Delta Factors is a factor-based tool that helps you analyse managed funds by Understanding Investment Performance Behaviour. It provides detailed time series charts on the universe of all Australian managed funds with track records of greater than 3 years.
Delta Factors is the graphical output of the application of William Sharpe’s Return-Based Style Analysis. Data is provided by Financial Express (Managed Funds), MSCI (Equity Indices), and Bloomberg (Bond Indices). There are two suites of tools:
- Equity Funds, and
- Bond Funds
All analysis is conducted using rolling 36 months (except where indicated … e.g. Search Tool) which minimises the chance of short term assumptions about a managed fund’s performance.
Equity Fund analysis uses the following primary benchmarks provided by MSCI:
- MSCI Australia IMI
- MSCI Australia
- MSCI World
- MSCI ACWI
- MSCI Emerging Markets
In addition to these market benchmarks are the following five factors (applicable to each of the respective markets):
- Value minus Growth (VMG)
- Small minus Large (SMB)
- Momentum
- Quality, and
- Minimum Volatility
Please note, that Momentum, Quality, and Minimum Volatility factors have been adjusted for VMG and SMB factors, such that they are uncorrelated to each other between 2004 to the latst availabel data.
Performance of each of the above factors, and respective market return premium (over RBA Cash) is available and can be found here.
Delta Factors is udpated on a quarterly basis.
Please contact Delta Research & Advisory if you believe you can benefit from a deeper understanding of the investment performance behaviour of all managed funds available in the Australian market. Please note, Delta Research & Advisory also provides customised analytics solutions for deeper understanding of risk and performance behaviour.
