Best and worst Aussie broad caps for risk-adjusted returns
Money Management used FE Analytics to look at the Sharpe ratios of Australian broad caps from 31 August last year to 31 August 2018 and found the best and worst funds for risk-adjusted returns.
SG Hiscock, Bennelong, Macquarie, Ganes Capital, DDH Graham and Cooper Investors are fund managers that have continued to find themselves in Money Management’s good books for their consistent outperformance of benchmarks and relatively low FE Risk Scores, and this is no exception.
Sitting top of the bunch, the SGH Australia Plus fund is the best fund for risk-adjusted returns, with a Sharpe ratio of 1.77, where the average Sharpe ratio of all Aussie broad caps is 0.79 and the S&P ASX 200 index has a Sharpe ratio of 0.77.
Bennelong Concentrated Australian Equities sits second with a Sharpe ratio of 1.72, Macquarie Australian Shares is third with Sharpe ratio of 1.49 and Ganes Value Growth and DDH Selector Australian Equities are equal fourth with a Sharpe ratio of 1.4.
CI Brunswick sits bottom of the top five with a Sharpe ratio of 1.37 but has the lowest volatility of the five funds with 7.44 per cent, where the index is 11.79 per cent.
SGH Australia Plus is similarly in the top decile for volatility with 9.2 per cent, followed by Ganes Value Growth at 10.2 per cent and Macquarie Australian Shares at 11.2 per cent.
The chart below shows the performance of the top five funds as compared to the ASX200.
While there were some standout losers as well, 119 funds in the Australian broad-cap sector had a Sharpe ratio lower than the ASX200, including some big names like AMP Capital, Perpetual, Franklin Templeton and Ellerston.
Franklin Templeton Australian Equity had a Sharpe ratio of 0.58, putting it in the eighth decile for risk-adjusted returns and the ninth for volatility, which was 13.23 per cent.
AMP Capital’s Equity fund had a Sharpe ratio of 0.57, as did Perpetual’s Australian Share, while Ellerston’s Overlay Australian Share fund sat at 0.54 and Advance Australian Equity Growth sat at 0.52.
APSEC Atlantic Pacific Australian Equity, Crescent Wealth Australian Equity and Macquarie Dividend Run Up all had a Sharpe ratio of zero, while BetaShares Australian Equities Bear Hedge and BetaShares Australian Equities Strong Bear Hedge fell into the negative with -0.02 and -0.08 respectively.
AUTHOR
Anastasia Santoreneos
Recommended for you
Some 42 per cent of CEOs say they are actively reinventing their business to stay relevant in the next decade, with consumer services the most common choice for asset and wealth managers.
Former Ophir Asset Management chief executive, George Chirakis, has joined private equity manager Scarcity Partners, while the asset manager has appointed a replacement from Macquarie.
Australian Unity has appointed a fund manager for its Healthcare Property Trust, joining from Centuria Healthcare, as it restructures the product with a series of senior appointments.
Financial advisers nervous about the liquidity of private markets funds for their retail clients are the target of fund managers launching semi-liquid products which offer greater flexibility and redemptions.
