Pinnacle aShares Global Dynamic Income Fund · Pinnacle aShares Global Dynamic Income Fund SUMMARY...
Transcript of Pinnacle aShares Global Dynamic Income Fund · Pinnacle aShares Global Dynamic Income Fund SUMMARY...
Pinnacle aShares Global Dynamic Income Fund
This report has been prepared for financial advisers only
Superior
INTRODUCTION
INTRODUCTION
Key PrinciplesThe underlying principles of the assessment process are to:
- identify the long term commercial potential of the Responsible Entity/Investment Manager;
- evaluate management’s capabilities, previous performance in the specific industry and the stability of the organisation;
- evaluate identified markets (domestic and international existence, stability and growth potential);
- benchmark key performance assumptions and variables against industry peers;
- weigh up the relevant risks of the Responsible Entity/Investment Manager;
- assess structure and ownership; - determine if the Responsible Entity/Investment Manager is
structured in such a way as to protect investor’s interests; and - allow an opinion to be formed regarding the investment quality of
the Responsible Entity/Investment Manager.
AssessmentSQM Research conducts a detailed site inspection of the projects/properties within the Responsible Entity’s/Investment Manager’s managed funds.
The site assessment considers the following areas:
- sustainability of the site for the purpose intended;
- management skills, qualifications, capabilities and experience; and
- associated property risks and their management.
4½ stars and above
Outstanding Highly suitable for inclusion on APLsSQM Research believes the Fund has considerable potential to outperform over the medium-to-long term. Past returns have typically been quite strong. Product disclosure statement (PDS) compliance processes are of a high-calibre. There are no corporate governance concerns. Management is extremely experienced, highly skilled and has access to significant resources.
High Investment grade
4¼ stars Superior Suitable for inclusion on most APLsSQM Research considers the Fund has substantial potential to outperform over the medium-to-long term. Past returns have tended to be strong. PDS compliance processes are high-quality. There are no material corporate governance concerns. Management is of a very high calibre.
High Investment grade
4 stars Superior Suitable for inclusion on most APLsIn SQM Research’s view, the Fund has an appreciable potential to outperform over the medium-to-long term. Historical performance has tended to be meaningful. PDS compliance processes are strong. There are very little to no corporate governance concerns. Management is of a high calibre.
High Investment grade
3¾ stars Favourable Consider for APL inclusionSQM Research concludes the Fund has a moderate potential to outperform over the medium-to-long term. Past performance has tended to be reasonable. Management is experienced and displays investment-grade quality. There are no corporate governance concerns, or they are of a minor nature.
Approved
3½ stars Acceptable Consider for APL inclusionIn SQM Research’s view, the potential for future outperformance in the medium-to-long term is somewhat uncertain. Historical performance has tended to be modest or patchy. Management is generally experienced and capable. SQM Research has identified weaknesses which need addressing in order to improve confidence in the Manager.
Low Investment grade
3¼ stars Caution Required Not suitable for most APLsIn SQM Research’s opinion, the potential for future outperformance in the medium-to-long term is very uncertain. Historical returns have tended to be disappointing or materially below expectations. PDS compliance processes are potential substandard. There are possible corporate governance concerns. Management quality is not of investment-grade standard.
Unapproved
3 stars Strong Caution Required
Not suitable for most APLsIn SQM Research’s opinion, the potential for future outperformance in the medium-to-long term is unlikely. Historical performance has tended to be unacceptable. There may be some material corporate governance concerns. SQM Research has a number of concerns regarding management.
Unapproved
Below 3 stars Avoid or redeem Not suitable for most APL inclusion Unapproved
Event-driven Rating Definition
Hold Rating is suspended until SQM Research receives further information. A rating is typically put on hold for a period of two days to four weeks.
Withdrawn Rating no longer applies. Significant issues have arisen since the last report date. Investors should consider avoiding or redeeming units in the fund.
* The definitions in the table above are not all encompassing and not all individual items mentioned will necessarily be relevant to the rated Fund. Users should read the current rating report for a comprehensive assessment.
Star Rating*Investment products are awarded a star rating out of a possible five stars and placed on the following websites: www.sqmresearch.com.au
Licensed Investment AdviserSQM Research is licensed as an Australian Financial Services Licensee, Licence No. 421913, pursuant to section 913B of the Corporations Act 2001. The licence authorises SQM Research to carry on a financial services business to provide general financial product advice only.
Privacy PolicySQM Research collects only a limited amount of personal information from its clients. Our privacy policy can be viewed at www.sqmresearch.com.au. This will enable you to understand your rights, our obligations and what SQM Research does with any information it collects about you.
Fees charged for ReportSQM Research has received a fee from the fund manager for this report and rating.
General Financial Product AdviceThis advice will not take into account you, or your clients, objectives, financial situation or needs and will not be provided in respect of any other financial products. Accordingly, it is up to you and your clients to consider whether specific financial products are suitable for your objectives, financial situations or needs.
Report Date: 17 July 2019
Star Rating * Description Definition Investment Grading
Pinnacle aShares Global Dynamic Income Fund
3CONTENTS
Summary 2
Fund Summary 3
SQM Research’s Review and Key Observations 3
Strengths of the Fund 8 Weaknesses of the Fund 9 Other Considerations 9 Key Changes Since the Last Review 9
Investment Process & Portfolio Construction 10 Investment Process Diagram 10 Investment Philosophy 10 Investment Strategy 10 Research 11 Portfolio Construction 13 Risk Management 14 Trading & Implementation 16
Corporate Governance/Business Strategy 17 Key Counterparties 17 Business Strategy 18 Funds Under Management (FUM) 18
Management & People 19 Investment Team 19 Meeting Schedule 19 Key Investment Staff 19 Remuneration and Incentives 20
Product Features - Fees & Redemption Policy 21 Fees 21 Redemption Policy 21 Distributions 21
Quantitative Analysis 23 Quantitative Insight 24 Return and Risk 27Asset Allocation & Risk Parameters 29
Pinnacle aShares Global Dynamic Income Fund
2
SQM Rating Superior. Suitable for inclusion on most APLs.
Fund Description Fund Name Pinnacle aShares Global Dynamic Income Fund (Managed Fund)
ASX ticker SAVE
ARSN 632 117 303
Manager Omega Global Investors Pty Ltd (ABN 64 126 331 244)
Responsible Entity Pinnacle Fund Services Limited (AFSL 238371)
Custodian State Street Australia Ltd
Market Maker Deutsche Securities Australia Limited
Investment Details
Fund Inception 20 August 2019
Fund Size This is a new Fund
Fund Type Multi-sector Income
Return Objective (PDS) Annual income which exceeds the RBA Cash Rate by 4%
Internal Return Objective RBA Cash Rate plus 5%
Risk Level (PDS) Medium
Internal Risk Objective Beta of 0.5 to International Equities
Benchmark RBA Cash Rate
Number of positions in portfolio 115
Gearing (Fund) None
Investment Specifications
Minimum Application No minimum
Redemption Policy Daily traded on the ASX
Distribution Frequency Monthly
ICR 0.65%
MER 0.50%
Performance Fee None
Buy/Sell Spread* 0.10% / -0.10%
Currency Hedging 100% Hedged to AUD
Time Horizon for Investment Three years plus
Other
Turnover 20% - 30% p.a.
Portfolio holdings disclosure Daily
Top 10 Holdings Weight 8%
SUMMARY
Pinnacle aShares Global Dynamic Income Fund
3
Fund Summary
Description
The Pinnacle aShares Global Dynamic Income Fund (Managed Fund) ASX : SAVE (the “Fund”) is structured as an open-ended exchange traded fund (ETF).
An application has been made to the ASX for the units in the Fund to be admitted to trading status under the AQUA Rules framework. Once quoted, the units will be quoted under the AQUA Rules, not the ASX Listing Rules, which provide a tailored framework for quotation of exchange traded funds, managed funds and structured products on the ASX.
The purpose of the Fund is to achieve consistent monthly income with the potential for moderate capital growth. The Fund invests primarily in global listed equity securities on recognised exchanges and investment grade bonds, using quantitative factor models to identify securities that have a high probability of delivering the income and risk objectives. The Fund’s asset allocation is dynamically managed, with the flexibility to change the asset class exposure and currency hedging level at any time within broad ranges. This allows Omega to actively manage the Fund’s risk and return profile.
Fund Rating
The Fund has achieved the following rating:
Star Rating Description Definition Investment
Grading
4.25stars Superior Suitable for inclusion
on most APLsHigh Investment
Grade
SQM Research’s Review and Key Observations
1. People and Resources
Size and Resources of the Fund Management Company
Omega Global Investors Pty Ltd (ABN 64 126 331 244 AFSL 318125) is the Investment Manager for the Fund. Established in 2008, Omega has a history of managing multi-strategy portfolios across government and corporate bonds, global and Australian equities, listed infrastructure, cash, and currency. Current FUM is $4.4 billion.
Based in Melbourne, Omega is majority employee owned with a management team who have over 100 combined years of experience. Pinnacle Investments Ltd purchased a 40% stake in Omega in July 2018. The founding directors and staff own the remaining 60% of the firm. Omega’s business strategy has been to achieve scale in the institutional market and then diversify the business into different distribution channels. As a
result, nearly 100% of the business is made up by the top 10 institutional clients.
Investment Team
The Investment team comprises five experienced portfolio managers and researchers. The Research team consists of Amanda Lin, Andrew Gruskin and another to be appointed Research Analyst. Ms Lin has key day to day responsibility for the portfolio management of the Omega Global Dynamic Income Fund. Mathew McCrum and Andrew Gruskin also provide back up and oversight for the management of the portfolio.
The implementation of Omega’s portfolios is based on researched strategy development and relies on Omega’s systems and processes to deliver effective implementation. The systematic nature of portfolio management results in lower key man risk should the portfolio manager leave. Omega has back up in place to ensure that any staff turnover is covered.
Portfolio management and research are integrated at Omega so that ideas flow between idea generation, portfolio construction and research. Models and algorithms are reviewed and approved by each member of the investment team. Having an investment team manage both bonds and equities results in flow of information and ideas that benefit strategy development and client portfolios.
2. Investment Process and Philosophy
Investable Universe
The investable universe is restricted to highly liquid, tradable securities comprising investment grade global bonds and global equities (including Australian equities). In total, the investable universe is comprised of over 10,000 securities, consisting of 8,500 bonds and 1,800 equities. The current market value of this universe is US$92.3 trillion, (US$41.2 trillion (MSCI World) and US$51.1 trillion (Global bonds).
Process / Philosophy / Style
Omega believes that market capitalisation benchmarks are in the main inefficient, particularly in terms of risk control and diversification. Omega believes that there are specific factors that can be distilled to explain the return of securities within an investment universe.
The Fund’s investment strategy is to invest in a mix of global bonds and equities, with a focus on securities which will deliver consistent income and are exposed to factors that Omega have identified to deliver risk-adjusted excess return. The strategy is agnostic between bonds and equities, to deliver consistent income and low volatility.
SUMMARY
Pinnacle aShares Global Dynamic Income Fund
4SUMMARY
The investment style is a bottom up and quantitative. The core of the strategy is research into the fundamental factors and the relationships between these factors that contribute to risk and return at the stock level. The strategy does not use traditional top-down macro analysis.
Omega’s stock selection process starts with identifying a number of factor ratios that are likely to impact on risk and/or return. The first step is the choice of factors through review of the behaviour of different factors over time. Factors are analysed for complementarity, based on their relationship with each other. Specific factor ratios are then isolated to create stock specific selection views. Factor selection considers factor return, correlation, volatility and parsimony of the overall factor model.
The equity factors include:
• Price to Book• Price / cashflow• PE• Dividend yield• Current ratio• Interest cover• Volatility• Momentum• ROE• ROA
The primary factor used in the screening process is dividend quality, i.e. to eliminate those securities that do not provide a stable, regular and growing dividend. This provides close alignment with investment objective of providing a consistent monthly income. This screen reduces the equity universe down to around 1,600 securities that meet these criteria.
The process to identify the preferred candidate stocks is systematic and is driven by the interaction between the factors. The factors are weighted using minimum variance optimisation. The process to create a stock specific view from the factor ratios is as follows:
• Create Pure Factor Portfolios - The factor ratios are normalised and then are optimised into long/short portfolios within broad sector groups to have exposures to each of the factors.
• Combine Pure Factor Portfolios - Using minimum variance optimisation, the Pure Factor Portfolios are combined into a single long/short portfolio. This creates a more stable security selection signal and also removes the need and risk of timing or choosing between factors.
• Calculate Implied Alphas - Once the single long/short portfolio is created, the implied alphas are backed out by reverse optimisation. These implied alphas are utilised in a constrained mean variance framework.
For bonds, security selection is based on analysis of spread, credit rating and hedge premium. The Manager seeks mispriced securities at specific durations. The Fund is primarily exposed to securities that have duration less than 5 years. This is because volatility is highly correlated to duration and volatility constraints are a key element in portfolio construction. Consequently, the Fund’s bond component will have half the duration compared to the Global Government Bond Index.
The portfolio construction process seeks to develop a blend of the factor portfolios to provide the best risk-return outcomes, given the prevailing trading conditions and market cycles. The portfolio is constructed by preferencing exposure to higher income producing securities which exhibit stable returns and low volatility. The portfolio is constructed using an optimisation process which uses the security level alphas and specific portfolio constraints. Risk control measures are built in considering liquidity, transaction costs, holding size and specific versus common risks. The final asset allocation is typically 60% in global equities and 40% in global bonds.
There are no specific allocations in terms of market capitalisation built into the portfolio. However, SQM Research notes that there would tend to be a bias towards larger cap, high dividend paying securities.
The portfolio is not managed to any index relative country or regional weights. Country exposures are the outcome of the prevailing global equity and bond opportunity set while maintaining a prudent level of diversification and concentration risk. The portfolio tends to favour low volatility securities that deliver stable income. Australian equities have a disproportionately high allocation, whereas US equities are considerably underweight relative to the MSCI Global Equity Index.
In SQM Research opinion, the investment strategy and implementation is robust, logical and systematic. There is little manual override, with the research focus being on identifying and improving the application of the factor models. Risk management is built into the system. The investment process is likely to achieve the targeted income and risk outcomes.
Pinnacle aShares Global Dynamic Income Fund
5SUMMARY
Risk Management
Omega adopts a multi-dimensional view of risk:
• Volatility of the portfolio as measured by annualised standard deviation and correlation of the main factors which explain risk.
• Left-tail risk, which is a measure of the probability of negative returns and susceptibility to extreme events.
Risk is managed primarily through the security selection process, which exposes the portfolio to lower volatility securities. In addition, the internal risk objective is to limit the portfolio’s beta relative to global equities. The Manager targets a beta of 0.5 vs. the MSCI World NR Hedged Index. SQM Research notes this has been achieved, with beta of 0.3 compared to the MSCI World Index.
The Fund aims to deliver half of the global equity risk with limited drawdown. The worst drawdown since inception is -4.55% in December 2018, compared to -12.8% for the peer group average. The maximum length of time under the previous highwater mark is ten months for the Fund from June 2015 to March 2016, vs. 17 months for the peer group. This indicates the Fund is able to provide some capital preservation characteristics.
In SQM’s view, the risk management framework is likely to provide satisfactory control over the volatility and drawdown of the Fund.
3. Portfolio Characteristics
Portfolio Turnover
The portfolio is actively managed, and the Portfolio is rebalanced monthly. Turnover is approximately 5% per month. The holding period for investments is not specified and is determined by the security’s exposure to the underlying risk factors and the interaction with other securities.
Liquidity
Investors can buy and sell units to other investors in the secondary market in the same way as other ASX quoted securities. A market maker may provide liquidity to investors by acting as a buyer and seller of units. The Responsible Entity (Pinnacle Investments Ltd) has entered into a market making agreement with a market maker to facilitate this liquidity.
Leverage
The Fund does not have any leverage.
Currency Hedging
The portfolio is 100% hedged to AUD and rebalanced monthly. Omega does not take unhedged currency positions. Hedge carry is a source of income. Currency losses on FX hedges are offset against turnover in securities with hedge gains.
4. Performance & Risk
Length of Track Record
The Fund has a history of 5.25 years (or 63 months). As a result, observations and analysis of the Fund’s returns will have some practical statistical value.
Return Objective & Performance
The Fund aims to provide investors with a high and stable level of monthly income coupled with moderate capital growth, targeting an annual income which exceeds the RBA Cash Rate by 4% and a total return exceeding the RBA Cash rate +5%.
Over the twelve-month period to 31 May 2019, the Fund returned 3.11% (after fees) compared to 6.58% for the benchmark. This is an underperformance of -3.47%. Since inception of the strategy, however, the Fund has returned 8.59%, outperforming the Cash+5% benchmark by 1.00%.
FUM (Funds under Management) / Capacity
Fund Performance to 31 May 2019 (% p.a.)
Total Return 1-Month 3-Month 6-Month 1-Year 3-Year 5-Year Inception
Fund 1 -0.58 0.88 2.55 3.11 6.89 6.90 8.59
Benchmark 2 0.53 1.60 3.24 6.58 6.59 6.89 7.59
Peer Average 0.53 3.20 10.36 5.61 8.77 7.31 8.22
Alpha -1.12 -0.72 -0.68 -3.47 0.29 0.02 1.00
1. Assumes dividend reinvestment. Returns for periods greater than one year are annualised. Return history starts April 20112. Benchmark: RBA Cash Rate +5%
Pinnacle aShares Global Dynamic Income Fund
6SUMMARY
$8,000
$10,000
$12,000
$14,000
$16,000
$18,000
$20,000
$22,000
Mar
11
Sep
11
Mar
12
Sep
12
Mar
13
Sep
13
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Benchmark Fund Peer Average
Growth of $10,000
+7.8
+11.8
-0.7
+5.5
+8.4
+13.2
-3.8
+7.8
+13.5
+11.2
-6.2
+12.7
-10.0
-5.0
+0.0
+5.0
+10.0
+15.0
Dec 16 Dec 17 Dec 18 May 19
Fund Benchmark Peer Avg
Annual Returns
SQM Research notes that while the RBA cash rate is a commonly used benchmark for absolute return funds, it is not proportionate to the risk of this Fund which invests in global bonds (typically 40%) and listed global equities (60%). For the purpose of our comparative performance analysis, SQM Research has used a blended benchmark (hereafter called the SQM Risk Benchmark) comprising 40% Bloomberg Barclays Global Aggregate TR Hedged AUD and 60% MSCI World Hedged NR Index. SQM Research believes this blended benchmark provides a more relevant basis for comparison for risk-return performance analysis. Investors should be aware that the Fund is not managed to track the performance of the blended benchmark or the underlying indices in any way. The Fund is not constrained by Index market cap or sector weights to achieve its return and beta objectives. Consequently, the performance characteristics of the Fund will likely differ substantially from those of the SQM Risk Benchmark.
Since its inception, the strategy has underperformed the blended 60:40 benchmark by 0.48% p.a. The strategy has outperformed
its peers by 0.37% p.a. since inception.
Fund Performance to 31 May 2019 (% p.a.) - using SQM Risk Benchmark as Return Comparison
Total Return 1-Month 3-Month 6-Month 1-Year 3-Year 5-Year Inception
Fund 1 -0.58 0.88 2.55 3.11 6.89 6.90 8.59
SQM Risk Benchmark 2 -3.04 0.88 2.99 3.09 7.50 7.09 9.07
Peer Average 0.53 3.20 10.36 5.61 8.77 7.31 8.22
Alpha 2.45 0.00 -0.44 0.02 -0.61 -0.18 -0.48
1. Assumes dividend reinvestment. Returns one year and longer are annualised. Return history starts April 20112. SQM Risk Benchmark: 60% MSCI World Hedged NR AUD; 40% Bloomberg Barclays Global Agg TR Hedged AUD
-3.17
-6.24
-2.48
1.82
-0.65 -1.40
3.03
-2.23
-8.0
-6.0
-4.0
-2.0
0.0
2.0
4.0
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Exce
ss R
etu
rns
2019 data = 5 months ending May-19
Fund Excess Returns %: Calendar Year (net of fees)
Pinnacle aShares Global Dynamic Income Fund
7SUMMARY
Risk
The risk level of the Fund is considered to be “Moderate”. The Fund’s volatility (standard deviation of monthly returns) over the year to May-2019 was 6.2% compared to a peer average of 11.4% and 9.7% for the SQM Risk Benchmark.
Drawdown Experience
The Fund’s downside capture ratio over the three years to May 2019 was 53.6% compared to a peer average of 75.7%.
Drawdown Size (peak-to-trough)
Fund Bench Peers
Average -1.35% -2.62% -5.05%
Number 14 15 12
Drawdowns have on average been much better than both the benchmark and the peer average.
Volatility & Tracking Error
The Fund’s volatility (standard deviation of monthly returns) has tended to be substantially lower than both SQM Risk Benchmark and peers. On a rolling 3-year basis, volatility for the Fund has ranged between 3.0% and 5.0%. This compares to the SQM Risk Benchmark volatility of between 9.3% and 11.8%.
The Fund is not managed to a tracking error constraint. On an ex-post basis, the Fund’s tracking error (standard deviation of monthly excess returns) has tended to be significantly lower than that of its peers, averaging 4.4% vs. 8.3% since inception.
6.19 4.82 4.39 4.16
9.65
6.27 6.56 6.70
11.43
9.50 10.96 10.93
1-Year 3-Year 5-Year Inception
Volatility % pa
Volatility - Fund (% p.a.) Volatility - Benchmark (% p.a.) Volatility - Peer Average (% p.a.)
5.00 3.96 4.13 4.43
8.80 7.88
8.59 8.29
1-Year 3-Year 5-Year Inception
Tracking Error % pa
Tracking Error (% p.a.) - Fund Tracking Error (% p.a.) - Peer Average
The risk outcomes as described above regarding volatility and tracking error are consistent with the PDS statements about risk and are in line with SQM’s expectations for this Fund.
Correlation to Australian Equities
Over the life of the Fund, the 3 year rolling correlation has ranged from a low of 50.8% to a high of 75.3% and averaged 65.5%. Over the same time frame, the peer group’s 3 year rolling correlation has ranged from a low of 86.0% to a high of 93.9% and averaged 91.2%. The Fund can provide downside mitigation characteristics, particularly in times of large negative returns from Australian equities.
5. Income
In SQM Research opinion, the investment process is likely to achieve the targeted income outcome. The current expected level of income of the Fund is expected to be higher than that of the peer group and the SQM Risk Benchmark (see table below).
Income Generation Comparisons
Income / Yield
Fund 5.40 last 12 months
RBA Cash Rate + 4.00% 5.25 post recent rate cut
Peer Group Average 4.53 last 12 months
Multi-Sector Category Income Average
3.44 last 12 months - 37 funds
MSCI World Hedged NR AUD
2.50 dividend yield as at May-
2019
BBg Barclays Global Agg TR Hedged AUD
2.60 running yield as at May-
2019
6. Other Features
Governance
Pinnacle Fund Services Limited (ABN 29 082 494 362) is the responsible entity of the Pinnacle aShares Global Dynamic Income Fund. Pinnacle Fund Services Limited is wholly owned by Pinnacle Investment Management Limited (ABN 66 109 659 109).
State Street Australia Ltd has been appointed the custodian and administrator for the Fund. State Street’s role is to value the assets of the Fund and to calculate the NAV per Unit for the Fund under an Administration Agreement.
Deutsche Securities Australia Limited (Deutsche) have been appointed as the principal market maker for the Fund. In this role, Deutsche (alongside other authorised participants) will be responsible for the accurate pricing of the Fund on the ASX
Pinnacle aShares Global Dynamic Income Fund
8SUMMARY
using the daily portfolio holdings of the Fund that are disclosed to the market. Deutsche are the largest and have a high percentage of ETF market making volume in Australia.
Automic Pty Limited has been appointed as the Unit Registry of the Fund. As for any quoted security, the role of the Unit Registry is to keep a record of Investors in the Fund. This includes information such as the quantity of Units held, TFNs, bank account details and details of distribution reinvestment plan participation.
PwC (PricewaterhouseCoopers) is the appointed auditor for the Fund. The auditor’s role is to audit the Fund’s annual financial statements, perform a half-yearly review (if required), and to provide an opinion on the financial statements.
Fees
Management Fee
• 0.50% per annum of the Fund’s Net Asset Value (“NAV”)
• inclusive of GST and the net effect of any applicable reduced input tax credits (‘RITC’).
• calculated daily and paid monthly
• peer group average is 0.71% per annum
Buy/Sell Spread:
The Buy/Sell spread will be determined by the market maker or authorised participant acting as principal. This spread is the spread between the fund and the market maker or authorised participant. Investors also will incur normal brokerage fees and commissions when buying and selling units on the ASX. Investors should consult their share trading platform or stockbroker for more information in relation to their fees and charges.
Recoverable Expenses:
Recoverable expenses are charged at 0.15% per annum, capped. Recoverable expense are the ordinary and everyday expenses incurred in the day-to-day operation of the Fund include custodian, fund administration, unit registry, ASX and audit costs.
Overall Fees:
If held and redeemed within 12 months, total transaction costs would amount to 0.65% of investment in the Fund. This figure includes the MER and expense recovery. It does not include brokerage fees and commissions when buying and selling units on the ASX.
Distributions
The Fund targets regular monthly distributions. The target distribution is 4% above the RBA cash rate, per annum. This is not assured and will be achieved on a “best endeavours” basis. In the event where the Fund’s realised losses and expenses exceed income in a distribution period, the Fund may elect not to make a distribution during that time. The Manager can smooth the distributions throughout the year, rather than apply only a single rebalance at the end of the financial year.
Income has generally closely tracked the RBA+4% target return and has declined since inception in April 2011, in line with the falling RBA Cash rate. Since the inception of the strategy, the income return (before fees) has been between 0.25% and 0.81% per month, averaging 0.52% per month.
Reporting
Being an exchange traded fund (ETF), information about the Fund will be available from Pinnacle’s website. This includes the Fund’s daily NAV, the underlying investments of the Fund, the total number of units issued, performance, distribution history and monthly updates, quarterly Investment Reports and the Fund’s annual financial reports.
FUM (Funds under Management) / Capacity
This is a new fund. The Manager believes that capacity for this strategy is in the order of $10 billion, assuming significant cash flow with 20% of the portfolio needing to be traded in one day. The Manager has not set any hard or soft capacity limits for this strategy. The portfolio capacity is naturally large due to its large stock numbers and their large capitalisation and issued amounts.
Strengths of the Fund
• A highly experienced investment team, with a long track record in implementing a quantitative investment process.
• A clear focus on income with the investment process closely aligned to achieve the income investment objective.
• Strong risk management regime, with risk embedded throughout the security selection and portfolio construction process.
• The investment strategy has achieved both its income and total return objectives.
• Low volatility, low systemic market risk, and low drawdowns.
Pinnacle aShares Global Dynamic Income Fund
9SUMMARY
• Low correlation to Australian and global equity index returns, providing sound diversification benefits.
• Solid outperformance of peers and has achieved its absolute return objective.
Weaknesses of the Fund
• A performance benchmark that does not adequatelly reflect the inherent risk of the strategy.
• Returns will diminish as the cash rate falls, if risk settings are to be maintained.
• Real liquidity may prove illusory for investors seeking to sell units on market in stressed market conditions.
Other Considerations
• The strategy may appear as a ‘black box’ given the quant based approach. The interdependence of the factors used to identify and drive portfolio composition require a belief that the process is able to maintain its ability to add alpha and that the factors continue to be valid across changing market cycles.
Key Changes since the Last Review
• This report is an inaugural review.
Pinnacle aShares Global Dynamic Income Fund
10INVESTMENT PROCESS & PORTFOLIO CONSTRUCTION
Investment Process Diagram
Investment Philosophy
Omega believes that market capitalisation benchmarks are in the main inefficient and are not a true reflection of investor needs, particularly in terms of risk control and diversification. Omega believes that there are specific factors that can be distilled to explain the return of securities within an investment universe.
Omega’s philosophy can be summarised as follows:
• Benchmarks are not the best way to allocate securities or assess risk.
• Risk control is more than just tracking error and is best achieved through selection and allocation to securities with exposure to the factors that the contribute to return whilst controlling for outcome risk.
• A systematic approach to portfolio management leads to disciplined, well-informed investment decisions that identify mispriced assets and efficiently allocates capital according to target outcome.
Investment Strategy
The Fund’s investment strategy is to invest in a mix of global bonds and equities, with a focus on securities which will deliver consistent income and are exposed to factors that Omega have identified to deliver risk-adjusted excess return. The strategy is agnostic between bonds and equities, to deliver consistent income and low volatility.
Pinnacle aShares Global Dynamic Income Fund
11INVESTMENT PROCESS & PORTFOLIO CONSTRUCTION
Universe
Investable Universe The investable universe is restricted to highly liquid, tradable securities comprising investment grade global bonds and global equities (including Australian equities).
In total, the investable universe is comprised of over 10,000 securities, consisting of 8,500 bonds and 1,800 equities. The current market value of this universe is US$92.3 trillion, (US$41.2 trillion (MSCI World) and US$51.1 trillion (Global bonds).
Investment Style The investment style is a bottom up and quantitative. The core of the strategy is research into the fundamental factors and the relationships between these factors that contribute to risk and return at the stock level. The strategy does not use traditional top-down macro analysis or industry sector themes.
Investment Process
Research Idea Generation
Idea generation comes from a number of different sources:
• Client engagement: ideas or topics for research will often eventuate when reviewing or discussing client portfolios.
• Desk Conversations: As part of the daily portfolio management of portfolios, issues in portfolios or observations about markets can result in topics being researched.
• Existing Research: existing research topics can end in failure or raise new questions about topics to research.
Omega has a pipeline of research ideas which are regularly debated and discussed internally. Omega also filter ideas that are not aligned with Omega investment philosophy or product offerings.
Security Selection
Omega’s stock selection process starts with identifying a number of factor ratios that are likely to impact on risk and/or return. The first step is the choice of factors through review of the behaviour of different factors over time. Factors are analysed for complementarity, based on their relationship with each other. Specific factor ratios are then isolated to create stock specific selection views. Factor selection considers factor return, correlation, volatility and parsimony of the overall factor model.
The equity factors include:
• Price to Book• Price / cashflow• PE• Dividend yield• Current ratio• Interest cover• Volatility• Momentum• ROE• ROA
The process of identifying and researching factors includes:
• Performance of factors in and out of sample• Correlation of factors in and out of sample• Identify uncorrelated factors that perform consistently and persist through time
Pinnacle aShares Global Dynamic Income Fund
12INVESTMENT PROCESS & PORTFOLIO CONSTRUCTION
Research
...continued
The researched factors that are incorporated in the portfolio are stable in terms of performance and correlation over the last 20+ years and are expected to continue performing in a similar manner in the future. The robustness of the factors is reviewed yearly. New factors will be introduced if they meet the above criteria. There are factors that do not turnover frequently given they are fundamental ratios, but other factors, e.g. momentum, are more seasonal.
The primary factor used in the screening process is dividend quality, i.e. to eliminate those securities that do not provide a stable, regular and growing dividend. This provides close alignment with investment objective of providing a consistent monthly income. This screen reduces the equity universe down to around 1,600 securities that meet these criteria.
The process to create a stock specific view from factor ratios is as follows:
• Create Pure Factor Portfolios – The factor ratios are normalised and then are optimised into long/short portfolios within broad sector groups to have exposures to each of the factors.
• Combine Pure Factor Portfolios – Using minimum variance optimisation, the Pure Factor Portfolios are combined into a single long/short portfolio. This creates a more stable security selection signal and also removes the need and risk of timing or choosing between factors.
• Calculate Implied Alphas - Once the single long/short portfolio is created, the implied alphas are backed out by reverse optimisation. These implied alphas are utilised in a constrained mean variance framework.
The process to identify the preferred candidate stocks is systematic and is driven by the interaction between the factors. The factors are generally equally weighted. This approach captures the potential of the factor signals by removing unwanted interaction effects from the smart beta factors. Stock selection and allocation contributions are independent. In addition, it maximizes the return contribution from the selected risk factors and minimizes the risk exposure to unchosen factors.
For bonds, security selection is based on maximising the potential return through analysis of spread, credit rating and the hedge premium. The Manager seeks mispriced securities at specific durations. The Fund is primarily exposed to securities that have duration less than 5 years. This is because volatility is highly correlated to duration and volatility constraints are a key element in portfolio construction. Consequently, the Fund’s bond component will have half the duration compared to the Global Government Bond Index. A significant change was made in April 2017 to reduce the exposure to short duration (1-3 years maturity) securities from 74% down to 14%, with a commensurate increase in the exposure to 3-5 year maturity.
Pinnacle aShares Global Dynamic Income Fund
13INVESTMENT PROCESS & PORTFOLIO CONSTRUCTION
Portfolio Construction
Asset allocation is driven by risk at the security level and not by any notional strategic asset allocation. The strategy is designed to dynamically allocate between bonds and equities according to market volatility.
The portfolio construction process seeks to develop a blend of the factor portfolios to provide the best risk-return outcomes, given the prevailing trading conditions and market cycles. After the equity portfolio and the bond portfolio have been optimised within the relative portfolio constraints and forecast dividends (for equities) and coupons (for bonds), the portfolio is constructed by preferencing exposure to higher income producing securities which exhibit stable returns and low volatility. The portfolio is constructed using an optimisation process which uses the security level alphas and specific portfolio constraints. Risk control measures are built in considering liquidity, transaction costs, holding size and specific versus common risks. The Northfield Everything Everywhere Risk Model, a combined bond and equity multi factor risk model is used in this process. The risk model enables an interrogation of risk factors and close integration with the overall investment process. Portfolio construction also incorporates Omega’s Financial Health Rating™, a proprietary risk model which links the specific risk of a security to the diversification of the portfolio.
The final asset allocation is typically 60% in global equities and 40% in global bonds.
There are no specific allocations in terms of market capitalisation built into the portfolio. However, SQM Research notes that there would tend to be a bias towards larger cap, high dividend paying securities.
The portfolio is not managed to any index relative country or regional weights. Country exposures are the outcome of the prevailing global equity and bond opportunity set while maintaining a prudent level of diversification and concentration risk. The portfolio tends to favour low volatility securities that deliver stable income. Australian equities have a disproportionately high allocation, whereas US equities are considerably underweight relative to the MSCI Global Equity Index.
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Actual Asset Allocation
Debt: Corporate Equity: Developed Markets
Pinnacle aShares Global Dynamic Income Fund
14INVESTMENT PROCESS & PORTFOLIO CONSTRUCTION
Portfolio Construction
...continued
Liquidity and Turnover
The portfolio is actively managed. The Portfolio is rebalanced monthly. Turnover is approximately 5% per month. The holding period for investments is not specified and is determined by the security’s exposure to the underlying risk factors and the interaction with other securities. Triggers for selling a security are:
• The portfolio exceeding target weigh limits.• Ratings downgrade• Changes to factor exposures
Risk Management Omega adopts a multi-dimensional view of risk:
• Volatility of the portfolio as measured by annualised standard deviation and correlation of the main factors which explain risk.
• Left-tail risk, which is a measure of the probability of negative returns and susceptibility to extreme events.
Risk is managed primarily through the security selection process, which exposes the portfolio to lower volatility securities. In addition, the internal risk objective is to limit the portfolio’s beta relative to global equities. The Manager targets a beta of 0.5 vs. the MSCI World NR Hedged Index. SQM Research notes this has been achieved, with beta of 0.3 compared to the MSCI World Index.
The Fund risk is calculated by risk of securities, correlation of securities and position of securities. Risk modelling incorporates the Northfield risk model, with each security’s risk defined by 25 common risk factors and residual risk. The portfolio risk is managed by the following risk constraints. There is very little discretion outside of the portfolio construction process and rules.
Pinnacle aShares Global Dynamic Income Fund
15INVESTMENT PROCESS & PORTFOLIO CONSTRUCTION
Risk Management
...continuedRisk Factor Constraint
Bond exposure 20% - 60% of portfolio
Equity exposure 40% - 80% of portfolio
Equity holdings 80 – 300. Minimum 40
Bond holdings: At least 10 investment grade bonds with maturities of less than 5 years
Credit risk Minimum credit rating of A. 95% is allocated to A rated and above
Duration Less than 5 years
Market beta 0.5 vs. global equities
Maximum sector allocation 20% of value of the portfolio invested in a single sector
Maximum exposure to any entity 6% to any one equity or bond
Country exposure: At least 5 countries
Currency exposure: At least 5 currencies
Use of derivatives Derivatives exposure not to exceed 10% of Fund NAV
Leverage Not permitted
Currency Fully hedged back to AUD, rebalanced monthly
Short selling Not permitted. Long only portfolio.
The Fund aims to deliver half of the global equity risk with limited drawdown. The worst drawdown since inception is -4.55% in December 2018, compared to -12.8% for the peer group average. The maximum length of time under the previous highwater mark is ten months for the Fund from June 2015 to March 2016, vs. 17 months for the peer group. This indicates the Fund is able to provide some capital preservation characteristics.
The Fund’s volatility (standard deviation of monthly returns) has tended to be substantially lower than both SQM Risk Benchmark and peers. On a rolling 3 year basis, volatility for the Fund has ranged between 3.0% and 5.0%. This compares to the SQM Risk Benchmark volatility of between 9.3% and 11.8%. This is to be expected, given the managed beta investment approach.
In line with its absolute return philosophy, the strategy does not target ex-ante tracking error as a risk measure. However, SQM Research observes that tracking error has tended to be between 3% and 5%, relative to the blended SQM Risk Benchmark. Over the longer term, tracking error has averaged 4.4% p.a. since its inception, considerably lower than the peer group average of around 8.0% p.a.
Currency
Currency exposure will generally reflect the currency of the underlying securities. Currency hedging will typically be rebalanced monthly to portfolio weights. The Fund will only utilise over-the-counter derivatives for the purpose of currency hedging. Derivatives will not be used for leverage or gearing purposes by the Fund.
Pinnacle aShares Global Dynamic Income Fund
16INVESTMENT PROCESS & PORTFOLIO CONSTRUCTION
Trading & Implementation
Trading Resources & Procedure
Key staff responsible for trading are Amanda Lin and Simon Tung. Omega uses a panel of seven globally recognised equity brokers, with the capacity to use venues including sales trading desks, algorithmic trading, liquidity dark pools, and direct market access (DMA). Omega reviews post-trade execution reporting and maintains these records to assess the efficiency of execution versus relevant price targets and instructions. Omega conducts regularly reviews on the broker panel.
The Investment Team use an order management system within a proprietary Portfolio Management & Information System (Roosevelt) which is used to collect, monitor and route trade information between various internal and external systems. Roosevelt is integrated with external execution platforms (EMS) for domestic and global equities, futures, foreign exchange, and fixed income. For listed Australian equities and exchange traded futures, all orders are routed electronically to the EMS. This platform allows orders to be electronically routed to the broker panel and includes features such as trading cost analysis, full audit history, and real-time integration of executed trade fills back into Omega’s internal system.
Following the construction and pre-trade compliance verification of the required portfolio rebalancing orders, the execution process starts with the aggregation of all orders within Omega’s order management system (OMS). Orders are routed to execution venues based on the liquidity requirements of each trade, and a cost assessment of the trading venue. Transaction costs are explicitly included in the portfolio optimisation. This means that stocks are only traded if the return expectations outweigh the costs of trading.
The trader is able to select the best platform for execution of order baskets. Orders can be grouped at this point based on the most pertinent criteria related to execution, e.g. trade target, order size, under-lying stock liquidity, region, and trade direction. Live orders in the market are regularly monitored by the trading desk and instructions can be readily amended intraday, where necessary, due to changes in market environment.
Derivatives The Fund is permitted to utilise exchange traded derivatives for risk management purposes and to achieve equity exposure. Derivatives are only used for cash flow management and currency hedging and cannot be used to gear portfolio exposure. The notional derivatives exposure of the Fund is not permitted to exceed 10% of the NAV of the Fund, unless used to manage currency risk.
Pinnacle aShares Global Dynamic Income Fund
17CORPORATE GOVERNANCE / BUSINESS STRATEGY
Key Counterparties
Investment Manager
Omega Global Investors Pty Ltd (ABN 64 126 331 244 AFSL 318125) is the Investment Manager for the Fund. Omega is a specialist investment manager, offering outcomes oriented investment solutions to investors. Established in 2008, Omega has a history of managing multi-strategy portfolios across government and corporate bonds, global and Australian equities, listed infrastructure, cash, and currency. Current FUM is $4.4 billion.
Based in Melbourne, Omega is a majority employee owned specialist investment manager with a management team who have over 100 combined years of experience. Pinnacle Investments Ltd purchased a 40% stake in July 2018. The founding directors and staff own the remaining 60% of the firm. Omega’s business strategy has been to achieve scale in the institutional market and then diversify the business into different distribution channels. As a result, nearly 100% of the business is made up by the top 10 institutional clients.
Responsible Entity
Pinnacle Fund Services Limited (ABN 29 082 494 362) is the responsible entity of the Pinnacle aShares Global Dynamic Income Fund. Pinnacle Fund Services Limited is wholly owned by Pinnacle Investment Management Limited (ABN 66 109 659 109)
Custodian & Administrator
State Street Australia Ltd has been appointed the custodian and administrator for the Fund. State Street’s role is to value the assets of the Fund and to calculate the NAV per Unit for the Fund under an Administration Agreement.
Unit Registry
Automic Pty Limited has been appointed as the Unit Registry of the Fund. As for any quoted security, the role of the Unit Registry is to keep a record of Investors in the Fund. This includes information such as the quantity of Units held, TFNs, bank account details and details of distribution reinvestment plan participation.
Pinnacle aShares Global Dynamic Income Fund
18CORPORATE GOVERNANCE/BUSINESS STRATEGY
Auditor
PwC (PricewaterhouseCoopers) is the appointed auditor for the Fund. The auditor’s role is to audit the Fund’s annual financial statements, perform a half-yearly review (if required), and to provide an opinion on the financial statements.
Management Risk
Funds management businesses rely on the operational capabilities of key counterparties. A critical element is the corporate ability of the Responsible Entity to monitor operational performance and to meet the regulatory and statutory responsibilities required. For any investment fund, there is a risk that a weak financial position or management performance deterioration of key counterparties could temporarily or permanently compromise their performance and competency. This can adversely affect financial or regulatory outcomes for the Fund or associated entities.
Based on the materials reviewed, SQM Research believes that Invesco Ltd. and associated key counter- parties are highly qualified to carry out their assigned responsibilities. Management risk is rated as being low.
Business Strategy
Omega’s business plan is centred on expanding its Smart Beta Plus approach. Omega aims to continue to grow and scale its institutional business across its offering. In partnering with Pinnacle through a distribution agreement, Omega has access to a substantial distribution platform to further its exposure in the retail market. This distribution capability allows Omega to scale the significant investment capacity it has built within its processes and systems.
The intended target market for the Pinnacle aShares Global Dynamic Income ETF is self-managed superannuation funds and individual investors (self-directed investors). Pinnacle also feels that the product will be favoured by directed (or advised) investors who prefer to access investment strategies via the ASX.
Funds under Management (FUM)
This is a new Fund.
Pinnacle aShares Global Dynamic Income Fund
19MANAGEMENT & PEOPLE
Investment Team
Name Responsibility / Position Location Years at Firm Years in Industry
Mathew McCrum MD Melbourne 12.0 28
Andrew Gruskin Director Melbourne 12.0 26
Amanda Lin Portfolio Manager Melbourne 3.0 8
Simon Tung Portfolio Manager Melbourne 4.0 26
John Moore Portfolio Manager Melbourne 3.0 31
Average 6.8 23.8
Investment Team
The Research team consists of Amanda Lin, Andrew Gruskin and another to be appointed Research Analyst. Ms Lin has key day to day responsibility for the portfolio management of the Omega Global Dynamic Income Fund. Mathew McCrum and Andrew Gruskin also provide back up and oversight for the management of the portfolio.
The implementation of Omega’s portfolios is based on researched strategy development. This allows a structured, scalable approach to portfolio management which relies on Omega’s systems and processes to deliver scale and effective implementation. The systematic nature of portfolio management results in lower key man risk should the portfolio manager leave. Omega has back up in place to ensure that any staff turnover is covered.
Portfolio management and research are integrated at Omega so that ideas flow between idea generation, portfolio construction and research. Omega has regular Portfolio Management and Research meetings to discuss and debate topics and portfolios in a more structured manner. Models and algorithms are reviewed and approved by each member of the investment team. Having an investment team manage both bonds and equities results in flow of information and ideas that benefit strategy development and client portfolios.
The mechanism for communication is important across individuals and topics. Omega uses a team collaboration tool called SLACK (Searchable Log of all Conversation and Knowledge). This allows for conversation to take place regardless of time and place and forms a record of the conversation. Channels of communication include research, trade idea and portfolio management.
Meeting Schedule
The following formal and informal meetings are conducted.
• Monthly research meetings: To progress research and review formally the outcomes of research topics.
• Fortnightly Portfolio Management Review: To review each portfolio versus its benchmark and stated objective. Decisions made at his meeting are around portfolio activity required.
• On-going discussions: this is often via a messaging tool SLACK which is used to update team members in between meetings to enact decisions, raise new topics and discuss implementation of portfolio.
• Weekly Task meeting: Operational meetings for the week ahead.
SQM Research believes the practice of constant communication and the broad-based inclusion of team members in decision-making is a vital ingredient to the success of the process. Interactive peer review and collaboration across a tightly knit group of experienced investors will likely make the best use of their combined intellectual property and shared history.
Key Investment Staff
Mathew McCrum, Managing Director
Mr McCrum’s role as MD includes portfolio construction and management, risk management, development of product and solutions, investment theory research and portfolio analytics. He has over 20 years financial markets experience specialising in quantitative portfolio management and execution, risk management, system development, product and solution development and portfolio operations. Prior to co-founding Omega, Mr McCrum was Head of Fixed Interest at Vanguard Investments for over 10 years, where he built and managed the growth of global and domestic fixed interest capabilities to over $18 billion. He founded Vanguards non US bond capability and currency management. He also worked at Treasury Corporation of Victoria for seven years and was responsible for managing $30 billion against a liability benchmark.
Pinnacle aShares Global Dynamic Income Fund
20MANAGEMENT & PEOPLE
Andrew Gruskin, Director Investments
Mr Gruskin’s role as Director, Investments includes portfolio construction and management, system design and development, attribution analysis and risk model development and management. He has over 20 years financial markets experience specialising in quantitative portfolio management and execution, risk management, system development, product and solution development and portfolio operations. Prior to co-founding Omega, Mr Gruskin built and managed the growth of global and domestic equity investment capabilities at Vanguard Investments to over $7 billion. He has also held portfolio management and quantitative analysis positions with Alpha Investment Management and Commonwealth Funds Management.
Amanda Lin, Portfolio Manager
Ms Lin’s role as Portfolio Manager includes contributions to portfolio management activities across fixed income, equity and FX overlay portfolios. It also incorporates investment research, analysis and investment solution development. She has developed Smart Beta portfolios in fixed income that integrates with ESG as well as multi-asset class portfolios. Ms Lin has over eight years industry experience, including portfolio management, research, performance analytics and factor risk assessment. Prior to joining Omega, she was a Performance Analyst at NAB.
Simon Tung, Head of Portfolio Management
Mr Tung’s role as Head of Portfolio Management includes oversight of portfolio management activities at Omega. He has hands on involvement in portfolio construction and management, system and risk model design and development, attribution analysis, and strategy research. Mr Tung has more than 20 years financial markets experience and has held roles specialising in quantitative and fundamental portfolio management and execution, risk management, system development, product and solution development. Prior to working at Omega, he was a Senior Portfolio Manager at IFM Investors in the Debt Investments Team. Prior to this, he was the Head of the front office quantitative services at Treasury Corporation of Victoria and before that held roles in International Equities/Asset Allocation at AXA Investment Management and in Fixed Income Sales at Westpac Institutional Bank.
John Moore, Portfolio Manager
Mr Moore’s role as Portfolio Manager includes portfolio construction and management, system and risk model design and development, attribution analysis, and strategy research.
He brings 30 years’ financial markets experience to Omega having been involved in managing teams for over 25 years with four major Investment banks. His global experience in senior roles includes stints in London and Hong Kong. Mr Moore has specialised in structuring and managing strong performing investment funds that target after tax returns designed for specific outcomes, including low volatility, low drawdown and consistent income to investors. His most recent role was with Northward Capital where he was Executive Director/Portfolio Manager for the Northward Equity Income Fund and Ethical Equity Income Fund.
Staffing Changes
There have been no significant changes to the Investment Team.
SQM Research observes that the levels of investment experience and company tenure are strong across the entire investment team. The levels and nature of staff turnover are not an issue of concern, in SQM’s view.
Remuneration and Incentives
Omega’s remuneration structure is as follows:
• Base Salary• Profit Share• Dividends
All members of the Investment Team have documented performance plans and employment agreements. Bi-annually, these plans are used to assess the performance based on key performance indicators. Specific investment performance results are assessed against mandated investment objectives and benchmarks. Bonuses are determined based on a combination agreed performance plans and investment performance in relation to mandated objectives.
The investment management team are all shareholders in the firm and therefore aligned with the long-term success of the clients. Once the strategy is seeded, investment team members will be personally invested in the strategy.
SQM Research believes access to firm equity, and client-focused performance bonuses act as strong incentives for optimising staff engagement, retention and productivity. The intention (and SQM believes, the effect) is to align staff performance with client and shareholder objectives. It focuses on the customers’ needs and medium to long-term results.
Pinnacle aShares Global Dynamic Income Fund
21PRODUCT FEATURES - FEES, REDEMPTION POLICY
Fees
Fees and Costs Fund Peer Avg Difference
Management Fee (% p.a.) 0.50% 0.71% -0.21%
Expense Recovery (% p.a.) 0.15% - -
Performance Fee (%) Nil 0.00% -
Buy Spread (%) 0.00% 0.14% -0.14%
Sell Spread (%) 0.00% 0.14% -0.14%
Management Fee
• 0.50% per annum of the Fund’s Net Asset Value (“NAV”)
• inclusive of GST and the net effect of any applicable reduced input tax credits (‘RITC’).
• calculated daily and paid monthly
• peer group average is 0.71% per annum
Additional expense recovery
• 0.15% per annum, capped
Buy/Sell Spread
• Buy spread 0.10%• Sell Spread 0.1%
The Buy/Sell spread will be determined by the market maker or authorised participant acting as principal. This spread is the spread between the fund and the market maker or authorised participant. Investors also will incur normal brokerage fees and commissions when buying and selling units on the ASX. Investors should consult their share trading platform or stockbroker for more information in relation to their fees and charges.
Recoverable Expenses
Recoverable expense are the ordinary and everyday expenses incurred in the day-to-day operation of the Fund include custodian, fund administration, unit registry, ASX and audit costs.
Performance Fee
The Fund does not charge a performance fee.
Overall Fees
If held and redeemed within 12 months, total transaction costs would amount to 0.65% of investment in the Fund. This figure includes the MER and expense recovery. It does not include brokerage fees and commissions when buying and selling units on the ASX.
Redemption Policy
The Fund is liquid. Units may be bought and sold on exchange intraday like any share. Investors should be aware, however, that the units may be thinly traded.
Distributions
The Fund targets regular monthly distributions, generated from hedge carry, dividends and bond coupons, subject to the availability of distributable income. The target distribution is 4% above the RBA cash rate, per annum. This is not assured and will be achieved on a “best endeavours” basis. In the event where the Fund’s realised losses and expenses exceed income in a distribution period, the Fund may elect not to make a distribution during that time.
Since the inception of the strategy, the income return (before fees) has been between 0.25% and 0.81% per month, averaging 0.52% per month. Income has generally closely tracked the RBA+4% target return and has declined since inception in April 2011, in line with the falling RBA Cash rate. The Manager can smooth the distributions throughout the year, rather than apply only a single rebalance at the end of the financial year. On a 12 month moving average, the income return for the Fund has lagged the target return.
0.2%
0.3%
0.4%
0.5%
0.6%
0.7%
0.8%
0.9%
Apr 2
011
Oct
201
1
Apr 2
012
Oct
201
2
Apr 2
013
Oct
201
3
Apr 2
014
Oct
201
4
Apr 2
015
Oct
201
5
Apr 2
016
Oct
201
6
Apr 2
017
Oct
201
7
Apr 2
018
Oct
201
8
Apr 2
019
Fund Monthly Income Return vs. Distribution Target
Fund Income Return RBA Cash +4% 12 per. Mov. Avg. (Fund Income Return)
Pinnacle aShares Global Dynamic Income Fund
22PRODUCT FEATURES - FEES, REDEMPTION POLICY
A General Note on Distributions for Managed Funds
The Responsible Entity of a Managed Fund will provide for a regular schedule of distributions, such as monthly/quarterly/semi-annual or annual. This is subject to the Fund having sufficient distributable income.
The official total distributable income available to pay to investors is determined for the period of that Fund’s financial year. By distributing the net taxable income of the Fund to investors each year, a Fund itself should not be liable for tax on its net earnings. If a Fund makes distributions more frequently than once over the financial year, those distributions will be made based on estimates of the distributable income for that distribution period. The final total amount of distributable income available for passing on to investors can only be calculated after the close of the financial year, based on the Funds taxable income for that year. If the total distributions a Fund pays out exceeds total tax income for that particular financial year, the excess amount may be treated as a return of capital rather than income. This will possibly have tax implications for the investor.
Due to the considerations outlined above, there may be periods in which no distributions are made, or a Fund may make additional distributions A Fund’s ability to distribute income is determined by the performance of the Fund and general market conditions. Accordingly, there is no guarantee a Fund will make a distribution in any particular distribution period.
Pinnacle aShares Global Dynamic Income Fund
23QUANTITATIVE ANALYSIS
The table below shows the performance of the Fund using the RBA Cash Rate +5% as the benchmark.
Risk/Return Data to 31 May 2019
Total Return 1-Month 3-Month 6-Month 1-Year 3-Year 5-Year Inception
Fund 1 -0.58 0.88 2.55 3.11 6.89 6.90 8.59
Benchmark 2 0.53 1.60 3.24 6.58 6.59 6.89 7.59
Peer Average 0.53 3.20 10.36 5.61 8.77 7.31 8.22
Alpha -1.12 -0.72 -0.68 -3.47 0.29 0.02 1.00
Metrics 1-Year 3-Year 5-Year Inception
Tracking Error (% p.a.) - Fund 6.19 4.82 4.38 4.14
Tracking Error (% p.a.) - Peer Average 11.43 9.50 10.96 10.95
Information Ratio - Fund -0.56 0.06 0.00 0.24
Information Ratio - Peer Average -0.07 0.23 0.05 0.01
Sharpe Ratio - Fund 0.18 1.04 1.10 1.41
Sharpe Ratio - Peer Average 0.34 0.73 0.50 0.52
Volatility - Fund (% p.a.) 6.19 4.82 4.39 4.16
Volatility - Peer Average (% p.a.) 11.43 9.50 10.96 10.93
Volatility - Benchmark (% p.a.) 0.00 0.02 0.11 0.30
Beta based on stated Benchmark n/a -7.84 0.89 1.08
1. Assumes dividend reinvestment. Returns for periods greater than one year are annualised. Return history starts April 20112. Benchmark: RBA Cash Rate +5%
SQM Research notes that while the RBA cash rate is a commonly used benchmark for absolute return funds, it is not proportionate to the risk of this Fund which invests in global bonds (typically 40%) and listed global equities (60%). For the purpose of our comparative performance analysis, SQM Research has used a blended benchmark (hereafter called the SQM Risk Benchmark) comprising 40% Bloomberg Barclays Global Aggregate TR Hedged AUD and 60% MSCI World Hedged NR Index. SQM Research believes this blended benchmark provides a more relevant basis for comparison for risk-return performance purposes. Investors should be aware that the Fund is not managed to track the performance of the blended benchmark or the underlying indices in any way. The Fund is not constrained by Index market cap or sector weights to achieve its return and beta objectives. Consequently, the performance characteristics of the Fund will likely differ substantially from those of the blended Index.
Risk/Return Data to 31 May 2019
Total Return 1-Month 3-Month 6-Month 1-Year 3-Year 5-Year Inception
Fund 1 -0.58 0.88 2.55 3.11 6.89 6.90 8.59
SQM Risk Benchmark 2 -3.04 0.88 2.99 3.09 7.50 7.09 9.07
Peer Average 0.53 3.20 10.36 5.61 8.77 7.31 8.22
Alpha 2.45 0.00 -0.44 0.02 -0.61 -0.18 -0.48
Pinnacle aShares Global Dynamic Income Fund
24QUANTITATIVE ANALYSIS
1. Note: Sharpe and Information Ratios are not reliable comparison tools in periods where both the Fund and its peers/benchmark record a negative result
Quantitative Insight1
Note: All return and risk data reported in this section are after-fees and for periods ending May 2019 unless otherwise stated. The benchmark used in this analysis is the SQM Risk Benchmark. This is a blend comprising 60% MSCI World Hedged NR AUD an 40% Bloomberg Barclays Global Agg TR Hedged AUD.
The Fund has marginally underperformed the blended benchmark but outperformed its peers, since inception. These returns exceed the PDS objective of RBA Cash +5% and are impressive relative to Omega’s internal targets and SQM’s expectations for the Fund relative to its volatility. The Fund has underperformed the peers over the past 12 months, achieving a return of 3.11% compared to the peer group return of 5.6%. This reflects the relatively strong performance by the global equity market which achieved a return of 8.8% over the year.
Return Analysis Last 7Years
to Dec-18
Last 12Half-Yearsto Dec-18
Last 98Months
to May-19
v.Bench v. Bench v. Bench
Average outperformance 2.43 1.18 0.91
Average underperformance -2.79 -2.05 -0.97
No. of Periods of positive alpha 2 6 48
No. of Periods of negative alpha 5 6 50
Hit Rate 28.6% 50.0% 49.0%
Total Gains 4.9 7.1 43.8
Total Losses -14.0 -12.3 -48.5
Asymmetry 0.3 0.6 0.9
The Fund has outperformed its SQM Risk Benchmark on 12.7% of rolling three year periods since its inception. The Fund’s hit rate is modest at 49% for monthly observations.
3.11
6.89 6.90
8.59
3.09
7.50 7.09
9.07
5.61
8.77
7.31 8.22
1-Year 3-Year 5-Year Inception
Total Return % pa
Fund Benchmark Peer Average
0.02
-0.61 -0.18
-0.48
-2.50
-1.88
-0.40
0.38
1-Year 3-Year 5-Year Inception
Excess Returns: over Benchmark & over Peers
Excess over Benchmark Excess over Peer Average
Excess Returns (Alpha)
Returns
Metrics 1-Year 3-Year 5-Year Inception
Tracking Error (% p.a.) - Fund 5.00 3.96 4.13 4.43
Tracking Error (% p.a.) - Peer Average 8.80 7.88 8.59 8.29
Information Ratio - Fund 0.00 -0.15 -0.04 -0.11
Information Ratio - Peer Average 0.29 0.16 0.04 -0.01
Sharpe Ratio - Fund 0.18 1.04 1.10 1.41
Sharpe Ratio - Peer Average 0.34 0.73 0.50 0.52
Volatility - Fund (% p.a.) 6.19 4.82 4.39 4.16
Volatility - Peer Average (% p.a.) 11.43 9.50 10.96 10.93
Volatility - Benchmark (% p.a.) 9.65 6.27 6.56 6.70
Beta based on stated Benchmark 0.57 0.60 0.52 0.47
1. Assumes dividend reinvestment. Returns one year and longer are annualised. Return history starts April 20112. SQM Risk Benchmark: 60% MSCI World Hedged NR AUD; 40% Bloomberg Barclays Global Agg TR Hedged AUD
Pinnacle aShares Global Dynamic Income Fund
25QUANTITATIVE ANALYSIS
The Fund’s downside capture ratio over the three years to May 2019 was 53.6% compared to 75.7% for the peer average. Drawdowns have on average been much better than the SQM Risk Benchmark and the peer average. The average length of the drawdowns is similar to that of the blended SQM Risk Benchmark and about half that of the peer group.
Snail Trail
The snail trail chart and tables below depicts the combination of the Fund’s rolling 3-year excess returns and rolling 3-year volatility. There are 63 observations in total. The tables below display the distribution of these observations across the risk/return quadrants as well as the overall frequency of Outperformance v. Underperformance, and of High-Volatility vs. Low-Volatility. As shown in the last table entry, the Fund is in the optimal upper left-hand quadrant (higher return, lower volatility) 8% of the time.
Snail Trail Distribution by Quadrant
63 datapoints Lower Vol Higher Vol
Higher Return 8 0
Lower Return 55 0
Q2 (Optimal)
Hi-Return, Low-Volatility 0%
Single Factor Frequency
Higher Return 13%
Lower Return 87%
Higher Volatility 0%
Lower Volatility 100%
Risk
6.19 4.82 4.39 4.16
9.65
6.27 6.56 6.70
11.43
9.50 10.96 10.93
1-Year 3-Year 5-Year Inception
Volatility % pa
Volatility - Fund (% p.a.) Volatility - Benchmark (% p.a.) Volatility - Peer Average (% p.a.)
The Fund’s volatility (standard deviation of monthly returns) has tended to be substantially lower than both SQM Risk Benchmark and peers. On a rolling 3-year basis, volatility for the Fund has ranged between 3.0% and 5.0%. This compares to the SQM Risk Benchmark volatility of between 9.3% and 11.8%.
The Fund is not managed to a tracking error constraint. On an ex-post basis, the Fund’s tracking error (standard deviation of monthly excess returns) has tended to be significantly lower than that of its peers, averaging 4.4% vs. 8.3% since inception.
The risk outcomes as described above regarding volatility and tracking error are consistent with the PDS statements about risk and are in line with SQM’s expectations for this Fund.
Drawdowns
Drawdown Summary
Drawdown Size (peak-to-trough)
Fund Bench Peers
Average -1.35% -2.62% -5.05%
Number 14 15 12
Best -0.14% -2.26% -4.10%
Worst -4.55% -7.75% -15.72%
Length of Drawdown (in months)
Fund Bench Peers
Average 3.5 3.7 6.3
Length of Drawdown = time from peak to trough and back to previous peak level
5.00 3.96 4.13 4.43
8.80 7.88
8.59 8.29
1-Year 3-Year 5-Year Inception
Tracking Error % pa
Tracking Error (% p.a.) - Fund Tracking Error (% p.a.) - Peer Average
Risk-Adjusted Returns
0.18
1.04 1.10
1.41
0.11
0.90 0.76
0.95
0.34
0.73
0.50 0.52
1-Year 3-Year 5-Year Inception
Sharpe Ratio
Sharpe Ratio - Fund Sharpe Ratio - Benchmark Sharpe Ratio - Peer Average
0.00
-0.15
-0.04 -0.11
0.29
0.16
0.04
-0.01
1-Year 3-Year 5-Year Inception
Information Ratio
Information Ratio - Fund Information Ratio - Peer Average
Pinnacle aShares Global Dynamic Income Fund
26
Worst Market Returns vs Fund Return Same MonthIndex: S&P/ASX 300 TR Timeframe: from Apr-11 to May-19
Rank Date Market Fund Difference
1 Aug-15 -7.70% -2.12% 5.58%
2 May-12 -6.74% -2.28% 4.45%
3 Sep-11 -6.28% 1.04% 7.31%
4 Oct-18 -6.16% -2.86% 3.30%
5 Jan-16 -5.45% -0.05% 5.40%
6 Sep-14 -5.37% -0.14% 5.23%
7 Jun-15 -5.32% -2.10% 3.22%
8 May-13 -4.54% 0.47% 5.01%
9 Jul-11 -3.83% -0.20% 3.63%
10 Mar-18 -3.73% 0.02% 3.74%
Totals -55.10% -8.23% +46.88%
Correlation +52.9% Positive 3 out of 10
QUANTITATIVE ANALYSIS
The Fund displays strong risk-adjusted returns across the board for the Sharpe ratio compared to the blended SQM Risk Benchmark and peers. The Fund’s Information ratio tends to be marginally lower when compared to peers.
Correlation
Correlation to Markets Min Max Avg
3 yr rolling S&P/ASX 300 50.8% 75.3% 65.5%
3 yr rolling MSCI World 8.6% 62.4% 45.8%
3 yr rolling AusBond Comp -36.9% 44.9% 10.4%
3 yr rolling Global Agg 9.6% 56.8% 35.5%
63 datapoints
There is a moderate correlation of the Fund’s returns with the S&P/ASX 300 Index and a low to modest correlation to global equities and global bonds.
Tail Risk
The tail risk chart below shows a modest correlation with the S&P/ASX 300 in times of equity market extremes.
(The analysis in the paragraph below looks at the performance relationship of the Fund to the ASX300, a practice that SQM has set as common across asset classes in Fund reviews. This approach recognises that for the large bulk of financial planner clients, their key traditional asset class risk regarding size and volatility is to Australian equities. Exploring that relationship is useful regardless of the asset class of the Fund itself, as it is helpful to understand how a Fund has acted in times of Australian equity market stress in terms softening or exaggerating the negative performance experienced at such times.)
The table below details the ten largest negative monthly returns for the ASX 300 since the inception of the Fund. This is compared to the Fund’s performance over the same ten months. The correlation of the Fund’s returns to the ASX300 returns over this period is 52.9%. The Fund posted three positive returns compared to the ten negative returns of the Australian stock market.
The sum of returns over those ten months was -55.1% for the S&P/ASX 300 and -8.2% for the Fund, a difference of +46.9% in favour of the Fund. These figures point to some defensive characteristics of the Fund in the face of extreme equity tail risk.
Pinnacle aShares Global Dynamic Income Fund
27QUANTITATIVE ANALYSIS
Return and Risk
Rolling Excess Returns
-6%
-5%
-4%
-3%
-2%
-1%
0%
1%
2%
3%
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Fund 3yr Excess Return 3 yr Excess Return Peer Avg
Cumulative Excess Returns
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
-15%
-10%
-5%
0%
5%
10%
15%
Mar
11
Sep
11
Mar
12
Sep
12
Mar
13
Sep
13
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
1 month Excess (RHS) Cumulative Excess (LHS)
0%
1%
2%
3%
4%
5%
6%
7%
8%
9%
10%
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Fund 3yr TE 3 yr TE Peer Avg
Rolling Returns
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Benchmark 3-yr Return Fund 3-yr Return 3 yr Return Peer Avg
Rolling Correlation to S&P/ASX 300
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Fund: 3 yr Correlation with S&P/ASX 300 TRPeer Avg: 3 yr correlation to S&P/ASX 300 TR
Rolling Information Ratio
-1.60
-1.40
-1.20
-1.00
-0.80
-0.60
-0.40
-0.20
0.00
0.20
0.40
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Fund 3yr Info Ratio 3 yr Info Ratio Peer Avg
Rolling Tracking Error vs. SQM Risk Benchmark
Pinnacle aShares Global Dynamic Income Fund
28QUANTITATIVE ANALYSIS
Return and Risk
Snail Trail
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
-5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5%
Fun
d: R
olli
ng
3yr
Exc
ess
Ret
urn
s
Fund: Rolling 3yr Excess Volatility
Rolling Volatility
0%
2%
4%
6%
8%
10%
12%
14%
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Benchmk Std Dev 3yr Fund Std Dev 3yr 3 yr Volatility Peer Avg
Drawdowns
85
87
89
91
93
95
97
99
Mar
11
Sep
11
Mar
12
Sep
12
Mar
13
Sep
13
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Benchmark Drawdown Fund Drawdown Peer Avg Drawdown
Rolling Sharpe Ratio
0.00
0.50
1.00
1.50
2.00
2.50
3.00
3.50
4.00
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
3yr Sharpe Ratio Fund 3yr Sharpe Ratio Peers
Tail Risk - Returns in Worst Australian Equity Down Markets over the Fund’s Lifespan
Rolling Beta vs. SQM Risk Benchmark
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
1.00
Mar
14
Sep
14
Mar
15
Sep
15
Mar
16
Sep
16
Mar
17
Sep
17
Mar
18
Sep
18
Mar
19
Fund: Rolling 3yr Beta
Pinnacle aShares Global Dynamic Income Fund
29ASSET ALLOCATION & RISK PARAMETERS
The Fund’s history of asset allocation, sector and other portfolio metrics are detailed below:
Fixed Income SectorAverageWeight
MaxWeight
MinWeight
as atMay-19
Sovereign / Government - 0.0% 0.0% 0.0%
Investment Grade Corp 100.0% 100.0% 100.0% 100.0%
High Yield Corporate - 0.0% 0.0% 0.0%
Loans - 0.0% 0.0% 0.0%
Emerging Markets - 0.0% 0.0% 0.0%
Hybrids / Preferreds - 0.0% 0.0% 0.0%
MBS - 0.0% 0.0% 0.0%
Structured ex-MBS - 0.0% 0.0% 0.0%
Cash - 0.0% 0.0% 0.0%
Other - 0.0% 0.0% 0.0%
GeographicAverageWeight
MaxWeight
MinWeight
as atMay-19
Australia 18.9% 37.1% 9.8% 15.0%
USA 10.6% 20.0% 1.3% 18.0%
Japan 7.1% 18.0% 0.0% 9.5%
UK 9.3% 19.8% 2.5% 18.7%
France 2.7% 6.9% 0.0% 1.7%
Germany 1.7% 5.4% 0.0% 0.5%
Russia 0.0% 0.0% 0.0% 0.0%
Other Europe 13.5% 47.7% 1.8% 5.4%
China 0.0% 0.0% 0.0% 0.0%
Korea 0.1% 2.2% 0.0% 0.0%
Taiwan 0.0% 0.0% 0.0% 0.0%
India 0.0% 0.0% 0.0% 0.0%
Malaysia 0.0% 0.0% 0.0% 0.0%
Asia 8.9% 24.5% 1.1% 2.9%
Brazil 0.0% 0.6% 0.0% 0.0%
Mexico 0.0% 0.0% 0.0% 0.0%
Other 27.1% 54.3% 7.9% 28.4%
CurrencyAverageWeight
MaxWeight
MinWeight
as atMay-19
AUD 19.8% 40.9% 10.4% 14.9%
USD 17.0% 39.7% 5.1% 13.9%
EUR 15.9% 41.0% 3.6% 9.9%
GBP 11.6% 22.2% 2.7% 21.1%
CHF 0.0% 0.0% 0.0% 0.0%
RUB 0.0% 0.0% 0.0% 0.0%
Other Europe 0.9% 3.3% 0.0% 0.0%
JPY 7.1% 18.0% 0.0% 9.5%
CNY 0.0% 0.0% 0.0% 0.0%
Other Asia 2.9% 6.3% 0.4% 3.5%
Other 24.8% 53.1% 6.9% 27.2%
Pinnacle aShares Global Dynamic Income Fund
30ASSET ALLOCATION & RISK PARAMETERS
Credit QualityAverageWeight
MaxWeight
MinWeight
as atMay-19
AAA 8.0% 16.4% 2.5% 11.9%
AA+ to AA- 65.0% 82.0% 48.8% 57.2%
A+ to A- 27.1% 40.7% 11.2% 30.9%
BBB+ to BBB- - 0.0% 0.0% 0.0%
BB+ to BB- - 0.0% 0.0% 0.0%
B+ to B- - 0.0% 0.0% 0.0%
CCC & below - 0.0% 0.0% 0.0%
Not Rated - 0.0% 0.0% 0.0%
Duration & MaturityAverageWeight
MaxWeight
MinWeight
as atMay-19
Rate Duration - 0.0% 0.0% 0.0%
Credit Duration 2.96 4.237 2.17 4.23
% Cash - 0.0% 0.0% 0.0%
% 0-1yrs Maturity 0.1% 1.7% 0.0% 0.0%
% 1-3yrs Maturity 60.3% 92.2% 3.4% 3.4%
% 3-5yrs Maturity 31.3% 85.1% 1.5% 81.6%
% 5-10yrs Maturity 8.3% 23.0% 0.7% 15.0%
% over 10yrs Maturity - 0.0% 0.0% 0.0%
© SQM Research 2019
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Contacts:Louis Christopher +61 2 9220 4666Rob da Silva +61 2 9220 4606
Analyst:Patrick Bennett
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