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.