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26 Sep 2022 - Performance Report: Airlie Australian Share Fund
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| Fund Overview | The Fund is long-only with a bottom-up focus. It has a concentrated portfolio of 15-35 stocks (target 25). The fund has a maximum cash holding of 10% with an aim to be fully invested. Airlie employs a prudent investment approach that identifies companies based on their financial strength, attractive durable business characteristics and the quality of their management teams. Airlie invests in these companies when their view of their fair value exceeds the prevailing market price. It is jointly managed by Matt Williams and Emma Fisher. Matt has over 25 years' investment experience and formerly held the role of Head of Equities and Portfolio Manager at Perpetual Investments. Emma has over 8 years' investment experience and has previously worked as an investment analyst within the Australian equities team at Fidelity International and, prior to that, at Nomura Securities. |
| Manager Comments | The Airlie Australian Share Fund has a track record of 4 years and 3 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has outperformed the ASX 200 Total Return Index since inception in June 2018, providing investors with an annualised return of 10.07% compared with the index's return of 7.5% over the same period. On a calendar year basis, the fund hasn't experienced any negative annual returns in the 4 years and 3 months since its inception. Over the past 12 months, the fund's largest drawdown was -16.29% vs the index's -11.9%, and since inception in June 2018 the fund's largest drawdown was -23.8% vs the index's maximum drawdown over the same period of -26.75%. The fund's maximum drawdown began in February 2020 and lasted 9 months, reaching its lowest point during March 2020. The fund had completely recovered its losses by November 2020. The Manager has delivered these returns with the same level of volatility as the index, contributing to a Sharpe ratio which has fallen below 1 four times over the past four years and which currently sits at 0.63 since inception. The fund has provided positive monthly returns 97% of the time in rising markets and 12% of the time during periods of market decline, contributing to an up-capture ratio since inception of 111% and a down-capture ratio of 97%. |
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26 Sep 2022 - Look beyond market noise to unlock China's growth
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Look beyond market noise to unlock China's growth abrdn August 2022 Market sentiment on China has become especially fragile of late amid fears over near-term growth. However, we see reasons to be positive and urge investors to think longer term and ignore market noise. Hot topics among our investment teams include zero-Covid policy, US-China tensions, monetary and fiscal easing, the weak economic backdrop, a beleaguered property sector and regulatory oversight. China's economy contracted 2.6% in the second quarter this year on the back of Covid-19 lockdowns and a real estate sector under severe liquidity stress due to continued government deleveraging. Of course, these headwinds will likely trigger further monetary and fiscal policy easing, which will support China's economy. Chiefly we expect infrastructure spending and modest interest rate cuts. In the absence of strong stimuli, we're anticipating a gradual turnaround. Our Research Institute is forecasting year-on-year GDP growth of about 3% in 2022 - below market consensus of close to 4%. We see authorities have levers to stabilise the property sector, and growing policy support reaffirms Beijing's commitment. Reportedly they're considering a rescue fund to deliver unfinished residential projects. While it may be insufficient to shore up buyers' confidence, it's a step in the right direction. Further, we expect policymakers to dilute or discard their zero-Covid strategy over time, most likely after the Party's 20th National Congress this year. So we see lockdown effects on growth dissipating. Similarly we see regulatory pressures easing. At a recent Politburo meeting we noted support for expanding China's universe of digital platforms and standardising supervision. Stable regulation will help to improve investor confidence and could drive multiple re-ratings for e-commerce companies. Clearly, geopolitical risk is hard to predict and we expect heightened US-China tensions to last for some time. But we view such tensions as periodic and part of an evolving geopolitical landscape. Our base case is that Beijing will not engage in direct military conflict with Taiwan in the near term. We think cooler heads will prevail in recognition of the heavy cost to economies and global stability. We believe imposing sanctions on Taiwan would be contrary to Beijing's own economic interests, while more military drills around the Taiwan Strait risk disrupting global supply chains and logistics. So what might investors expect? Here we outline our investment teams' China views. Equity teamIt's early for China's economy to show strong signs of recovery on the back of easing measures. So we expect equity markets to remain rangebound in the near term. But we're constructive on the outlook as stimulus measures start to work their way through the system in the second half of 2022. "We're constructive on the outlook as stimulus measures start to work their way through the system in the second half." Companies have started reporting their first-half results, with investors now more focused on analysing fundamentals to understand their underlying strengths and weaknesses. Given our focus on high-quality stocks, we're optimistic about the earnings resilience of our holdings. Valuations also look attractive. The MSCI China A Onshore Index's 12-month forward price-earnings ratio is 11.6x - comfortably below 15.4x for MSCI World and against a five-year average of 12.6x.1 China aims to reduce real estate's contribution to GDP growth due to the sector's high leverage. We have positioned our equity portfolios around the following five themes that we think will enjoy state support and are deemed critical to give China a competitive edge in its economic rivalry with the US: Aspiration: rising affluence leading to fast growth in premium consumption; Fixed income teamWith inflation not an issue, we expect stronger fiscal policy-easing this year and further rate cuts over the next 12 months. However, we suspect growth in infrastructure investment might disappoint after a strong first half. Momentum in the property sector is too weak for it to recover this year. Property sales have fallen sharply and will likely stay low amid impaired consumer confidence. However, we think state-owned enterprises (SOEs) in the sector with continued access to funding are well-placed to outperform. Additionally, with the rollout of more co-ordinated government support, we see potential for stabilisation among large, well-established privately owned enterprise (POE) developers. More generally, Chinese SOEs have enjoyed healthy demand in recent months and we expect them to retain strong government support, although we remain cautious about valuations. We think onshore SOE spreads will remain tight in coming months. We have been trimming core SOE positions over rich valuations relative to Asian and global peers. For the same reason we underweight Chinese financials in the offshore market, especially big banks. We also see supportive liquidity conditions for Local Government Financing Vehicles (LGFVs) in the near term, albeit amid growing concerns about the ability of local governments to support them. Offshore China portfolio positioning:
Onshore China bond positioning:
Multi-Asset teamThe world is a highly unusual place today, with this economic cycle different for three reasons: policymakers are seeking to avoid stimulating the economy via the property sector; strict Covid containment measures continue to dampen consumption; and major central banks are tightening policy aggressively to fight inflation, leading to slower global growth. Whereas in China, where inflation is not an issue, economic growth is in the early stages of recovery after authorities started easing policy this year. Government bond yields are near historic lows, so not outright cheap. But equity risk premia and offshore credit spreads remain attractive. As a result, although Chinese growth is likely to see sequential improvement in the second half of this year, the strength of the recovery will be weaker than in previous cycles. Monetary policy is likely to remain loose, with credit growth driven more by government than the property sector. As policymakers seek to balance short-term growth with long-term structural reform goals, we remain long China onshore equity and China duration; cautious on China credit; and we recommend hedging currency risk when investing in China. In a normal cycle, an early recovery phase is the time to invest in Chinese equity. However, in this cycle we think the recovery will be highly uneven and asset allocators need to pay close attention to potential tail-risk from Covid lockdowns and the property sector. Active stock selection is key. In a normal cycle, as growth recovery takes hold, the bulk of government bond outperformance should be behind us. However, in this cycle the weak recovery suggests China's central bank is likely to keep liquidity conditions loose, meaning bond yields will remain lower for longer. In a normal cycle, credit should rally with equities. However, in this cycle we are not confident that policymakers will backstop troubled property developers, which means high-yield credit will remain distressed. Of course, that does not preclude interesting opportunities in investment grade credit. For currencies, we think CNY can stay resilient on a trade-weighted basis, but weakening external demand and a hawkish US Federal Reserve will put downward pressure on CNY against USD. For global investors, hedging CNY risk is not a bad idea as hedging costs are at their lowest for five years.
Author: Nicholas Yeo, Head Of China Equities; |
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Funds operated by this manager: Aberdeen Standard Actively Hedged International Equities Fund, Aberdeen Standard Asian Opportunities Fund, Aberdeen Standard Australian Small Companies Fund, Aberdeen Standard Emerging Opportunities Fund, Aberdeen Standard Ex-20 Australian Equities Fund (Class A), Aberdeen Standard Focused Sustainable Australian Equity Fund, Aberdeen Standard Fully Hedged International Equities Fund, Aberdeen Standard Global Absolute Return Strategies Fund, Aberdeen Standard Global Corporate Bond Fund, Aberdeen Standard International Equity Fund , Aberdeen Standard Life Absolute Return Global Bond Strategies Fund, Aberdeen Standard Multi Asset Real Return Fund, Aberdeen Standard Multi-Asset Income Fund 1 Bloomberg, 26 August 2022 |
23 Sep 2022 - Hedge Clippings |23 September 2022
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Hedge Clippings | Friday, 23 September 2022 Last Friday RBA Governor Philip Lowe appeared before the House of Representatives Standing Committee on Economics, in part to report, and in part to rebuff suggestions from some quarters that he should resign on account of misjudging the outlook for inflation, and thus his 2021 expectations for interest rates not to rise before 2024. As he pointed out in his opening statement, much has changed since he last fronted the Committee in February, just seven months ago:
Since his 2021 statement rates have risen five times. Lowe could have used the old, supposed quote from various people, including John Maynard Keynes and Winston Churchill and others, to the effect that "when the information changes, he changes his conclusions". This week he could also use the fact that Australia is just one of 90 countries to have increased interest rates this year as they fight the "scourge" of inflation - even if their economies succumb to a recession in the process. To quote from his prepared statement of last week:
This week the US Fed increased rates by 0.75%. In the UK the Bank of England, facing inflation of 10%, upped their rates by 0.50%, the 6th increase this year, while Norway, Sweden (+1.0%), Switzerland (+0.75% and now in positive territory for the first time in eight years), plus South Africa, Indonesia, Vietnam, Mongolia, Taiwan, and the Philippines, all increased rates. Going against the trend, Turkey dropped theirs by 1%, but that was from 13 to 12% in spite of inflation running at its highest for 24 years, and, not surprisingly, in the face of "a loss of momentum in economic activity." Japan's central bank also stood out by not increasing rates, but intervening in markets to support the tumbling Yen. Also swimming against the tide were China and Russia, both of which have their own specific economic and other issues to deal with, and which are also impacting the rest of the world. China's woes include an ongoing slowdown resulting from COVID restrictions, even as it seems the rest of the world have or are emerging from the worst effects of the pandemic which is generally accepted by all except the Chinese government to have originated in Wuhan, and which is approaching a three year anniversary. According to Noel Quinn, the CEO of HSBC Holdings Plc., the correction to China's commercial real estate market was "massive, faster and more decisive than expected", and may have at least another two years to run. Also supporting Lowe's explanation of changing conclusions with the change in available information would surely be Russia's invasion of Ukraine, which caught politicians across the western world, and Europe's economy, and energy supplies in particular, off guard. Just to add to the uncertainty, Putin upped the ante this week when facing defeat at the hands of a supposedly weaker, but fully committed opponent, losing face by calling up 300,000 reservists, and threatening the use of nuclear weapons, which would presumably escalate the war, rather than end it. Australia's economy may or may not escape a recession, but along with the rest of the world's central bankers, Philip Lowe is clear about his priority: The longer term threat from inflation is greater than the shorter term risk of a recession. Which takes us back to Paul Keating's quote of the "recession we had to have". News & Insights The Long and The Short: The 8 minutes that really mattered | Kardinia Capital Reporting season better than many feared | Glenmore Asset Management Outlook Snapshot | Cyan Investment Management |
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August 2022 Performance News Bennelong Long Short Equity Fund |
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23 Sep 2022 - Europe Trip Insights
23 Sep 2022 - Outlook Snapshot
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Outlook Snapshot Cyan Investment Management September 2022 |
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After the strong rally in July which extended into the middle of August, markets became significantly more bearish on renewed inflation concerns and rate rises which saw the broader markets shed almost 5% in the last two weeks of the month. Much of this bearishness was as a result of rate rise fears being validated in early September with the RBA's fifth rate rise in as many months taking rates from 0.35% to 2.25%. By and large the August reporting season did not produce the dire results many participants feared, although, in the case of many companies, outlook statements from management were noncommittal due to the economic and geopolitical uncertainty ahead. Another key theme was a focus on cost management, and there remain a number of high-growth emerging technology businesses that failed in that regard and continue to burn through extreme amounts of cash. Anecdotally we have seen an increase in market activity, a number of new IPO's have been marketed along with a good increase in corporate flow along with the previously discussed takeover activity. Whilst this has not yet resulted in substantially increased trading volumes, we absolutely feel that the market is heading back towards more 'normal' levels of activity.
As we mentioned in our introduction there are certainly some 'green shoots' in the domestic market with takeover bids, new IPOs and generally increased levels of confidence and market activity. In the past two weeks we have had more than a dozen face-to-face meetings with management (along with a similar number of zoom calls) so it's very much beginning to feel like business conditions are improving. After more than 12 months of bearish stock market trading we feel there are presently a number of emerging market trends that could result in markedly improved short to medium term performance. Certainly, we feel that our investee companies have been, on the whole, trading well and we're firmly of the view that from present levels, upside price appreciation far exceeds downside. What we wrote previously remains very much relevant: "We still see a gap between price and value in many of our holdings. However, with sentiment feeling more positive ... we hope that some of that inherent value will be released in the short to medium term as the market re-focuses on quality, growing companies and fundamental research." |
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Funds operated by this manager: Cyan C3G Fund |
21 Sep 2022 - Performance Report: Bennelong Emerging Companies Fund
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| Manager Comments | The Bennelong Emerging Companies Fund has a track record of 4 years and 10 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has outperformed the ASX 200 Total Return Index since inception in November 2017, providing investors with an annualised return of 17.84% compared with the index's return of 7.54% over the same period. On a calendar year basis, the fund has only experienced a negative annual return once in the 4 years and 10 months since its inception. Over the past 12 months, the fund's largest drawdown was -31.43% vs the index's -11.9%, and since inception in November 2017 the fund's largest drawdown was -41.74% vs the index's maximum drawdown over the same period of -26.75%. The fund's maximum drawdown began in December 2019 and lasted 10 months, reaching its lowest point during March 2020. The fund had completely recovered its losses by October 2020. The Manager has delivered these returns with 14.99% more volatility than the index, contributing to a Sharpe ratio which has fallen below 1 four times over the past four years and which currently sits at 0.67 since inception. The fund has provided positive monthly returns 79% of the time in rising markets and 32% of the time during periods of market decline, contributing to an up-capture ratio since inception of 275% and a down-capture ratio of 125%. |
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21 Sep 2022 - Reporting season better than many feared
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Reporting season better than many feared Glenmore Asset Management September 2022 In August, equity markets were weaker, driven by expectations around the number of future interest rate rises needed to reduce inflation. In the key US indices, the S&P 500 was down -4.2%, the Nasdaq fell -4.6%, whilst in the UK the FTSE 100 performed better, declining -1.9%. Australia outperformed, where the All Ordinaries Accumulation Index rose +1.3%, driven by its heavy weighting to resources and oil and gas stocks, which outperformed strongly. Property, consumer staples and utilities sectors lagged. The key driver of declines in global indices were comments made by Jerome Powell (chair of US Federal Reserve) in late August which indicated the US Federal Reserve monetary policy will be aimed very strongly at bringing down inflation closer to its long range target of ~2%, which in turn indicates the interest rate hiking phase will be larger and go for longer than some equity investors had hoped for. On this issue, our base expectation is that central banks will need to raise rates aggressively for another 6-12 months in order to reduce inflation to more acceptable levels. Whilst this will lead to a challenging and volatile period for equity markets, the positive is that this volatility is likely to provide excellent buying opportunities in stocks across a range of sectors on the ASX. In fixed interest markets, the US 10 year bond yield rose sharply, climbing 42 basis points to close at 3.13%, whilst the yield on the Australian 10 year bond also rose sharply, by 54bp to close at 3.55%. The A$/US$ fell -2.0% to close at US$68.5. Commodities were broadly lower in August, iron ore fell - 16.0%, crude oil -12.3%, copper fell -2.1%, whilst thermal coal continued to outperform, rising +4.2%. Overall, the August reporting season was better than many investors had feared, with most results coming in close to consensus expectations. With that said, we are still quite early of the interest rate hiking cycle, with company results for the December 2022 half likely to be more impacted by rising interest rates, higher cost of living, and general caution on household spending. Funds operated by this manager: |
21 Sep 2022 - Why it's important to consider ESG in asset allocation
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Why it's important to consider ESG in asset allocation Pendal August 2022 |
ESG is not just a company-level issue, says Pendal multi-asset portfolio manager ALAN POLLEY
ENVIRONMENTAL, social and governance factors should be incorporated into portfolios at an asset allocation level - rather than only at individual stock selection level, says Pendal's Alan Polley. ESG has long been a critical factor in investing, aiming to identify and avoid risk and financial loss as well as bring about change. But it's often considered only at a company level. A better investing framework would incorporate ESG factors at an asset allocation level before the security selection process even takes place, says Polley, a portfolio manager in Pendal's multi-asset team. "We know asset allocation is the primary driver of investment returns. It explains about 90 per cent of the return variability in a portfolio according to the original Brinson study," says Polley. "But ESG integration in asset allocation is not something that is covered in the industry. That's for two reasons: "First, because it's hard. How do you think about it? "And second, in my opinion, asset allocation is not well shaped in the industry overall. So, where does ESG fit into an investment process that isn't very well defined?" Three-part frameworkPolley offers a three-part framework for thinking about ESG in asset allocation. The practice of asset allocation fundamentally involves three decisions, he says:
"When you think about asset allocation, you really doing one of those three things - there's no other decisions. "Given those three decisions sets, incorporating ESG is quite simple." Climate change examplePolley uses the environmental factor of carbon emissions as an example. "Emissions intensity in Australia is vastly higher than global markets. So, if you think climate change is an important investment consideration, you might tilt away from Australian equities towards international developed markets. "There is a ESG headwind to the Australian market and the Australian economy in its exposure to fossil fuels." Pendal's multi-asset funds have incorporated this insight by reducing a portfolio's home bias and tilting instead towards US and European shares. The framework also holds true for social and governance factors. "Emerging markets are not great on E, S or G - they are emerging for a reason. But we're not going to rule out the asset class because it's an important source of diversification and returns. "So, we changed the definition - for emerging markets, we've removed repressive regimes: China, Saudi Arabia, Russia and a few others. From an ESG standpoint, we just don't think they're true to label." The change means the portfolios can still hold emerging markets assets and lifts the weightings to less risky markets. New asset classesThe third asset allocation decision - introducing new asset classes - has allowed the portfolios to lift exposure to the energy transition theme. "The conversion from fossil fuels to renewables is a secular tailwind so we have created a listed renewables infrastructure asset class. We're investing directly into renewable listed investment companies - the underlying assets are pure infrastructure like batteries, wind farms, solar and hydro. "It's great because we tend to focus on investing in primary market stock issuances, so we're directly funding the development of these renewables assets. "It's a great way of getting a big lick of ESG exposure into our portfolios within the asset allocation construct." It's important that sustainable investors step beyond simple security selection, says Polley. "Security selection is just the first generation of ESG thinking - the 1G. "Asset allocation is 2G and you can even step up to a third generation and consider ESG in the whole of portfolio construction. "But most of the industry is still stuck at 1G." Author: Alan Polley, Portfolio Manager |
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Funds operated by this manager: Pendal Focus Australian Share Fund, Pendal Global Select Fund - Class R, Pendal Horizon Sustainable Australian Share Fund, Pendal MicroCap Opportunities Fund, Pendal Sustainable Australian Fixed Interest Fund - Class R, Regnan Global Equity Impact Solutions Fund - Class R, Regnan Credit Impact Trust Fund |
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This information has been prepared by Pendal Fund Services Limited (PFSL) ABN 13 161 249 332, AFSL No 431426 and is current as at December 8, 2021. PFSL is the responsible entity and issuer of units in the Pendal Multi-Asset Target Return Fund (Fund) ARSN: 623 987 968. A product disclosure statement (PDS) is available for the Fund and can be obtained by calling 1300 346 821 or visiting www.pendalgroup.com. The Target Market Determination (TMD) for the Fund is available at www.pendalgroup.com/ddo. You should obtain and consider the PDS and the TMD before deciding whether to acquire, continue to hold or dispose of units in the Fund. An investment in the Fund or any of the funds referred to in this web page is subject to investment risk, including possible delays in repayment of withdrawal proceeds and loss of income and principal invested. This information is for general purposes only, should not be considered as a comprehensive statement on any matter and should not be relied upon as such. It has been prepared without taking into account any recipient's personal objectives, financial situation or needs. Because of this, recipients should, before acting on this information, consider its appropriateness having regard to their individual objectives, financial situation and needs. This information is not to be regarded as a securities recommendation. The information may contain material provided by third parties, is given in good faith and has been derived from sources believed to be accurate as at its issue date. While such material is published with necessary permission, and while all reasonable care has been taken to ensure that the information is complete and correct, to the maximum extent permitted by law neither PFSL nor any company in the Pendal group accepts any responsibility or liability for the accuracy or completeness of this information. Performance figures are calculated in accordance with the Financial Services Council (FSC) standards. Performance data (post-fee) assumes reinvestment of distributions and is calculated using exit prices, net of management costs. Performance data (pre-fee) is calculated by adding back management costs to the post-fee performance. Past performance is not a reliable indicator of future performance. Any projections are predictive only and should not be relied upon when making an investment decision or recommendation. Whilst we have used every effort to ensure that the assumptions on which the projections are based are reasonable, the projections may be based on incorrect assumptions or may not take into account known or unknown risks and uncertainties. The actual results may differ materially from these projections. For more information, please call Customer Relations on 1300 346 821 8am to 6pm (Sydney time) or visit our website www.pendalgroup.com |
20 Sep 2022 - Performance Report: Digital Asset Fund (Digital Opportunities Class)
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| Fund Overview | The Fund offers a choice of three investment classes, each of which adopts a different investment strategy: - The Digital Opportunities Class identifies and trades low risk arbitrage opportunities between different exchanges and a number of digital assets; - The Digital Index Class tracks the performance of a basket of digital assets; - The Bitcoin Index Class tracks the performance of Bitcoin. Digital Opportunities Class: This class appeals to investors seeking an active exposure to the digital asset markets with no directional bias. The Digital Opportunities Class employs a high frequency inspired Market Neutral strategy trading 24/7 which uses a systematic approach designed to offer uncorrelated returns to the underlying highly volatile cryptocurrency markets. The strategy systematically exploits low-risk arbitrage opportunities across the most liquid and active digital asset markets on the most respected exchanges. When appropriate the Fund may obtain leverage, including through borrowing cash, securities and other instruments, and entering into derivative transactions and repurchase agreements. DAFM has a currency hedging policy in place for the Units in the Fund. Units in the Fund will be hedged against exposure to assets denominated in US dollars through a trading account with spot, forwards and options as directed by DAFM. |
| Manager Comments | The Digital Asset Fund (Digital Opportunities Class) has a track record of 1 year and 4 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has outperformed the S&P Cryptocurrency Broad Digital Market Index since inception in May 2021, providing investors with an annualised return of 41.3% compared with the index's return of -49.28% over the same period. Over the past 12 months, the fund hasn't had any negative monthly returns and therefore hasn't experienced a drawdown. Over the same period, the index's largest drawdown was -71.98%. Since inception in May 2021, the fund's largest drawdown was 0% vs the index's maximum drawdown over the same period of -71.98%. The Manager has delivered these returns with 53.37% less volatility than the index, contributing to a Sharpe ratio for performance over the past 12 months of 3.05 and for performance since inception of 1.61. The fund has provided positive monthly returns 100% of the time in rising markets and 100% of the time during periods of market decline, contributing to an up-capture ratio since inception of 6% and a down-capture ratio of -48%. |
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20 Sep 2022 - Performance Report: Bennelong Twenty20 Australian Equities Fund
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| Manager Comments | The Bennelong Twenty20 Australian Equities Fund has a track record of 12 years and 10 months and has outperformed the ASX 200 Total Return Index since inception in November 2009, providing investors with an annualised return of 9.64% compared with the index's return of 7.65% over the same period. On a calendar year basis, the fund has experienced a negative annual return on 2 occasions in the 12 years and 10 months since its inception. Over the past 12 months, the fund's largest drawdown was -21.68% vs the index's -11.9%, and since inception in November 2009 the fund's largest drawdown was -26.09% vs the index's maximum drawdown over the same period of -26.75%. The fund's maximum drawdown began in February 2020 and lasted 9 months, reaching its lowest point during March 2020. The fund had completely recovered its losses by November 2020. The Manager has delivered these returns with 0.69% more volatility than the index, contributing to a Sharpe ratio which has fallen below 1 five times over the past five years and which currently sits at 0.58 since inception. The fund has provided positive monthly returns 94% of the time in rising markets and 7% of the time during periods of market decline, contributing to an up-capture ratio since inception of 118% and a down-capture ratio of 98%. |
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