The £27bn Standard Life Global Absolute Return Fund (SLI GARS) has been renowned as a leading absolute return UCITS/mutual fund since its inception in 2008. However, recently its performance reversed from the peak reached in April of 2015. Using SLI GARS’ weekly performance data, we demonstrate how sophisticated factor analysis techniques can provide valuable insights into this fund’s complex global “go anywhere” investment strategy.
Specifically, we use MPI’s patented Dynamic Style Analysis (DSA) technique to capture SLI GARS’ time-varying factor exposure, and show how the fund’s apparent factor exposure moves have contributed to its recent underperformance and may contribute to its performance in the future. Click here to download the PDF.
