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Absolute Return

Update 9th of December: The absolute return sector should have delivered on its promises to perform in all market conditions during a 6 month period where the FTSE 100 has fell by 6.34%. However, if you sort the table by ‘6 month cumulative value’ and order by ‘Best Performing’ you can see that a number of funds lost more than the index.

Absolute return funds derive their growth from a range of different strategies. Some linked to equities, others to bonds, and others to a mix of assets and strategies. While this may sound straightforward, their use of derivatives can sharply skew the risk and reward profile which makes tracking them difficult for investors and advisers. Investors must engage brain when investing in this sector.
 

To highlight this point the CF Odey UK Absolute Return which focuses on the UK stock market has returned -10.82% over 6 months. This is appalling. Similarly other funds with an equity bias such as Blackrock UK Absolute Alpha (-4.43%) performed badly. But the equity rally in October masks a multitude of sins. 

Jupiter Absolute Return resurgence in form (due to an exposure to investment grade bonds and gold) has regained momentum with the fund ranking 3rd over 1 month.

Our regular pick Insight Absolute Insight have lost some ground against its peers but the fund has very low volatility and is a reasonable alternative for those wanting out of cash. It is a mixed asset fund (not equities like Cazenove or Newton Real Return) which should perform well when markets are volatile.
 

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Growth (%)
1 Month 6 Month 1 Year Monthly risk
Fund name Value Rank Value Rank Value Rank Value Rank
Baring Absolute Return Global Bond TR in GB -0.08 16 -8.47 54 -10.32 49 4.98 31
BlackRock Absolute Return Bond TR in GB 0 13 0 0 0 0 0 0
BlackRock European Absolute Alpha TR in GB 2.96 1 8.14 4 5.9 7 1.22 10
BlackRock UK Absolute Alpha TR in GB -0.95 47 -4.11 43 -6.75 45 1.99 18
Cazenove Absolute UK Dynamic TR in GB -1.1 48 -3.74 41 9.52 2 4.13 27
Cazenove UK Absolute Target TR in GB -0.15 21 4.12 7 9.41 3 3.49 24
CF Absolute Return Cautious Multi Asset TR in GB -2.02 59 -5.38 46 -10.56 51 6.1 34
CF Eclectica Absolute Macro TR in GB 0.83 5 7.05 5 11.1 1 0 0
CF Odey UK Absolute Return TR in GB -2.15 61 -11.02 55 3.25 11 4.63 29
CF Ruffer Absolute Return TR in GB -0.86 46 -0.37 15 -0.27 29 0 0
CF Turcan Connell Absolute Return Portfolio TR in GB -0.66 41 -6.82 52 -7.15 46 0 0
EFA AR Diversity Strategy Portfolio TR in GB 0.35 8 0 0 0 0 0 0
EFA AR Multi Asset Income Portfolio TR in GB -0.72 42 0 0 0 0 0 0
EFA OPM Diversified Target Return TR in GB -0.25 26 -5.85 48 0 0 0 0
Elite Global Trend TR in GB -1.22 50 0 0 0 0 0 0
Elite LJ Absolute Return Portfolio TR in GB -0.44 32 0 0 0 0 0 0
Henderson Absolute Return Bond TR in GB 0.19 10 -1.23 21 0.58 19 0 0
Henderson Credit Alpha TR in GB 0 13 -1.7 25 1.19 15 0.82 3
Henderson Emerging Market Debt Absolute Return TR in GB -0.08 17 -0.47 16 -0.6 32 1.35 11
Henderson European Absolute Return TR in GB -0.29 28 -0.35 14 -2.2 37 1.76 14
Henderson Japan Absolute Return TR in GB -0.48 35 -2.17 29 -0.49 31 0 0
Henderson MultiManager Absolute Return TR in GB -0.28 27 -1.92 27 -0.37 30 1.14 9
Henderson UK Absolute Return TR in GB -0.38 31 -2.07 28 -0.19 28 1.85 15
IFDS IM CAF Alternative Strategies TR in GB -0.5 36 -0.29 13 0 0 0 0
IFDS IM Octopus Absolute European TR in GB -1.47 53 8.28 3 4.08 9 0 0
IFDS IM Octopus Alternative Strategies TR in GB -0.52 37 -0.48 17 0.2 22 0.89 5
IFSL Blacksquare Diversified Absolute Return TR in GB -1.73 55 -12.33 56 0 0 0 0
IFSL Blacksquare Multi-Manager Absolute Return TR in GB -1.66 54 -2.22 30 -3.25 41 0 0
Ignis Argonaut European Absolute Return TR in GB -1.31 52 2.62 11 7.84 6 4.58 28
IM Octopus Global Strategies TR in GB -0.04 15 0 0 0 0 0 0
Insight Absolute Insight TR in GB -0.57 39 -2.54 32 0.33 21 0.66 1
Insight Diversified Target Return TR in GB -0.36 30 -4.17 45 -4 43 3.9 26
Investec Target Return TR in GB -0.09 19 -3.45 39 -3.87 42 1.12 8
JPM Global Equity Absolute Alpha TR in GB -0.12 20 0 0 0 0 0 0
JPM Highbridge Statistical Market Neutral TR in GB 0.8 6 -1.08 19 0.8 18 0 0
Jupiter Absolute Return TR in GB 1.39 3 5.15 6 0.82 17 3.12 20
Kames UK Equity Absolute Return TR in GB 0.09 12 3.41 8 3.56 10 0 0
L&G European Absolute TR in GB -4.2 65 -14.1 57 -10.61 52 0 0
L&G UK Absolute TR in GB -1.87 56 -1.82 26 2.68 12 0 0
Liontrust European Absolute Return TR in GB -0.61 40 8.52 1 8.15 5 2.53 19
MFM CPI Defensive Managed TR in GB -2.44 63 -1.28 22 2.12 13 0.74 2
Neptune Global Long/Short Sector TR in GB -1.91 57 0 0 0 0 0 0
Newton Real Return TR in GB -0.45 33 -1.34 23 0.08 25 4.74 30
Octopus Investments CF Octopus Absolute UK Equity TR in GB 2.66 2 8.4 2 8.38 4 5.9 33
PFS icf Absolute Return Portfolio TR in GB -0.83 45 -3.44 38 -2.47 38 0 0
Premier Defensive Growth TR in GB -0.18 24 -0.53 18 0 0 0 0
S&W Saltus Multi Asset Class TR in GB -1.2 49 -5.64 47 -5.07 44 1.88 16
S&W Saltus Wealth TR in GB -1.24 51 -7.71 53 -7.22 47 0 0
S&W The Tenax TR in GB -0.09 18 -3.91 42 -1.62 36 1.1 7
Schroder Absolute Return Bond TR in GB 0.2 9 -3.22 37 -2.75 40 1.91 17
Scot Wid HIFML Absolute Return TR in GB -0.46 34 -3.02 36 0 26 0.85 4
SJP UK Absolute Return TR in GB -0.74 43 -3.73 40 0 0 0 0
Skandia Alternative Investments TR in GB -0.82 44 -4.11 44 -2.57 39 3.78 25
Stan Life Inv Global Absolute Return Strategies TR in GB 0.1 11 1.78 12 1.34 14 3.13 21
SVM UK Absolute Alpha TR in GB -3.33 64 -2.82 34 -10.47 50 5.09 32
SWIP Absolute Return Bond TR in GB -0.18 23 -1.23 20 0.09 24 0.89 6
SWIP Euro Absolute Return TR in GB -1.94 58 -5.86 49 -0.81 34 0 0
Thesis Cherwell TR in GB -0.55 38 -2.38 31 0 26 3.15 22
Threadneedle Absolute Return Bond TR in GB -0.17 22 3.37 9 1.15 16 1.42 12
Threadneedle Credit Opportunities TR in GB 1.01 4 -2.99 35 -0.81 33 1.72 13
Threadneedle Target Return Core TR in GB -2.15 62 -2.59 33 0.5 20 0 0
Threadneedle Target Return TR in GB -2.12 60 -1.59 24 0.16 23 0 0
Threadneedle UK Absolute Alpha TR in GB 0.77 7 3.15 10 4.65 8 0 0
Way Absolute Return Portfolio TR in GB -0.32 29 -5.9 50 -1.49 35 0 0

 




Dennehy Weller & Co Ltd, 3 High Street, Chislehurst, Kent, BR7 5AB. Tel: 020 8467 1666. Authorised and regulated by the Financial Services Authority (http://www.fsa.gov.uk/register/home.do). FSA Registration No: 114360. Registered in England & Wales, No. 1476316. Registered Office: 303 High Street, Orpington, Kent, BR6 0NN. The information contained within this site is subject to the UK regulatory regime and is therefore targeted primarily at investors based in the UK.