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Defensive assets shine on the back of escalating investor fear
In this month’s Cross Asset Review, we look at the performance of various asset classes in August 2019 and what this means for investors. In this edition, we introduce Global and Australian equity volatility indices to track market risk appetite and investor...
Woodford Crisis – how can investors use forensic analysis to identify important redflags?
Introduction In this paper, we provide an overview of the issues that plaqued Woodford, a UK-based equity investment manager. Using forensic portfolio analysis, we also show how investors could have detected some of the redflags ahead of the blow-up. By regularly...
Global Fixed Income Market Update
Key Insights Emerging market displays a positive outlook for investors as EM bonds continue to exhibit strong performance and growth. Continued dispersion in annualised returns indicates opportunities for investors to take advantage of thorough active management....
Gold and AREITs top the cross-asset performance tables
In this month’s Cross Asset Review produced by Foresight Analytics, we look at the performance of various asset classes in the last Financial Year. Central Bank policy pivot was the single largest factor in our opinion that defined the cross-sectional variation of...
What is the latest allocation structure and preference of the Australian Superannuation funds?
Representing 80% of the $3.6 trillion Australian Managed Fund Industry assets, the Australian Superannuation funds have become highly influential in global capital markets. Their asset allocation trends and preferences have important implications for other asset...
Weak fundamentals and rising geopolitical-trade tensions continue to weigh on AUD
Key Insights AUD index against major trading partners shows a clear negative trend for currency since its peak in 2012. Over the past 12 months, AUD has weakened against most major currencies, the largest weakness was noted against the Yen and Swiss Franc. AUD...
Australian risk & defensive assets outperform despite the global risk-off move in May 2019
In this month’s Cross Asset Review produced by Foresight Analytics, we look at the outperformance of domestic assets despite loses in global equity markets and rising uncertainty around global economic outlook. Gold, Bond assets and Bond proxies (AREIT/GREIT) also...
Elevated dispersion and volatility due to rising geopolitical and policy risks make a strong case for active management in Emerging Markets
Key insights Global emerging markets have provided very strong returns for long term investors. However, investors have to be prepared to accept higher volatility over shorter periods of 3 years and less. Significant performance dispersions across regions, countries,...
AUD weakness underpinned by soft fundamentals, the case for hedging foreign currency exposure remains weak
Key Insights AUD index against major trading partners shows clear negative trend for currency since its peak in 2012. Over the past 12 months, AUD has weakened against most major currencies, largest weakness was noted against the USD. AUD weakness is also evident over...
Longer term outlook for India remains highly positive, an expected Modi win bodes well for secular economic and capital market outlook
Key Insights The USD$2.6 trillion Indian economy is expected to grow by 7% in 2019, placing it amongst the fastest growing economies in the world. India’s economic growth is underpinned by structural drivers of private consumption, fixed asset investments and public...
April 2019 Cross Asset Performance Report: Risk assets deliver double digit returns so far in 2019
In the latest cross-asset review produced by Foresight analyst, we highlight 5 key themes. (You may check the complete report here.) 1. Risk assets continue to advance, Global unhedged equities lead After a strong first quarter performance, risk assets continued to...
Case study: Geospatial analysis based on consumer demand factors and demographics
A high-end furniture company requested geospatial analysis to identify the most profitable Australian postcodes and local government areas (LGA) to establish a furniture showroom. As a luxury brand, the company’s target market is high-income, high-wealth households...
Case study: Factor model for fund performance evaluation
Scenario A wealth advisory client desired an analytical tool and models to evaluate the performance of their monitored Australian equity, Global equity, and Emerging market equity funds. The client requested Foresight Analytics to build robust factor models that can...
Q1 2019 Cross Asset Performance Report: Risk assets and Bond Proxies rebound very strongly after Q4-2018 sell-off
In the latest cross-asset review produced by Foresight analyst, we highlight 4 key themes. Risk assets quickly recover their Q418 losses, Small and mid-caps lead After a notable volatility and drawdown of capital from growth assets in Q32018, markets rallied...
2018 Global Emerging Market Review – Factor rotation, dispersion and rising volatility create opportunities for active investors
Global emerging markets delivered -5.6% (AUD) in 2018, reflecting a weaker second half. Significant dispersions were noted across regions, countries, sectors and styles. Latin America was the only region to deliver positive returns in 2018 whilst all other regions...
Case Study: Predictive modelling (Foreign Currency Market)
A wealth advisory client needed evidence-based insights to underpin their currency hedging activities and strategy. The legacy process was heavily influenced by qualitative analysis and broad economic knowledge. The client requested Foresight to build a robust quantitative model to underpin their FX strategy and hedging policies.
Construct a Quant screening tool to scan global market for manager ideas
An Australian based distribution firm that partners with and distribute boutique investment products wanted to build a quant tool that would identify good managers that had greater than 3-year track-record but low assets under management.
Foresight ASX Ex-Top20 Report
Foresight ASX Small Cap Report
Foresight Emerging Market Report
Foresight Global Small Cap Report
Foresight Australian Mid Cap Report
Foresight Landscape Report – Global Mid Small Cap Funds in Australia – 31.03.2017
Foresight’s latest Australian Mid Cap Report shows this segment of the market offers strong growth opportunities for active stock pickers. The attractive growth profile of mid-caps has been steadily improving since 2013 ..
Foresight Landscape Report – Emerging Market Funds in Australia – 31.03.2017
In the latest Foresight landscape report on global emerging markets, we showcase the success of active managers, market share of key players, ranking of funds by flows, advanced performance statistics and distribution of fees charged. Our analyses show alpha…
Foresight Landscape Report – Emerging Market Funds in Australia – 31.03.2017
Key Insights UN PRI and UN SDGs provide strong encouragement and a defined framework for investors to assess impacts of their investment decisions including carbon emissions and its impact on climate. Australia has the highest per capita greenhouse gas emissions in...
Foresight Global Small Cap Factor Report
Gobal small cap represents a strong growth opportunity within the global equity markets according to our latest market factor report. This attribute is driven by several factors including 5-year earnings growth (4.8 standard deviations higher), sales growth (8.4 standard deviations higher) and IBES earnings long-term growth (8 standard deviations higher)….
Foresight Australian Ex-Top 20 Factor Report
The Australian X20 (outside top 20 companies by market cap) segment of the market represents a strong value and growth (GARP) opportunity according to our latest market factor report. Value factors that stand out relative to the broader market include shareholder yield (3 standard deviations higher,) EBITDA to EV (2 standard deviations higher) and book yield (1.6 standard deviations higher).
Foresight Australian Small Cap Factor Report
Australian small caps (X100 stocks by market cap) represent a strong growth opportunity in the Australian share market according to our latest factor report. Importantly, the growth drivers in this segment of the market are not financially levered. Valuation on the…
Factor Rotations: Evidence from global equity markets
Developed Markets There has been quite a bit of style rotation going on in global markets since 2016. After a strong relative performance from value factors in 2016, growth factors have been the driving force in developed markets so far in 2017. Return premiums have…
Industry Intelligence: Australian Funds Management Industry
Australian funds management industry experienced an increase by $24.5 billion to $1.68 trillion in the first quarter of 2017. Total assets under management for discrete mandates grew significantly, accounting for the biggest share of the market. Meanwhile, the…
Smart beta may not be so smart: risk diversification or risk amplification
Over the last few years, we have witnessed the proliferation of smart-beta and factor-tilting strategies. These strategies can play an important role in portfolios but investors need to understand the nature of risk introduced by these strategies. Our analysis of a…
Active Managers Deliver: Evidence from the Australian Micro-Cap Sector
Active Managers Deliver: Evidence from the Australian Micro-Cap Sector Foresight’s latest analysis of the Australian equity strategies reveals some interesting insights. While the big-caps have done very well over the past 10 years, Micro and Small caps have delivered…
Global Equity Market Environment Review
Our latest review of the global equity market shows continued leadership from emerging and frontier markets. Eastern European markets such as Bulgaria, Austria and Poland delivered stellar returns in excess of 40% over the past 12 months. From a global sector…
Super Industry Intelligence: ATO regulated SMSFs continue to outpace system growth
Based on the ABS and ATO data-sets, the Australian managed funds industry represented $2.8 trillion assets at 31st March 2017. This was almost 9% higher than the same period last year. Superannuation segment still took the biggest share with asset under management of…
FAANGs and Fundamentals – Part 1
A lot has been written about FAANGs in recent times. These fast-growth companies have outperformed their industry peers and the broader market in recent years as their market capitalisations have soared. They’ve led mega-caps to outperform and masked much of the…
Emerging market sweet spot: high returns, low volatility and falling correlations.
By Jay Kumar and Frederick Do, September 2017. Over a 12-month period to 31 August 2017, global emerging markets equity returned 16.9%, placing it amongst the highest returning market segments in the world. The spectacular return was driven by Asian region with 18.9%,…
How to reduce fund selling, hiring and firing mistakes by using factor insights?
By Jay Kumar, September 2017. In a crowded market of active management, investors need to focus on unique drivers of alpha and assess their sustainability through a complete investment cycle. The recent proliferation of passive ETFs, fundamental-indexing and…
Realised factor premiums much stronger in Emerging markets
Global Developed markets experienced notable reversals in factor premiums since December 2016. So far in 2017, Value style factors recorded negative premiums while Growth and Momentum style factors delivered positive premiums. The YTD factor premium experience is…
Do active managers in Emerging Markets add Value?
Key Points Emerging Markets (EM) have been outperforming Developed Markets (DM) and this trend is likely to continue given the fundamental backdrop. Factor premiums across EM have been very strong and broad-based. Intra-market correlations between EM countries have…
Global Listed Infrastructure: Active Strategies to offer better downside protection going forward
Global listed infrastructure investors have earned very healthy returns over the past decade. Despite increasing allocations in the past decade, the asset class is still under owned by many Superannuation funds. Strong secular returns have been underpinned by earnings…
Growth, Quality and Momentum factors drive world equity market returns
Global Equity – Developed Markets. Growth momentum and quality factor premiums highly persistent over 3, 6 and 12 months Value factors underperform, led by dividend yield and earnings yield Medium-term Momentum recorded the highest positive premium globally over the…
Global Small Caps provide a rich source of idiosyncratic growth for global equity portfolios
Despite the high certainty of global small caps out-performing global large caps (aka the ‘small cap effect’) over the long term, Australian institutional and wholesale investors have been reluctant to allocate equity capital outside the global large caps and global…
Growth assets outperform, weak Australian dollar boosts unhedged asset returns
Key Insights UN PRI and UN SDGs provide strong encouragement and a defined framework for investors to assess impacts of their investment decisions including carbon emissions and its impact on climate. Australia has the highest per capita greenhouse gas emissions in…
GREITs Landscape Review – Outlook for institutional allocation positive but caution warranted on active managers
Key Insights Superannuation asset allocation towards listed and unlisted real estate has steadily increased since 2013. Retail funds have the highest exposure to GREITs, aging demographic profiles of several non- retail funds is expected to increase the demand for…
Carbon Scorecard for Global Equity Portfolios
Key Insights UN PRI and UN SDGs provide strong encouragement and a defined framework for investors to assess impacts of their investment decisions including carbon emissions and its impact on climate. Australia has the highest per capita greenhouse gas emissions in…