Magellan Core ESG Fund
31 May 2024
Key Facts
| Index Used: | All Countries World Index (AUD) | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Equity Long - Large Cap - Global | FUM (millions): | AU$ 16.84m |
| Investment Style: | Blend | Fund Inception Date: | December 2020 |
| Geographic Mandate: | Global | Latest Return Date: | May 2024 |
| Investor Type: | Retail | Status: | Open |
| Minimum Investment: | AU$ 10,000 | Investment Frequency: | Daily |
Manager Details
Magellan was founded in 2006 by Hamish Douglass and Chris Mackay and has offices in Australia, New Zealand and the US. Magellan is a wholly owned subsidiary of Magellan Financial Group, which is one of the top-100 stocks by market value on the ASX.
Strategy Description
The Fund's primary investment objective is to achieve risk-adjusted returns over the medium to long term through investment in a diversified portfolio of companies listed on stock exchanges around the world. This objective incorporates the consideration of ESG factors and the application of our low carbon framework. The Fund's portfolio will comprise 70-90 securities at any one time but will also have some exposure to cash. It is not the Magellan's intention to hedge the foreign currency exposure of the Fund arising from investments in overseas markets. The Fund can use foreign exchange contracts to facilitate settlement of stock purchases. The Fund may also use exchange traded derivatives, in a limited manner, for risk management purposes.
The Fund's primary investment objective is to achieve risk-adjusted returns over the medium to long term through investment in a diversified portfolio of companies listed on stock exchanges around the world. This objective incorporates the consideration of ESG factors and the application of our low carbon framework. The Fund's portfolio will comprise 70-90 securities at any one time but will also have some exposure to cash. It is not the Magellan's intention to hedge the foreign currency exposure of the Fund arising from investments in overseas markets. The Fund can use foreign exchange contracts to facilitate settlement of stock purchases. The Fund may also use exchange traded derivatives, in a limited manner, for risk management purposes.
Fund Fees
| Management Fee: | 0.51% | Performance Fee: | 0% |
| Buy Spread: | 0.1% | Sell spread: | 0.1% |
| High Water Mark: | Hurdle: | N/A |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$ | Trustee/RE: | Magellan Asset Management |
| Administrator: | Magellan Asset Management | Prime Broker: | N/A |
| Custodian: | Northern Trust | Legal: | N/A |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Magellan Core ESG Fund has a track record of 3 years and 5 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has underperformed the All Countries World (AUD) benchmark since inception in January 2021, providing investors with an annualised return of 10.84% compared with the benchmark's return of 12.42% over the same period.
The Manager has delivered these returns with 2.84% more volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 three times over the past three years and which currently sits at 0.68 since inception. The fund has provided positive monthly returns 89% of the time in rising markets and 14% of the time during periods of market decline, contributing to an up-capture ratio since inception of 102% and a down-capture ratio of 112%.
The Magellan Core ESG Fund rose by +0.09% in May, a difference of -1.37% compared with the All Countries World (AUD) benchmark which rose by +1.46%. Over the past 12 months, the fund's best monthly return was +5.32% compared with the benchmark's best return of +5.32%, and its worst monthly return was -5.33% vs the benchmark's worst return over the same period of -3.27%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 5.32 | 4.45 | 0.22 | -3.30 | 0.09 | NA | NA | NA | NA | NA | NA | NA | 6.70 |
| 2023 | 4.15 | -0.18 | 6.77 | 4.67 | -0.01 | 2.35 | 0.93 | 1.63 | -5.33 | 1.10 | 4.72 | 0.75 | 23.17 |
| 2022 | -3.98 | -7.20 | -1.69 | -3.05 | -3.22 | -2.93 | 8.52 | -3.42 | -3.46 | 7.93 | 2.69 | -5.60 | -15.54 |
| 2021 | -3.41 | 1.08 | 5.26 | 5.09 | 0.57 | 5.47 | 5.92 | 1.89 | -3.48 | 2.34 | 2.34 | 2.46 | 28.07 |
Annual Returns
Over the past 12 months, the fund has risen by +13.13% compared with the benchmark which has returned +21.18%, for a difference of -8.05%. Since inception in January 2021, the fund has returned +10.84% per annum, a difference of -1.58% relative to the benchmark which has returned +12.42% on an annualised basis over the same period.
Cumulative Returns
On a cumulative basis (assuming reinvestment of distributions), $100 invested since inception would have become $142. The same amount invested in the benchmark over the same period would have become $149.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 10.33% vs the index's 10.52%. The annualised volatility of the fund's returns since inception in January 2021 is 13.59% vs the index's 10.75%. Over the past 24 and 36 month periods, the fund's returns have had an annualised volatility of 13.59% and 13.85% respectively, higher than the benchmark's annualised volatility over each of those periods; 11.56% (24 months), 11.26% (36 months).
Sharpe Ratio
The fund's Sharpe ratio has ranged from a high of 0.93 for performance over the most recent 24 months to a low of 0.56 over the latest 36 months, and is 0.68 for performance since inception. By contrast, the All Countries World (AUD) Index's Sharpe for performance since January 2021 is 0.97.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in January 2021 in the months where the market was positive, the fund has provided positive returns 89% of the time, contributing to an up-capture ratio for returns since inception of 102.23%. Over all other periods, the fund's up-capture ratio has ranged from a high of 105.51% over the most recent 36 months to a low of 61.93% over the latest 12 months. An up-capture ratio greater than 100% indicates that, on average, the fund has outperformed in the market's positive months.
Performance in Negative Markets
Since inception in January 2021 in the months where the market was negative, the fund has provided positive returns 14% of the time, contributing to a down-capture ratio for returns since inception of 112.25%. Over all other periods, the fund's down-capture ratio has ranged from a high of 112.25% over the most recent 36 months to a low of 68.23% over the latest 12 months. A down-capture ratio less than 100% indicates that, on average, the fund has outperformed in the market's negative months.
Average Return in +ve Market %
Average Return in -ve Market %
Sortino Ratio
The fund has had too few negative returns returns over the past 12 months for a Sortino ratio to be calculated. Over all other periods its Sortino ratio (which excludes volatility in positive months) has ranged from a high of 0 for performance over the most recent 48 months to a low of 0 over the latest 48 months. By contrast, the All Countries World (AUD) Index's Sortino for performance since January 2021 is 1.52.
Drawdown
Over the past 12 months, the fund's largest drawdown was -5.33% vs the index's -6.22%, and since inception in January 2021 the fund's largest drawdown was -20.22% vs the index's maximum drawdown over the same period of -16.02%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Equity Long - Large Cap - Global as of May 2024
The performance of the Magellan Core ESG Fund ranked it in the second quintile for all KPIs except Volatility and Largest Drawdown over 3 years, while over 1 year the fund ranked in the first quintile for Sortino and second quintile for Volatility and Largest Drawdown.
Over the past 12 months, the fund has risen by +13.13% compared with the peer group which has returned an average of +17.29%, for a difference of -4.16%.
The fund's returns over the past 12 months have been achieved with a volatility of 10.33% vs the peer group's average volatility of 10.46%. The annualised volatility of the fund's returns since inception in January 2021 is 13.59% vs the peer group's 11.56%. Over the past 24 and 36 month periods, the fund's returns have had an annualised volatility of 13.59% and 13.85% respectively, higher than the peer group's annualised volatility over each of those periods; 11.99% (24 months), 11.84% (36 months).