Investment Objective
Fulcrum Diversified Absolute Return (“DAR”) is a diversified multi-asset fund investing across the four liquid asset classes (equities, bonds, currency, and commodities). DAR is benchmark unaware and has an investment objective of Inflation +3-5% p.a. over rolling five year periods. There is a strict risk limit, including an ex-ante volatility limit of 12%, and a permanent insurance overlay to help protect against extreme losses.
Latest Meeting Note
Meeting 27 Apr 2020
Fulcrum is an independently owned asset management firm, managing $4.9bn of client assets with a core focus on global, multi-asset investing across liquid markets. The Fulcrum Diversified Absolute Return strategy focuses on limiting down...
Fulcrum is an independently owned asset management firm, managing $4.9bn of client assets with a core focus on global, multi-asset investing across liquid markets. The Fulcrum Diversified Absolute Return strategy focuses on limiting downside risk whilst generating strong returns. Relative to global equities the fund has managed to generate higher risk-adjust returns, with a low beta and smaller peak-to-trough drawdowns combined with quicker recoveries. The strategy is made up of three investment buckets; directional, relative value and diversifying strategies. Directional covers directional views across all asset classes and represents 30-40% of risk. This bucket contains the highest beta to equities, but it is only estimated to be roughly 0.3. Relative value covers market neutral inter and intra asset class views, and covers 30-50% of portfolio risk. While the final 0-10% of risk is allocated to diversifying strategies (trend, carry, risk premia). The range of investable assets covers all major liquid markets and sectors using the most cost-effective implementation. The investment process is built on a combination of fundamental and behavioural research, which form the core of the macro themes of the portfolio, with specialist teams using the same approach to identify satellite ideas within their own areas of expertise. This creates a portfolio with 3-5 themes, expressed in multiple ways (via different asset classes), plus an additional 15-30 satellite ideas.
Q1 positioning: Coming into 2020, the fund was positioned for a global cyclical recovery, while closely tracking the spread of Covid-19 in Asia and around the world. Portfolio positioning was reassessed in mid/late Feb, due to a rapid outbreak across Europe. To reduce risk the PM reduced overall equity exposure, added yen hedges, reduced short duration position, took profits on precious metals and reduced short US dollar position. Throughout March, the portfolio has been positioned to have an ever lower exposure to risk assets and switched to a positive duration bias. Current positioning; low equity exposure (10%), moderately long duration (0.2y), long defensive assets and net short US dollar.
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 0.9 | 0.0 | 0.4 | 0.1 | 0.1 | 0.6 | 0.9 | 0.7 | 0.6 | 0.2 | 0.1 | 1.0 | 0.5 | |
2022 | 0.3 | 0.1 | 0.3 | 0.6 | 0.4 | 1.0 | 0.9 | 0.6 | 0.4 | 0.9 | 0.4 | 0.6 | 1.0 |