Sydney boutique Alphinity's Sustainable Share Fund comes out the top performer for three years to March end on headline returns but also fares well when risk factors are considered, according to Rainmaker Information.
The Rainmaker RMetrics Report divided Australian equities funds into three categories: active core (tracking error of 1 to 5% per annum), high performance (tracking error of 5% plus), small caps (outside the S&P/ASX 100) considering their monthly returns for the three years ending March 2020.
In addition to the headline returns, it looked at volatility in monthly returns (as measured by standard deviation), volatility of returns that fall below a return target (semi standard deviation), the return per unit of risk taken including for negative returns (Sharpe and Sortino Ratios), probability-weighted ratio of gains over losses for a given level of expected returns (Omega Ratio), pattern of returns (Kurtosis and Skewness).
In the Active Core category, Alphinity Sustainable Share Fund had the best returns (3.8% per year) but also the highest Share ratio (0.1), Sortino Ratio (0.1), Omega Ratio (1.3) and Information Ratio (1.6). Perpetual's Ethical SRI Fund scored the best on volatility with lowest standard deviation (14.1%) and semi standard deviation (14.7%).
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To contrast, the median fund in the active core category where 46 funds were considered was $131 million in size and returned -1.5%.
The median active core fund had 14 months of negative returns totaling -43.6%. Its maximum monthly returns over the period were 6% while minimum was -20.2%. Standard deviation stood at 16.7% p.a. and Sharpe and Omega Ratios of -0.2%.
In the high performance category, Australian Unity Platypus Australian Equities Fund had the best annualised return (8.7%) and Sharpe Ratio (0.4) and Omega Ratio (1.6). Lazard's Defensive Australian Equity Fund was the best on volatility with the lowest standard deviation (19.8%) and semi standard deviation (22.7%). Hyperion Australian Growth Companies Fund had the best Sortino ratio (0.5) while Fidelity Future Leaders Fund had the best information ratio (1.4).
In the small companies category, Lakehouse Small Companies Fund scores the best on annual returns (14.9%), Sharpe Ration (0.6), Sortino Ratio (0.6), Omega Ratio (1.8) and Information Ratio (1.7). Aberdeen Standard Australian Small Companies Fund had the least volatility (13.5% in standard deviation) while Ironbark Karara Australian Small Companies Fund had the lowest semi standard deviation (5.2%).