Performance update - April 2021

The Australian strategy delivered a return of 9.4% in the month of April, above the benchmark return (3.9%), following a period of under-performance in the March quarter. The performance of the strategy’s largest positions in April were as follows: Reece (18.3%), Fortescue Metals (13.0%), Afterpay (15.9%), Wisetch Global (8.2%) and Nearmap (5.5%). The global strategy earned a return of 4.5% (AUD) for the month, above the benchmark return (3.2%). The strategy’s largest positions include MarketAxess, DR Horton, Fraser Group, Masimo Corporation, Starbucks and Microsoft.

The decline in aggregate market volatility in recent months to close to historical lows has concealed cross-sectional variation in single stock volatility. In this insight, we discuss the findings from a model of stock volatility we have developed for stocks listed in the ASX200. We find that small value stocks are associated with high volatility and provide a list of the stocks with the highest and lowest residual volatility respectively.