Perennial adds risk capability to Aussie shares strategies

Dan Bosscher_4
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(Pictured: Dan Bosscher)

Perennial Value Management has built a risk-management capability, which it is offering through a new retail Australian equities trust or as an overlay for its larger institutional clients. The service provides downside protection while allowing the client to remain fully invested in the market.

The culmination of about three years of work, Perennial has come up with a risk-management derivatives strategy which aims to pick market turns within three months of peaks and troughs. The strategy will generally halve the losses in most down markets while providing near-market upside returns.

The firm recruited Dan Bosscher in 2012 to head up the new risk management capability. He had spent the previous 15 years at UBS investment bank as a derivatives market maker and co-head of equity derivatives, ending up managing the Australian piece of the bank’s proprietary global long/short fund.

“I cut my teeth there [at UBS], managing risk over a long time,” he said at the trust’s launch last Friday. Perennial is also in the middle of a planner roadshow for the product.

John Murray, Perennial Value founder and managing director, said Australia had a 15-year bull market until 2007 and people bought into the theory that what mattered most was time in the market rather than market timing.

“We talked to some of our advisors post-GFC and we thought the world had fundamentally changed,” he said. “Many of us had been thinking that there was something dangerous around the corner… but we had to be {almost] fully invested under our contract with clients. So we did a lot of research to come up with something more suitable for many investors.”

Murray, Bosscher and Brian Thomas, the firm’s head of retail funds management, have all provided personal seed funding for the trust.

Thomas said: “There are a lot of ways to protect your capital but this is the only one, we think, which still has the ASX 300 as its benchmark. It protects on the downside while remaining focused on the index and having little cost on the upside.”

He said that recent research by Investment Trends had shown that 91 per cent of planners expected at least two more market crashes in the next 20 years and 64 per cent expected at least three crashes in that time.

Bosscher said that Perennial had embedded a different – risk management – culture into a product. “It’s unusual to see a product targeting the upside as well as protecting on the downside.”

The risk strategy involves primarily the use of put options, for efficiency’s sake, which will kick in when the market is about 5 per cent off the top. It will then protect the portfolio for a further fall totaling up to 20 per cent.

The firm’s research shows that, over the past 20 years, there have been negative periods, using ASX 200 six-monthly rolling returns, 32.6 per cent of the time. Of these negative periods, 90 per cent of market falls were between zero and 20 per cent. Bigger falls than that are very rare and would require much more costly protection to fend against.

In an interesting chart, Perennial shows that staying fully invested over the past 30 years, using the All-Ords accumulation index numbers, would have returned an investor a creditable 11 per cent a year return. If the investor had perfect foresight and was able to pick every peak and trough in that period, the return would have been 20.4 per cent. But if the investor picked the turns within three months of peaks and troughs – either too early or too late – the annual return would have been 16 per cent. This is the difference the new strategy is targeting.

Bosscher and his team take both a top-down and bottom-up approach in assessing their risk signals. At the moment, he says, the risk of a downturn is at about the middle of the range.

Perennial has about $1.7 billion from institutional investors in its flagship large-cap orientated value strategy, on which it can apply the risk management overlay for those clients. It also has a small-cap fund with a bit of capacity left. Generally speaking, larger fiduciaries develop their own risk management strategies using asset allocation tilts across the whole portfolio.

The new trust, called the Perennial Value Wealth Defender Australian Shares Trust – will opportunistically tilt to small-cap value stocks from time to time.

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