Putnam Multi-Asset Absolute Return Fund (Class I)

Seeking positive results with lower volatility over time

Highlights

Objective

The fund seeks to achieve an annual total return that exceeds one-month LIBOR by 7% on an annualised basis over a reasonable period of time (generally at least three years or more) regardless of market conditions, gross of fees.

Strategy and process

  • Dynamic risk allocation: Dynamically allocates between four directional (equity, credit, rates, inflation) and several non-directional strategies.
  • Focus on risk-adjusted return: Shifts both the composition of risk and total level of risk to maximise risk-adjusted return potential.
  • Core or Complement strategy: Can potentially be used as a core strategy to help dampen overall volatility or as a complement to more traditional strategies.

Fund price

Yesterday’s close 52-week high 52-week low
Net asset value $10.74
-0.46% | $-0.05
$10.95
04/09/2019
$9.91
24/12/2018
Historical fund price

Fund facts as of 30/09/2019

Total net assets
$540.81M
Dividend frequency
Annually
Number of holdings
542
Fiscal year-end
June
CUSIP / Fund code
G7304X504 / QA4
Inception date
16/11/2015
Category
Absolute Return
Open to new investors

Net income attributable to Unitholders of Class E Units will be distributed annually. The Fund does not currently intend to distribute net income to Unitholders of the other Classes of Units of the Fund.

Management team

Chief Investment Officer, Global Asset Allocation
Co-Head of Global Asset Allocation
Co-Head of Global Asset Allocation
Portfolio Manager


Literature

Fund documents

Prospectus (PDF)
UK Country Supplement (PDF)
Fact Sheet (PDF)

Performance

  • Total return (%) as of 30/09/2019

  • Annual performance as of 30/09/2019

Annualized Total return (%) as of 30/09/2019

Annualized performance 1 yr. 3 yrs. 5 yrs. Life (inception: 16/11/2015 )
Before sales charge 2.54% 3.09% -- 2.23%
ICE BofAML USD 1-Month LIBOR Index 2.44%1.68%1.12%--

Data is historical. Past performance is not a guarantee of future results. More recent returns may be more or less than those shown. Investment return and principal value will fluctuate, and you may have a gain or a loss when you sell your units. Performance assumes reinvestment of distributions at net asset value (NAV) and reflects fund operating expenses such as management fees but does not account for any taxes or sales charges. The payment of any sales charges will reduce performance. Performance for each class of Units is denominated in the currency of the respective class. 

Performance snapshot

  Before sales charge
1 mt. as of 30/09/2019 -0.18%
YTD as of 14/10/2019 7.18%

Risk-adjusted performance as of 31/08/2019

Sharpe ratio (3 yrs.) 0.45

Volatility as of 31/08/2019

Standard deviation (3 yrs.) 4.29%

The up-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has risen. The ratio is calculated by dividing the manager’s returns by the returns of the index during the up-market, and multiplying that factor by 100. The down-market capture ratio is used to evaluate how well an investment manager performed relative to an index during periods when that index has dropped. The ratio is calculated by dividing the manager’s returns by the returns of the index during the down-market and multiplying that factor by 100.


Holdings

Top 10 holdings as of 31/08/2019

Fnma Fn30 Tba Umbs 03.0000 09/01/2049 7.88%
Fnma Fn30 Tba Umbs 03.5000 09/01/2049 3.21%
Fnma Fn30 Tba Umbs 04.0000 09/01/2049 2.48%
Samsung Engineering 1.35%
Tencent Holdings 0.82%
Alibaba Group Holding 0.79%
Ping An Insurance Group 0.71%
Taiwan Semiconductor 0.61%
China Mobile 0.60%
Gnma Gii30 Tba 04.5000 09/01/2049 0.58%
Top 10 holdings, percent of portfolio 19.03%

Unitholders may obtain more recent information about certain Funds' portfolio holdings from time to time by contacting the Manager. Portfolio holdings information will only be provided for legitimate purposes as determined by the Manager, and will be subject to a reasonable delay intended to protect the Funds.

Portfolio composition as of 31/08/2019

U.S. Treasury/agency 57.70%
U.S. stocks 20.01%
Agency pass-through 13.81%
Commercial MBS 9.16%
Agency CMO 4.45%
Commodities 2.89%
International stocks 1.21%
Emerging-market bonds 1.03%
Asset-backed securities (ABS) 0.46%
Emerging-market stocks -0.25%
High-yield corporate bonds -4.68%
Net cash -5.79%

Fixed income statistics as of 31/08/2019

Average effective maturity 7.58 yrs.
Average effective duration 4.57 yrs.
Average yield to maturity 1.23%
Average coupon 1.31%

Maturity detail as of 31/08/2019

0 - 1 yr. 74.67%
1 - 5 yrs. 20.68%
5 - 10 yrs. 4.43%
10 - 15 yrs. 0.19%
Over 15 yrs. 0.03%

Fund characteristics will vary over time.

Due to rounding, percentages may not equal 100%.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, asset class, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful. The fund may not achieve its goal, and it is not intended to be a complete investment program. You can lose money by investing in the fund. The fund’s prospectus lists additional risks.

Allocations may not total 100% of net assets because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.


Expenses

Expense ratio

Class E Class E2 Class I Class S
Total expense ratio 0.45% 0.98% 0.98% 0.98%

The ICE BofAML U.S. Dollar 1-month LIBOR Index tracks the performance of a synthetic asset paying Libor to a stated maturity. You cannot directly invest in an index.

Consider these risks before investing: Allocation of assets among asset classes may hurt performance. The value of investments in the fund’s portfolio may fall or fail to rise over extended periods of time for a variety of reasons, including general economic, political or financial market conditions, investor sentiment and market perceptions, government actions, geopolitical events or changes, and factors related to a specific issuer, asset class, geography, industry or sector. These and other factors may lead to increased volatility and reduced liquidity in the fund’s portfolio holdings. Growth stocks may be more susceptible to earnings disappointments, and value stocks may fail to rebound. Bond investments are subject to interest-rate risk (the risk of bond prices falling if interest rates rise) and credit risk (the risk of an issuer defaulting on interest or principal payments). Interest-rate risk is generally greater for longer-term bonds, and credit risk is generally greater for below-investment-grade bonds. Unlike bonds, funds that invest in bonds have fees and expenses. Lower-rated bonds may offer higher yields in return for more risk. Funds that invest in government securities are not guaranteed. Mortgage-backed securities are subject to prepayment risk, which means that they may increase in value less than other bonds when interest rates decline and decline in value more than other bonds when interest rates rise. The fund may have to invest the proceeds from prepaid investments, including mortgage- and asset-backed investments, in other investments with less attractive terms and yields. International investing involves currency, economic, and political risks. Emerging-market securities have illiquidity and volatility risks. Our alpha strategy may lose money or not earn a return sufficient to cover associated trading and other costs. Our use of leverage obtained through derivatives increases these risks by increasing investment exposure. Risks associated with derivatives include increased investment exposure (which may be considered leverage) and, in the case of over-the-counter instruments, the potential inability to terminate or sell derivatives positions and the potential failure of the other party to the instrument to meet its obligations. The fund's efforts to produce lower-volatility returns may not be successful. The fund may not achieve its goal, and it is not intended to be a complete investment program. You can lose money by investing in the fund. The fund’s prospectus lists additional risks.

Allocations may not total 100% of net assets because the table includes the notional value of certain derivatives (the economic value for purposes of calculating periodic payment obligations), in addition to the market value of securities.