Showing posts with label Monthly Reports. Show all posts
Showing posts with label Monthly Reports. Show all posts

Tuesday, March 05, 2024

February 2024 Report

In February, the Australian Dollar fell from USD 0.6595 to USD 0.6504. Stock indices and benchmarks performed as follows (total returns including dividends):

US Dollar Indices

MSCI World Index (gross): 4.33

S&P 500: 5.34%

HFRI hedge fund index: 1.92% (forecast)

Australian Dollar Indices

ASX 200: 1.03%

Target Portfolio: 3.08% (forecast)

Australian 60/40 benchmark: 1.65%. 

We gained 1.78% in Australian Dollar terms or 0.37% in US Dollar terms. So, we beat the ASX200 and the 60/40 benchmark but underperformed the other four. The main reason we underperformed the target portfolio is because it gained 1.15% from venture capital and buyout whereas we had a negative return from private equity.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets and so are lower than the Australian Dollar returns on net assets mentioned above. Futures experienced the highest rate of return and made the largest contribution to returns followed by US stocks and ROW stocks. On the other hand,  private equity and real assets had negative returns in February.

Things that worked well this month:

  • Bitcoin (AUD 22k - see below), Pershing Square Holdings (PSH.L 16k), and Winton Global Alpha (11k), and WCM Global Quality (WCMQ.AX, 10k) all had gains of more than AUD 10k.

What really didn't work: 

  • Tribeca Global Resources (TGF.AX) lost AUD 15k.

Here are the investment performance statistics for the last five years:

The top three lines give our performance in USD and AUD terms, while the last three lines give results for three indices. Compared to the ASX200 we have a lower average return but also lower volatility, resulting in a higher Sharpe ratio of 0.90 vs. 0.69. But as we optimise for Australian Dollar performance our USD statistics are much worse and worse than either the MSCI world index or the HFRI hedge fund index. Well, we do beat the HFRI in terms of return, but at the expense of much higher volatility. We have a positive alpha relative to the ASX200 with a beta of only 0.45. 

The SMSF outperformed both its benchmark funds after underperforming for a few months:

 

We are quite close to our target allocation. We are underweight private equity and hedge funds and overweight real assets. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In contrast to January, it was a busy month:

  • I made a follow-on investment of USD 5,000 in Kyte, who are trying to "disrupt" the car rental business.
  • I sold all our holding of Ruffer Investment Company (RICA.L).
  • Likewise for WAM Leaders (WLE.AX).
  • I sold around 3k shares of Hearts and Minds (HM1.AX).
  • I sold around 5k shares of WCM Global Quality (WCMQ.AX). 
  • I sold around 3k shares of Cadence Capital (CDM.AX).
  • I did a short-term trade in Platinum Capital (PMC.AX) netting only AUD 64...
  • I bought 100k shares of DCL.AX at 1 Australian cent each. Then the stock was suspended again... 
  • I bought 1,000 shares of PMGOLD.AX the gold ETF, which I have already sold by now for a quick trade.
  • I bought 2,250 shares of Fidelity's bitcoin ETF (FBTC). That is about 1.75 bitcoins worth. I have traded bitcoin in the past using futures and CFDs but it is costly with high margin requirements. I don't want the hassle of owning actual cryptocurrency with hacking risks etc. So, the new ETFs are good for me. Oscar Carboni thinks it's going up. The next "halving" is coming. And the ETFs should be a new source of demand. I will include this asset in the "futures" asset class for now, though it is spot bitcoin actually. Bitcoin can serve as both a diversifier and a return booster. A small allocation to Bitcoin raises the Sharpe ratio of the portfolio.
     

Sunday, February 18, 2024

January 2024 Report

Monthly reports are back! In January, The MSCI World Index (USD gross) rose 0.61% while the S&P 500 rose 1.68%, and the HFRI hedge fund index gained 0.44% in USD terms. The ASX 200 rose 1.19% and the target portfolio 2.87% in AUD terms. All these are total returns including dividends. The Australian Dollar fell from USD 0.6806 to USD 0.6595. We gained 1.92% in Australian Dollar terms or lost 1.24% in US Dollar terms. So, we under-performed all benchmarks apart from the ASX200.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. US Stocks experienced the highest rate of return, while hedge funds made the largest contribution to returns. On the other hand, Australian small cap and rest of world stocks had negative returns in January.

Things that worked well this month:

  • Pershing Square Holdings (PSH.L, AUD 19k), gold (AUD 13k), and Hearts and Minds (HM1.AX, AUD 11k) all had more than AUD 10k gains.

What really didn't work: 

  • Tribeca Global Resources (TGF.AX) lost AUD 23k and Australian Dollar Futures lost AUD 10k.

Here are the investment performance statistics for the last five years:

The top three lines give our performance in USD and AUD terms, while the last three line give results for the indices. Compared to the ASX200 we have a lower average return but also much lower volatility, resulting in a higher Sharpe ratio of 0.93 vs. 0.76. But as we optimize for Australian Dollar performance our USD statistics are much worse and worse than either the MSCI world index or the HFRI hedge fund index. Well, we do beat the HFRI in terms of return, but at the expense of much higher volatility. We have a positive alpha relative to the ASX200 with a beta of only 0.45.

We are quite close to our target allocation. We are underweight private equity and overweight real assets. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. It was a very quiet month. I made one change to our investments:

  • I sold around USD 35k of the CREF Social Choice Fund and bought the same amount of the TIAA Real Estate Fund in my US 403b retirement account.
     

Saturday, September 09, 2023

Why I Haven't Posted a Monthly Report Recently

I haven't posted monthly reports for July or August. The reason is that the July accounts have an error of more than AUD 12k and I don't have the time or inclination to try to reconcile them at the moment. Probably this will have to wait till later in the year when my teaching is over. I focus all my teaching in the second semester so I am really busy. And I am also working on my new hobby of genealogy research, since December last year. Probably I will eventually make a post for the second half of the year as a whole with monthly investment performance figures. There is also an error of more than AUD 8k that cropped up now in the December 2022 accounts, which wasn't there before. Possibly they are related...

Anyway,  in AUD terms July is currently at 2.18% (compared to our target portfolio of 1.77%. ASX200 = 2.89%) or 3.18% in USD terms (HFRI = 1.75%, MSCI = 3.45%). So not bad.

August is at 0.05% (ASX = -0.44%, target = 0.90%). In USD terms though it was a fall of 3.62%. Stock markets were down but not that bad...

P.S.

After writing this post I realised what might be wrong with December 2022 and fixed that and June 2023. But July 2023 still has a 12,000 dollar error...

Saturday, August 12, 2023

June 2023 Report

We finally have all the investment statements and reports for the 2022-23 financial year, which means I can put together a report on our investment performance in June. In June, The MSCI World Index (USD gross) rose 5.85%, the S&P 500 rose 6.61%, and the HFRI hedge fund index gained 2.20% in USD terms. The ASX 200 rose 1.74% and the target portfolio 1.09% in AUD terms. All these are total returns including dividends. The Australian Dollar rose from USD 0.6479 to USD 0.6657. We lost 0.27% in Australian Dollar terms or gained 2.40% in US Dollar terms. So, we under-performed all benchmarks apart from the HFRI. Our hedge fund and private equity investments underperformed their benchmarks, dragging down performance relative to the target benchmark, which has a 38% weighting on these two asset classes.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. I then add in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return. Gold was the biggest detractor, while futures contributed the most.

Things that worked well this month:

  • Pershing Square Holdings and Australian Dollar Futures did well.

What really didn't work: 

  • Gold and Tribeca Global Resources did badly.

The investment performance statistics for the last five years are not looking good and I don't feel like reporting them. 😕

We are now very close to our target allocation. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. It was another quiet month. The only additional investment moves I made were:

  • I bought 500 PMGOLD.AX and 1778 CDO.AX (Cadence Opportunities Fund) shares.


Sunday, June 11, 2023

May 2023 Report

In May, markets were mixed. The MSCI World Index (USD gross) fell 1.00% while the S&P 500 rose 0.43% in USD terms. The ASX 200 fell 2.30% in AUD terms. All these are total returns including dividends. The Australian Dollar fell from USD 0.6605 to USD 0.6479. We lost 1.07% in Australian Dollar terms or lost 3.09% in US Dollar terms. The target portfolio lost 0.06% in Australian Dollar terms and the HFRI hedge fund index is expected to lose 0.12% in US Dollar terms. So, we under-performed all benchmarks apart from the ASX 200.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. I then add in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return. We underperformed the target portfolio benchmark mainly because of negative returns on hedge funds in particular. Private equity had the most positive returns and contributed most to the return for the month, while gold and futures also performed positively. Australian small caps were the worst performers.

Things that worked well this month:

  • 3i (III.L) gained the most (AUD 18k) followed by Cordish Dixon PE Fund 3 (CD3, 8k), and Winton Global Alpha (7k).

What really didn't work: 

  • Cadence Capital (CDM.AX), Regal Funds (RF1.AX), and Cadence Opportunities (CDO.AX) lost the most: AUD 18k, 13k, and 11k respectively.

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The MSCI is reported in USD terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture, positive alpha, and higher Sharpe Ratio against the ASX200 but not the USD benchmarks. We are performing about 4.4% per annum worse than the average hedge fund levered 1.77 times. Hedge funds have been doing well in recently.

We are now very close to our target allocation. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. It was a very quiet month. The only additional investment move I made was:

  • I bought a net 250 shares of PMGOLD.AX.


Saturday, May 06, 2023

April 2023 Report

In April, stock markets continued to rise. The MSCI World Index (USD gross) rose 1.48% and the S&P 500 1.56% in USD terms, while the ASX 200 gained 2.03% in AUD terms. All these are total returns including dividends. The Australian Dollar fell from USD 0.6695 to USD 0.6605. We gained 1.09% in Australian Dollar terms but lost 0.45% in US Dollar terms. The target portfolio gained 1.98% in Australian Dollar terms and the HFRI hedge fund index is expected to gain 1.19% in US Dollar terms. So, we under-performed all benchmarks :(

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. I then add in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return. We underperformed the target portfolio benchmark because of negative returns on international stocks and hedge funds, in particular. Our US stocks actually outperformed the S&P 500 this month.

Several asset classes made moderate positive contributions with private equity leading, while ROW stocks and hedge funds had negative returns

Things that worked well this month:

  • Gold was the greatest gainer at AUD 9k, but several other investments gained between AUD 6-9k including Unisuper, 3i (III.L), Hearts and Minds (HM1.AX), Regal Funds (RF1.AX), Winton Global Alpha, WAM Alternatives (WMA.AX), and PSS(AP).

What really didn't work: 

  • Tribeca Global Resources (TGF.AX) was again the biggest loser with a loss of AUD 14k. Followers up were: The China Fund (CHN, -8k) and Pershing Square Holdings (PSH.L, -6k).

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The MSCI is reported in USD terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture, positive alpha, and higher Sharpe Ratio against the ASX200 but not the USD benchmarks. We are performing about 3.9% per annum worse than the average hedge fund levered 1.76 times. Hedge funds have been doing well in recently.

We are now very close to our target allocation. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition, we made the following investment moves this month:

  • I invested USD 2,500 in a Latin-American start-up company through the Unpopular Venture Syndicate.
  • I bought 5,000 more Cordish-Dixon 3 (CD3.AX) shares.


Sunday, April 09, 2023

March 2023 Report

In March, stock markets rebounded. The MSCI World Index (USD gross) rose 3.15% and the S&P 500 3.67% in USD terms, while the ASX 200 only gained 0.25% in AUD terms. All these are total returns including dividends. The Australian Dollar fell from USD 0.6740 to USD 0.6695. We gained 0.55% in Australian Dollar terms but lost 0.15% in US Dollar terms. The target portfolio gained 1.84% in Australian Dollar terms and the HFRI hedge fund index is expected to gain 1.47% in US Dollar terms. So, we only out-performed the ASX200.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. I then add in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return. We underperformed the target portfolio benchmark because of negative returns on international stocks and hedge funds as well as negative returns on Australian small caps. We lost on US stocks because of a very negative return from Hearts and Minds (HM1.AX) offsetting positive returns on other US holdings.

Gold was the main positive contributor to returns and the highest returning asset class while futures were the largest detractor and worst performing asset class. The trend-following managed futures funds got caught in the sudden movement in US bonds during the month associated with the banking crisis.

Things that worked well this month:

  • Gold gained AUD 54k - the biggest monthly gain in a single investment since I started investing.

What really didn't work: 

  • Tribeca Global Resources (TGF.AX) lost AUD 11k. Followers up were: Pershing Square Holdings (PSH.L, -10k), Aspect Diversified Futures (-9k), Hearts and Minds (HM1.AX, -9k), and Winton Global Alpha (-8k).

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The MSCI is reported in USD terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture, positive alpha, and higher Sharpe Ratio against the ASX200 but not the USD benchmarks. We are performing about 3.6% per annum worse than the average hedge fund levered 1.76 times. Hedge funds have been doing well in recently.

We are now very close to our target allocation but we mived away from it quite sharply during the month. In particular, real assets increased as we added to URF.AX and it rose, while private equity fell as we took profits in PE1.AX. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition, we made the following investment moves this month:

  • I sold 100 China Fund (CHN) shares.
  • I sold 3,500 WAM Leaders (WLE.AX) shares.
  • I sold 10k MCP Income Opportunities (MOT.AX) when the price spiked back up to AUD 2.10.
  • I bought 12k shares net of Cordish-Dixon Private Equity Fund 3 (CD3.AX).
  • I did a losing trade in bond futures.

Sunday, March 05, 2023

February 2022 Report

In February, stock markets fell again. The MSCI World Index (USD gross) fell 2.83% and the S&P 500 2.44% in USD terms, while the ASX 200 lost 2.25% in AUD terms. All these are total returns including dividends. The Australian Dollar fell from USD 0.7113 to USD 0.6740. We also lost money: 0.47% in Australian Dollar terms or 5.69% in US Dollar terms. The target portfolio gained 0.72% in Australian Dollar terms and the HFRI hedge fund index is expected to lose about 0.83% in US Dollar terms. So, we out-performed the ASX200 but under-performed all the other benchmarks.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. I then add in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return. One reason that we underperformed the target portfolio benchmark is the very negative returns we got for rest of world stocks and to a lesser degree hedge funds. The Australian Dollar cash price of gold was breakeven for the month, so I also don't understand why PMGOLD.AX lost value, especially as I bought some extra shares during the month at a price that was lower than the end of month price...

Real assets were the main positive contributor to returns and the highest returning asset class while hedge funds were the largest detractor.

Things that worked well this month:

  • URF.AX (US residential real estate) was the biggest gainer adding AUD 11k, followed by two managed futures funds: Winton Global Alpha (9k) and Aspect Diversified Futures (6k).

What really didn't work: 

  • Tribeca Global Resources (TGF.AX) lost AUD 30k. The next worse were the China Fund (CHN, -19k) and Australian Dollar Futures (-15k).

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The MSCI is reported in USD terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture, positive alpha, and higher Sharpe Ratio against the ASX200 but not the USD benchmarks. We are performing about 3.3% per annum worse than the average hedge fund levered 1.77 times. Hedge funds have been doing well in recently.

We are now very close to our target allocation but we mived away from it quite sharply during the month. In particular, real assets increased as we added to URF.AX and it rose, while private equity fell as we took profits in PE1.AX. Our actual allocation currently looks like this:


 

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition, we made the following investment moves this month:

  • I bought 1,000 shares of the gold ETF, PMGOLD.AX.
  • I sold 4,000 shares of WAM Leaders (WLE.AX).
  • I sold 59,976 shares of Pengana Private Equity (PE1.AX).
  • I bought 29,638 shares of the Cordish-Dixon private equity fund CD3.AX.
  • I bought 25,000 shares of MCP Income Opportunities private credit fund (MOT.AX).
  • I bought 65,000 shares of URF.AX (US residential real estate).

Wednesday, March 01, 2023

January 2022 Report

In January, stock markets rebounded. The MSCI World Index (USD gross) gained 7.19% and the S&P 500 6.28% in USD terms, and the ASX 200 gained 6.23% in AUD terms. All these are total returns including dividends. The Australian Dollar rose from USD 0.6816 to USD 0.7113. We gained 2.21% in Australian Dollar terms or 6.66% in US Dollar terms. The target portfolio rose 1.45% in Australian Dollar terms and the HFRI hedge fund index around 2.8% in US Dollar terms. So, we out-performed the S&P 500, the HFRI, and our target portfolio and under-performed the others.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. I have added in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return.

All asset classes had positive returns. Private equity was the largest contributor to returns Followed by hedge funds, while RoW stocks had the highest return.

Things that worked well this month:

  • 3i (III.L) rose strongly, gaining AUD 22k. Tribeca (TGF.AX 18k), Unisuper (15k), PSSAP (14k), China Fund (CHN, 13k), and Hearts and Minds (HM1, 10k) all contributed more than AUD 10k.

What really didn't work: 

  • Three managed futures funds all lost money, with Winton Global Alpha losing the most (AUD 4k).

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The MSCI is reported in USD terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture and positive alpha against the ASX200 and the MSCI but not against the hedge fund index. We have a higher Sharpe Index than the ASX200 but lower than the MSCI in USD terms. We are performing about 2.6% per annum worse than the average hedge fund levered 1.75 times. Hedge funds have been doing well in recently.

We are now very close to our target allocation. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition, we made the following investment moves this month:

  • I bought 1,000 shares of the China Fund, CHN.
  • I bought 3,000 shares of Ruffer Investment Company, RICA.L.

Sunday, January 08, 2023

December 2022 Report

Venture capital returns won't be reported for another month, but I expect them to be flat, so that the final numbers are not far from what they are now. In December, stock markets fell. The MSCI World Index (USD gross) lost 3.90%, the S&P 500 5.76% in USD terms, and the ASX 200 3.13% in AUD terms. All these are total returns including dividends. The Australian Dollar rose from USD 0.6788 to USD 0.6816. We lost 1.24% in Australian Dollar terms or 0.83% in US Dollar terms. The target portfolio is expected to lose 2.43% in Australian Dollar terms and the HFRI hedge fund index around 1.3% in US Dollar terms. So, we out-performed all benchmarks.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. I have added in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return.

Only gold and private equity had positive returns. Gold was the biggest contributor to returns and hedge funds the greatest detractor.

Things that worked well this month:

  • Gold gained AUD 14k and Pengana Private Equity (PE1.AX), 9k.

What really didn't work: 

  • Regal Funds (RF1.AX) lost AUD 12k followed by Hearts and Minds (HM1.AX) and Tribeca Global Resources (TGF.AX), which each lost 10k.

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The MSCI is reported in USD terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture and positive alpha against the ASX200 and the MSCI but not against the hedge fund index. We have a higher Sharpe Index than the ASX200 but lower than the MSCI in USD terms. We are performing about 2.5% per annum worse than the average hedge fund levered 1.7 times. Hedge funds have been doing well in recently.

We are now very close to our target allocation. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition, we made the following investment moves this month:

  • I bought 1,000 shares of PMGOLD.AX.
  • I tried to do a trade with around 12k shares of Regal Funds (RF1.AX). It wasn't successful.
  • I closed a tiny position of WLS.AX shares pending the merger of WLS into WCMQ.AX.
  • The remainder of our WLS shares will convert to WCMQ and our URFPA shares will convert to URF at the turn of the year.

Saturday, December 03, 2022

November 2022 Report

In November, stock markets continued their rebound and the Australian Dollar rose strongly increasing US Dollar returns relative to Australian Dollar returns. The MSCI World Index (USD gross) rose 7.80%, the S&P 500 5.59% in USD terms, and the ASX 200 6.78% in AUD terms. All these are total returns including dividends. The Australian Dollar rose from USD 0.6387 to USD 0.6744. We gained 3.05% in Australian Dollar terms or 8.81% in US Dollar terms. The target portfolio is expected to gain 1.23% in Australian Dollar terms and the HFRI hedge fund index around 1.0% in US Dollar terms. So, we out-performed all benchmarks apart from the ASX. 

Our SMSF hit a new high in terms of cumulative returns, exceeding the previous high in September 2021. It is now up more than 15% since inception and well ahead of our employer superannuation funds:

 

These are all in pre-tax terms - franking credits are included but no tax deducted. This will be a bit over-generous to the employer superannuation funds on the way up and the opposite on the way down. The increase in my US retirement account (TIAA) is to a large extent because of the fall in the Australian Dollar. It fell this month as the Australian Dollar rose. But the TIAA Real Estate Fund also performed extremely well over this period until recently.

Here is a report on the performance of investments by asset class: 

The asset class returns are in currency neutral returns as the rate of return on gross assets. I have added in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return.

Only futures had a negative return. RoW stocks were the best performer partly because of the rebound in the China Fund and hedge funds were the largest contributors to the month's return.

Things that worked well this month:

  • Tribeca Global Resources was again the top performer in terms of dollars gained (TGF.AX, AUD 25k). Coming in second and third were the China Fund (CHN, 18k) and Australian Dollar Futures (17k). Also gaining more than AUD 10k were 3i (III.L, 17k), Unisuper (16k), PSS(AP) (12k) Pershing Square Holdings (PSH.L, 12k), and gold (10k). With the exception of the China Fund and AUD futures, this is very similar to last month.

What really didn't work:

  • Winton Global Alpha Fund (-12k), Aspect Diversified Futures (-6k), and WAM Alternatives (WMA.AX, -4k) were the greatest detractors.

The investment performance statistics for the last five years are:

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The MSCI is reported in USD terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture and positive alpha against the ASX200 and the MSCI but not against the hedge fund index. We have a higher Sharpe Index than the ASX200 but lower than the MSCI in USD terms. We are performing more than 3% per annum worse than the average hedge fund levered 1.79 times. Hedge funds have been doing well in recent years.

We are now very close to our target allocation as Regal Funds diversifies its holdings. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition, we made the following investment moves this month:

  • I sold 5000 shares of WAM Leaders (WLE.AX) and bought 1000 shares of the China Fund (CHN).
  • I sold USD 17.5k of the TIAA Real Estate Fund and bought the Social Choice Fund instead.
  • I bought 4000 shares of Regal Partners (RPL.AX).
  • I sold the 2000 shares I held in Fortescue Metals (FMG.AX). We made about AUD 4k on this trade.
  • I sold 10k shares of Regal Funds (RF1.AX) and bought 500 shares of URFPA.AX - the US Masters Residential Fund converting preference notes.
  • I sold 1,000 shares of Ruffer (RICA.L) to get money for our next subscription payment for Unpopular Ventures.

Saturday, November 05, 2022

October 2022 Report

In October, stock markets rebounded and the Australian Dollar ended close to flat. The MSCI World Index (USD gross) rose 6.06%, the S&P 500 8.10% in USD terms, and the ASX 200 6.06% in AUD terms. All these are total returns including dividends. The Australian Dollar fell from USD 0.6399 to USD 0.6387. We gained 2.85% in Australian Dollar terms or 2.66% in US Dollar terms. The target portfolio gained 3.07% in Australian Dollar terms and the HFRI hedge fund index is expected to be almost flat at 0.08% in US Dollar terms. So, we under-performed all benchmarks apart from HFRI, though we were not far from the target portfolio.

Here is a report on the performance of investments by asset class: 

The asset class returns are in currency neutral returns as the rate of return on gross assets. I have added in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return.

Only rest of the world stocks had a negative return, which was because of the poor performance of China. US stocks were the best performer and hedge funds the largest contributors to the month's return.

Things that worked well this month:

  • Tribeca Global Resources (TGF.AX, AUD 18k), Unisuper (15k), Pershing Square Holdings (PSH.L, 12k), and PSS(AP) (10k) were the largest contributors.

What really didn't work:

  • The China Fund (CHN, -9k) and Fortescue (FMG.AX, -4k) were the greatest detractors.

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture and positive alpha against the ASX200 but not against the hedge fund index nor the MSCI. We have a higher Sharpe Index than the ASX200. We are performing more than 3% per annum worse than the average hedge fund levered 1.76 times. Hedge funds have been doing well in recent years.

We moved towards our target allocation mainly by reducing exposure to hedge funds and gold. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition, we made the following investment moves this month:

  • We received the payout from the sale of Gargantua.
  • I sold 5k shares of Cadence Capital (CDM.AX) to get some cash.
  • I sold 11k shares of Regal Funds (RF1.AX) that I bought in September.
  • I sold 1000 shares of PMGOLD (PMGOLD.AX) as the Australian Dollar gold price peaked a little. I'm now feeling that we are at a much more comfortable debt level in our margin accounts given the rise in interest rates and volatility.

Saturday, October 08, 2022

September 2022 Report

In September the stock markets again fell sharply and the US Dollar rose. The MSCI World Index (USD gross) lost 9.53%, the S&P 500 9.21% in USD terms, and the ASX 200 6.14% in AUD terms. All these are total returns including dividends. The Australian Dollar fell from USD 0.6855 to USD 0.6399 and even fell against the Pound. We lost 1.74% in Australian Dollar terms or 8.28% in US Dollar terms. The target portfolio lost 1.28% in Australian Dollar terms and the HFRI hedge fund index lost 2.27% in US Dollar terms. So, we out-performed the stock market indices but not these alternative benchmarks.

Here is a report on the performance of investments by asset class: 

The asset class returns are in currency neutral returns as the rate of return on gross assets. I have added in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return.

Only gold had a positive return and that was only because of the fall in the Australian Dollar - we hold our gold mostly in the ASX listed PMGOLD ETF. The Australian Dollar was the biggest  positive contributor to performance measured in Australian Dollars and hedge funds were the biggest detractor, though Rest of World Stocks had the worst rate of return.

Things that worked well this month:

  • After gold (AUD 13k), Regal Funds (RF1.AX) gained 10k, Winton Global Alpha 9k, and Aura VF2 8k.

What really didn't work:

  • Tribeca Global Resources lost AUD 28k, followed by Australian Dollar Futures lost 21k, and Unisuper at-17k.

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture and positive alpha against the ASX200 but not against the hedge fund index nor the MSCI. Compared to the ASX200, our rate of return has been almost the same, but our volatility has been almost 5% lower. We are performing almost 4% per annum worse than the average hedge fund levered 1.76 times. Hedge funds have been doing well in recent years.

We moved towards our target allocation. Our actual allocation currently looks like this:

 

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition we made the following investment moves this month:

  • I sold my holding of 10k Pendal shares (PDL.AX). Perpetual, which is taking over Pendal seems to continue to sink in price since the merger was announced.
  • I participated in the Regal Investment Partners (RPL.AX) rights issue.
  • I did some trading of Regal Funds (RF1.AX). It is tending to fluctuate around the NAV.
  • I shifted another AUD 25k from Aspect Diversified Futures Wholesale to First Sentier Developing Companies on the Colonial First State platform and then sold and withdrew the rest of our holding to reduce debt.
  • I sold 20k Cadence (CDM.AX) shares to increase cash in our SMSF brokerage account.
  • I did a quick Australian Dollar Futures trade, which didn't work out well.

Sunday, September 04, 2022

August 2022 Report

August was a mixed month. The MSCI World Index (USD gross) lost by 3.64% and the S&P 500 lost 4.08% in USD terms, but the ASX 200 gained 1.43% in AUD terms. All these are total returns including dividends. The Australian Dollar fell from USD 0.6968 to USD 0.6855 but it rose against the Pound from one Pound buying AUD 1.7430 to AUD 1.6958. We gained 0.25% in Australian Dollar terms but lost 1.38% in US Dollar terms. The target portfolio lost 0.71% in Australian Dollar terms and the HFRI hedge fund index rose 0.50% in US Dollar terms. So, we out-performed three benchmarks and under-performed two.

Here is a report on the performance of investments by asset class: 

The asset class returns are in currency neutral returns as the rate of return on gross assets. I have added in the contributions of leverage and other costs and the Australian Dollar to the AUD net worth return.

Hedge funds were the biggest contributor to performance followed by futures, which had the strongest return. US stocks were the worst performer followed by gold and rest of the world stocks.

Things that worked well this month:

  • Pershing Square Holdings was the best performer (AUD 11k) followed by Aspect Diversified Futures (10k) and Winton Global Alpha (8k).

What really didn't work:

  • Australian Dollar Futures lost AUD 7k.

The investment performance statistics for the last five years are: 

The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The following four lines compare performance against each of the three indices over the last 60 months. The final three rows report the performance of the three indices themselves. We show the desired asymmetric capture and positive alpha against the ASX200 but not against the hedge fund index nor the MSCI. Compared to the ASX200, our rate of return has only been 0.6% lower, but our volatility has been 5% lower. We are performing 2% per annum worse than the average hedge fund levered 1.7 times.

We moved a bit away from our target allocation. Our actual allocation currently looks like this:

About 70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition we made the following investment moves this month:

  • I bought AUD 75k of units in the Aspect Diversified Futures Fund (Class A). This cash came from the redemption of Pershing Square Tontine Holdings. 
  • I sold AUD 25k of the First Choice Wholesale version of this fund and bought units of First Sentier Developing Companies instead.
  • I switched about USD 17k from the TIAA Real Estate Fund to the TIAA Social Choice Fund (a balanced fund).
  • I traded 10k shares of Regal Funds (RF1.AX) a couple of times.
  • I invested USD 2.5k in a start-up offered by the Unpopular Ventures syndicate. 
  • I sold 12.5k shares of WAM Leaders (WLE.AX) to fund venture capital investments.
  • I sold 3k shares of Ruffer Investment Company (RICA.L) for the same purpose. 
  • We received the payout from the sale of Lured.

Saturday, August 06, 2022

June 2022 Report

With the final private asset valuations complete, I am ready to present the June accounts. I needn't have waited, as the share price of Aura VF1 only rose by one cent and Aura VF2's share price was constant.

World markets fell sharply with the MSCI World Index (USD gross) falling by 8.39% and the S&P 500 by 8.25%. The ASX 200 fell 7.72%. All these are total returns including dividends. The Australian Dollar fell from USD 0.7177 to USD 0.6900 increasing Australian Dollar returns and reducing USD returns. We lost 5.82% in Australian Dollar terms or 9.46% in US Dollar terms. The target portfolio lost 2.42% in Australian Dollar terms and the HFRI hedge fund index lost 3.08% in US Dollar terms. So, we under-performed all benchmarks apart from the ASX.

Here is a report on the performance of investments by asset class (currency neutral returns in terms of gross assets): 

Hedge funds were the worst drag on performance followed by leverage. Only gold and the Australian Dollar contributed positive returns. The total benefit of the fall in the Australian Dollar was greater as many foreign assets are denominated in Australian Dollars. This includes gold which we invest in through an Australian ETF PMGOLD.AX.

Things that worked well this month:

  • Gold was the top performer (AUD 13k) followed by the China Fund (CHN) (9k), Winton Global Alpha (5k), and Aspect Diversified Futures (4k).

What really didn't work:

  • Tribeca Global Resources (TGF.AX) lost an incredible AUD 86k :(. Regal Funds followed with -36k and PSSAP rounded out the bottom three with -18k.

We moved a bit nearer to our target allocation. Our actual allocation currently looks like this:

70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition we made the following investment moves this month:

  • I bought 5,000 shares of Regal Partners (RPL.AX). So far, this looks like a mistake.
  • I bought 20,000 shares of Pengana Private Equity (PE1.AX).
  • I bought 2,000 shares of Regal Funds (RF1.AX).
  • I sold 2,000 shares of PMGOLD.AX, a gold ETF. I'm beginning to feel over-stretched. This move reduced our leverage a bit and reduced our most expensive debt (CommSec margin loan). It also pushed our gold allocation back to 10% of gross assets.
  • I sold a net 988 shares of WAR. I moved the rest of the position from one account to another to avoid a margin call.

Wednesday, August 03, 2022

July 2022 Report

July was a reversal of June. The S&P500 gained more than it lost in the previous month and gold fell more than it rose in the previous month. Investors seem to think that the Federal Reserve will raise interest rates by less than originally expected. The MSCI World Index (USD gross) rose by 7.02%, the S&P 500 by 9.22%, and the ASX 200 by 5.77%. All these are total returns including dividends. The Australian Dollar rose from USD 0.6900 to USD 0.6968 increasing Australian Dollar returns and reducing USD returns. We gained 4.11% in Australian Dollar terms or 5.13% in US Dollar terms. The target portfolio gained 3.75% in Australian Dollar terms and the HFRI hedge fund index was up only 1.65% in US Dollar terms. So, we out-performed the latter two benchmarks but under-performed the stock indices. The AUD return for the month is more than what would be expected historically given the ASX 200 performance for the month.

Here is a report on the performance of investments by asset class:

The asset class returns are in currency neutral returns as the rate of return on gross assets. I have for the first time added in the contributions of leverage and the Australian Dollar to the AUD net worth return.

Hedge funds were the biggest contributor to performance while Australian small cap had the best return. Gold was the worst performer and a significant detractor. Rest of the World stocks had a relatively poor performance because of our weighting to the China Fund.

Things that worked well this month:

  • Regal Funds was the best performer (AUD 25k) followed by Pershing Square Holdings (18k), Tribeca Global Resources (18k), and another seven investments that gained more than AUD 10k.

What really didn't work:

  • Gold was the worst performer (-24k) followed by the China Fund (-9k) and Winton Global Alpha (-5k). Only six investments lost money while 29 gained.

The investment performance statistics for the last five years are: 


The first three rows are our unadjusted performance numbers in US and Australian dollar terms. The following four lines compare performance against each of the three indices over the last 60 months. This month, I have added another three rows to report the performance of the three indices themselves. We show the desired asymmetric capture and positive alpha against the ASX200 but not against the hedge fund index and not really against the MSCI. Compared to the ASX200 our rate of return has only been 0.6% lower but our volatility has been 5% lower.

We are performing 2% per annum worse than the average hedge fund levered 1.7 times. I'm not sure why this alpha has deteriorated sharply recently. July 2017, which was dropped from the estimation this month, was a good month for hedge funds but both June and July 2017 were particularly good months for us in USD terms as the Australian Dollar rose sharply.

We moved a bit away from our target allocation. This was mainly because of the redemption of Pershing Square Tontine Holdings that reduced our private equity allocation. Our actual allocation currently looks like this:

70% of our portfolio is in what are often considered to be alternative assets: real estate, art, hedge funds, private equity, gold, and futures. A lot of these are listed investments or investments with daily, monthly, or quarterly liquidity, so our portfolio is not as illiquid as you might think.

We receive employer contributions to superannuation every two weeks. We are now contributing USD 10k each quarter to Unpopular Ventures Rolling Fund and less frequently there will be capital calls from Aura Venture Fund II. In addition we made the following investment moves this month:

  • I sold 4,000 shares of WAM Leaders to get some cash. 
  • I made an AUD 20k concessional superannuation contribution for Moominmama. 
  • We combined these to start an account at Colonial First State for the SMSF investing in Aspect Diversified Futures with an initial AUD 25k (the minimum investment for Class A shares).
  • As mentioned above, PSTH returned the cash to shareholders. There is a placeholder position still in our account which might turn into SPAR warrants at some point.
  • I bought a net AUD 75k, mainly with the US Dollars from PSTH.
  • I invested around AUD 10k in 64 Devonshire Road, Rossmore, NSW.
  • I bought 1,250 PMGOLD shares (12.5 ounces of gold).
  • I bought 3,000 more shares in Pendal (PDL.AX), when it was announced that merger talks were back on.

Sunday, July 10, 2022

Portfolio Planning

I won't post June accounts for quite a while. There doesn't seem much point until we have all valuations for private assets for the end of the financial year and that won't happen till some time in August probably.

I did a bit of a portfolio planning exercise again with some moves planned. I tweaked the portfolio allocation a little as a result to meet the various constraints. Target allocation to Australian large cap is down from 8% to 7%, hedge fund allocation down from 25% to 24% and bonds and futures both up from 5% to 6%. Other allocations remain unchanged (real assets 15%, private equity 15%, international shares 11%, gold 10%, and cash 1%). Back in 2017, our Australian large cap allocation was 35-36%!

In theory, the new allocation does increase the historical portfolio Sharpe ratio. 

So here is the current allocation where I break down by asset class and type of holding:

You are going to need to click on this to see any detail. The names at the bottom are most of the relevant investments in that category. Employer super includes my US retirement account as well. I originally developed this spreadsheet when we were planning the SMSF. Then the future allocation tries to move more towards the long run allocation while taking into account the amount of money in each pot and what the employer super is invested in etc.

It also reflects that we are probably going to get the cash back from our investment in PSTH, which is then reinvested in the SMSF. I want to move my holding of Aspect Diversified Futures into the SMSF  I will sell and buy again rather than actually move it as I plan to buy a class with lower fees. With the proceeds from selling Aspect we invest in Australian small cap and international shares. We then use the proceeds from PSTH to buy Aspect in the super fund. Plus a $20k concessional contribution for Moominmama I just made. Otherwise, the allocation says we need to increase holdings of real assets outside of super a lot. I don't know what those investments would be...