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  •  NMRQL Sanlam Collective Investments Balanced Fund (A)
  •   PRINT PAGE

1.65  /  0.17%

948.4

NAV on 2019/01/23
NAV on 2019/01/22 946.75
52 week high on 2018/01/25 1101.93
52 week low on 2018/12/27 921.02
Total Expense Ratio on 2018/09/30 1.81
Total Expense Ratio (performance fee) on 2018/09/30 0.34
NAV Incl Dividends
1 month change 2.32% 2.6%
3 month change -1.04% -0.77%
6 month change 0.04% 0.31%
1 year change -12.33% -11.32%
5 year change 0% 0%
10 year change 0% 0%
Price data is updated once a day.
  • Sectoral allocations
Basic Materials 2.09 4.47%
Derivatives 3.87 8.29%
Financials 0.26 0.56%
Liquid Assets 10.51 22.51%
Money Market 19.05 40.78%
Oil & Gas 0.12 0.25%
Specialist Securities 10.79 23.10%
Technology 0.02 0.05%
  • Top five holdings
MM-04MONTH 5.10 10.92%
MM-08MONTH 5.01 10.74%
MM-02MONTH 4.95 10.6%
MM-01MONTH 3.98 8.53%
FUTURES M 3.87 8.29%
  • Performance against peers
  • Fund data  
Management company:
NMRQL Research (Pty) Ltd.
Formation date:
2017/10/02
ISIN code:
ZAE000248944
Short name:
U-NMRQLF
Risk:
Unknown
Sector:
South African--Multi Asset--High Equity
Benchmark:
Average of the Asisa South African Multi Asset High Equity Category
Contact details

Email
info@nmrql.com

Website
https://nmrql.com/research/

Telephone
021 001 3089

  • Fund management  
Thomas Schlebusch
Thomas has almost 17 years of experience in the asset management and hedge fund industry. In 1999, Thomas joined Sanlam Investments where he started his career in finance as a quantitative analyst in the bond team, later managing several of the absolute return funds. During his tenure, the Sanlam Inflation linked fund achieved top quartile performance on a consistent basis. In 2007 Thomas was appointed as CIO of one of the largest hedge fund of funds businesses in SA, Blue Ink Investments, where he became CEO in 2010. In 2012 Thomas was appointed the CIO of Sanlam International Investments, before co-founding NMRQL in 2015.
Stuart Gordon Reid
Stuart has 4 years of experience working as a quantitative analyst. He wants to bridge the gap between machine learning and investment management. He started his career in 2013 as a Management Consultant at KPMG. Whilst in this role he worked on a number of audit and program assurance projects in South African banks. Stuart was shortly promoted to a quantitative analyst in the Financial Risk Management practice at KPMG where he focused on developing derivatives pricing models.In 2014, Stuart joined Old Mutual’s Balance Sheet Management team where he worked on developing pricing models and hedging strategies for embedded derivatives. Stuart joined NMRQL Research in late 2015.


  • Fund manager's comment

NMRQL SCI Balanced - Fund Commentary Sep 2018

2018/12/13 00:00:00
Q3 2018 continued to be characterized by SA and EM equity markets being heavily driven by sentiment around trade-wars between the USA and China. Recent concerns about Italian budget deficit levels and Brexit talks have further added to global “risk off” sentiment.
The South African market was characterized by an equity index that lost more than 3% of its value, a government bond market that gained around 80bpts, both amidst high levels of volatility and a currency (Rand) that lost more than 3% of its value against the dollar.
The JSE factor driven indices for value and growth both ended in negative territory with the value stocks index ending down around 2.7% and the growth stock index down around 4.1%. Further afield the S&P500 index rallied by almost 7.5% over the quarter, but with concerns rising about US interest rate hikes.
Notwithstanding, the NMRQL SCI Balanced fund ended the quarter comfortably in positive territory. This has been thanks to the implementation of several new algorithms that help guide our investment decisions. Our fund considers many different investment factors such as the traditional factor premia (growth, quality, value, profitability, dividends, momentum etc.) as well as a non-traditional set of “Machine Learning” premia. These are combined in a novel way in which we try to forecast what the factors will be that outperform going forward, using some proprietary models.
The NMRQL SCI Balanced fund also celebrates its one-year birthday this month. While the fund has outperformed the All Share equity index over the past 1-year we have fallen short of our peer group benchmark. The improvements we made in July of 2018 has had a positive effect on both our asset allocation (and by definition, diversification) and specifically on our stock selection (and by definition our diversification across equity stock drivers).
Our fund currently has an asset allocation of: 35% Equity Quality, 7% Equity Profitability, and around 18% to a blend of ValueProfitability-Growth-Quality and ML factors. We also have around 14% exposure to offshore equities, 8% in gold and the rest in NCD’s and cash. We have also hedged out a small portion of our equity exposure using an index put structure.
We have also recently been asked why we trade using eCFD’s as opposed to cash equities. Using CFD’s creates the impression that our trading costs as reflected by the TIC are extremely high. This simply has to do with the way that the CIS regulations require our funds to reflect its trading costs. By using cash settled equities our trading costs would be higher than what the net effect is using eCFDs. Using cash settled equities we would incur brokerage, SST and Vat charges, whereas using eCFDs we only incur the brokerage charges. However, in the case of cash settled equities we give the counterparty the cash in return for the stock. In the case of the eCFD we buy the performance of the stock and have to pay a funding charge for that exposure. The upside is however that we still keep our cash on hand and can invest it at a slightly higher rate than the funding charge. Unfortunately, however, the CIS calculation does not allow us to offset the funding charge against the interest earned on the cash investments we have made. Even though the net position often ends up being positive for the fund, again resulting in a lower overall cost of trading for the fund. The performance of the underlying stock exposure is also the same regardless if we had implemented the trade using an eCFD or cash settled equity. While the above is quite simplistic, please feel free to contact us if you would like more information or have questions on this point.
  • Fund focus and objective  
The portfolio will invest in a combination of equities, bond, money market instruments, listed property as well as international equities and fixed interest investments. The portfolio will be broadly diversified across asset classes. Active asset allocation and securities selection appropriate to the needs of moderate investors will be followed. The exposure to equities will not exceed 75%.
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