Since being packaged as a Ucits vehicle in 2009, the fund has posted consistently positive annual returns, with the exception of 2011, when a large allocation to long/short equity struggled.
Over three years, managers Tomi Satchell, Steven Iffland and John Bellamy, all A-rated by Citywire, have returned 16% versus an index return of 3.03%, marred only by -5.30% in 2011 versus the index’s 0.8%.
‘That was almost entirely due to long/short equity exposure,’ said Satchell. ‘A lot of [sector] managers struggled with the extraordinary volatility, which we have a lot of sympathy for, and it’s worth noting that a lot of recent outperformance has been due to keeping faith with managers.’
Having entered the summer with a near 50% allocation to long/short equity, the managers pared this back to 30% by mid-autumn, primarily by shedding funds with a long bias.
This has remained stable since, although assets have been shifted into more cyclical exposure via funds such as James Hanbury’s Odey UK Absolute Return and the small cap focused SW Mitchell’s SWMC European fund.
Top-down asset allocation is provided by Johim’s investment committee, with the managers primarily providing quantitative fund selection process overlay to this, looking at three-year risk-adjusted returns, volatility and correlation metrics, backed up by qualitative manager meetings.
The fund is currently positioned to exploit an ongoing liquidity rally in risk assets, with the expectation of moving closer to market neutral as the upward momentum begins to run out of steam.
‘Economic indicators have been much stronger than expected, and the ECB’s LTRO [long-term refinancing operation] was a very important step,’ said Satchell. ‘We are cognisant of what happened in 2009, but it is a dynamic process, for this moment in time we are in risk assets.’
In addition to the 30% allocated to equities – tilted toward developed market cyclicality – the fund has 16% in global macro thematic, 11% in volatility strategies, 12% in commodities, 7% in inflation strategies, 10% in property and, 9% in traded life policies and 6% in an aircraft leasing fund.