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Newport Asset Management

Newport Private Wealth Pty Ltd  (ABN 16 166 931 960)

Australian Financial Services Licence  451820

 

Terms & Disclaimer

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Description

The Newport Global Absolute Return SMA model portfolio an ETF managed portfolio that seeks to generate strong risk-adjusted returns by managing downside risk while participating meaningfully in upward trending markets. The portfolio utilises a global dynamic asset allocation strategy that aims to generate positive absolute returns by actively allocating on a long-only basis to a basket of exchange traded funds covering equity, property, commodity, fixed income markets and cash with a core focus on Australian Dollar assets

 

Investment Objective

  • To track, as closely as possible, Newport's Global Dynamic Asset Allocation Index (AUD)

  • Provide a return in excess of Cash + Inflation over 5 year rolling periods (target of 8-10% p.a. net)

  • Minimise prolonged drawdowns through global dynamic asset allocation

 

Investment Philosophy

We believe that absolute returns are crucial to the long-term sustainable growth of capital and that the key to generating absolute returns lay in the prudent deployment & active management of risk through the disciplined, robust and repeatable process that is created by systematic investment strategies. Asset classes exhibit momentum/trend characteristics that can be identified and exploited via a rules based system. Systematic strategies remove the need for discretionary investment decisions in which human emotion can often play a part. Asset allocation needs to be active (but not high frequency) as trends, correlation, expected returns and risk premia change over time. A multi-asset class approach allows for a long-only portfolio to be effective and removes the need for shorting

 

Global Absolute Return SMA Investment Philosophy >>

 

Strategy & Process

The strategy is quant driven and follows a rigid and predetermined mathematical process or algorithm. All allocation & weighting decisions are systematic i.e. rules-based and are driven by time-series momentum & trend indicators, expected return and expected volatility factors. The allocation percentages are dynamic and unconstrained and the strategy has the option to go to 100% cash in certain market environments. The portfolio is re-weighted and positioned on a monthly basis

 

Benchmark

Australian Cash + Inflation Index

 

Asset Allocation

Asset allocation is reset monthly and is determined by the Global Dynamic Asset Allocation Index (AUD). There are no minimum or maximum asset class constraints

 

Authorised Investments

ASX listed exchange traded funds (ETFs) and exchange traded notes (ETNs/ETCs); collectively known as exchange traded products (ETPs). These instruments provide access to global markets and diversification in a liquid and cost-effective form

 

Number of Holdings

The number of holdings can currently range between 0 and 14 (zero being cash) and is determined by the monthly composition of the Global Dynamic Asset Allocation Index (AUD). There are no minimum or maximum holding constraints. All 14 ETPs combined provide exposure to over 2,700 individual securities

 

Currency

Australian Dollar base currency and all ETPs are AUD priced. A currency overlay controls the monthly allocations to either hedged or un-hedged ETPs for non-domestic allocations

 

Portfolio Use

The strategy would be allocated to as part of “alternatives” portion of a portfolio that would typically consist of a selection of absolute return (hedge) funds. Its low correlation to traditional asset classes and other absolute return strategies means that it is a good portfolio diversifier. Asset allocation modelling has demonstrated that inclusion of the index in a portfolio would have significantly improved the portfolio’s overall risk-adjusted returns

 

Management Fee

1% p.a (+GST)

 

Access

The Global Absolute Return SMA Model Portfolio is available on the following SMA platforms::