Global Tactical SMA Model Portfolio
Description
The Newport Global Tactical 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 Cross-Asset Trend Index (AUD)
-
Provide a return in excess of RBA CPI + 4% over 5 year rolling periods
-
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 Tactical 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
RBA CPI + 4%
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
0.50% p.a + 10% performance (+GST)
Access
The Global Absolute Return SMA Model Portfolio is available on the following SMA platforms::