bp. Despite the significant underperformance of the Trend signal in the market environment, the Trend signal still significantly outperformed a naïve momentum factor for the month (outperformed by 89bps). Diversified Alpha Signal The Diversified Alpha Signal underperformed by 62bp in September. Sector allocation was a small detractor, with stock selection detracting 55bp. The big detractors were poor stock selection in Materials and Health Care. The biggest stock contributors were due to overweight positions in Bellamy’s (+73.6%), Afterpay Touch (+15.8%), and Janus Henderson (15.6%). Biggest stock detractors were the overweight to Pro Medicus (-24.3%), not holding Mesoblast (+49.1%), A.P. Eagers (+17.7%) or Zip Co (+29.5%). Systematic Alpha versus Diversified Alpha Signal The Systematic Portfolio underperformed the Diversified Alpha Signal by 2.57%, which was almost all due to poor stock selection. The Systematic Portfolio was overweight Information Technology, which was a key detractor for the month, detracting 1.11%. The increased overweight to Appen provided nearly half of the detraction, with increased weights to Bravura Solutions, Altium and Wisetech the other half. Poor stock selection within the Financials and Health Care sectors detracted a further 90bps. The Systematic Portfolio has a structural tilt toward larger capitalisation stocks compared to the Diversified Alpha Signal. With the stocks elevated to the ASX100 included, this was on average 26% overweight the largest quintile of stocks by size in the benchmark, slightly underweight the second quintile, and well underweight the three smallest quintiles. Size tilt was the big culprit here in terms of underperformance to the Diversified Signal, with the two smallest quintiles by size in the benchmark returning by far the strongest total returns. Relative to the Diversified Alpha signal, the larger cap tilt of the Systematic Alpha portfolio detracted 0.90bps alone. Stock selection within the largest quintile of stocks detracted a further 0.97%. ABN: 74 623 916 816 | AFSL: 513710 Commercial in Confidence 3 ASX Small Caps Systematic Monthly Performance Report The Diversified Alpha Signal had outperformed the benchmark for the previous 13 months in a row, and finally saw underperformance when Small and Value rallied together. The Systematic Alpha portfolio naturally increases tilts towards larger stocks, and increases sector and stock active positions. In September the hit rate of stock contributors was only 45.9%, which is well below the targeted 65%. The underperformance is evident when this low hit rate is combined with the top 5 contributors summing to 0.85%, and bottom five detractors summing to 1.71%. Sector and Stock Attribution GICS Sector Aus. Small Caps Systematic Alpha S&P/ASX Small Ordinaries Attribution Analysis Average Contrib. To Average Total Contrib. To Allocation Selection Total Return Total Effect Weight Return Weight Return Return Effect Effect Total 100.00% -0.58% -0.58% 100.00% 2.61% 2.61% -0.43% -2.76% -3.19% Real Estate 10.75% -0.25% -0.03% 12.88% -0.98% -0.13% 0.08% 0.08% 0.15% Consumer Discretionary 18.31% 5.19% 0.94% 15.16% 5.41% 0.80% 0.09% -0.04% 0.06% Energy 5.78% 0.55% 0.04% 3.14% -1.71% -0.04% -0.12% 0.14% 0.01% Communication Services 5.39% 3.19% 0.17% 5.32% 3.30% 0.18% 0.00% -0.01% -0.01% Utilities 0.27% 1.02% 0.00% 0.57% 8.85% 0.05% -0.02% -0.02% -0.04% Industrials 6.60% -2.51% -0.16% 8.08% -0.26% -0.02% 0.04% -0.12% -0.08% Consumer Staples 4.93% 2.67% 0.13% 7.53% 8.12% 0.59% -0.13% -0.27% -0.39% Materials 17.18% -0.82% -0.13% 21.02% 1.99% 0.42% 0.01% -0.46% -0.45% Financials 10.94% 4.47% 0.47% 10.97% 9.77% 1.03% 0.00% -0.55% -0.55% Health Care 6.22% -11.46% -0.78% 7.69% 0.39% 0.03% 0.03% -0.81% -0.77% Information Technology 13.65% -8.84% -1.24% 7.65% -3.86% -0.30% -0.41% -0.70% -1.12% ASX_SMALL_SYSTEMATIC S&P/ASX Small Ordinaries Variation Company Name Average Total Contrib. Average Total Contrib. Contrib. Weight Return To Return Weight Return To Return To Return Top 5 Contributors Premier Investments Limited 1.72% 30.28% 0.47% 0.84% 30.28% 0.23% 0.24% Harvey Norman Holdings Ltd 4.85% 5.72% 0.27% 1.56% 5.72% 0.09% 0.18% Afterpay Touch Group Ltd. 0.97% 15.78% 0.16% 0.00% 0.00% 0.00% 0.16% Super Retail Group Limited 3.03% 6.10% 0.18% 0.71% 6.10% 0.04% 0.14% Lynas Corporation Limited 2.05% 13.39% 0.25% 0.89% 13.39% 0.11% 0.13% Bottom 5 Detractors Independence Group NL 1.17% 19.86% 0.10% 1.55% 19.86% 0.28% -0.18% IOOF Holdings Ltd 0.05% 30.23% 0.02% 0.95% 30.23% 0.25% -0.23% Bellamy's Australia Ltd.
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