While FE Research analysts say they retain their confidence in the fund, come investors might be wondering what the other options are.
At £17.5bn it is the biggest UK retail fund, and fund flow data from FE Analytics underlines that it continues to receive the bulk of inflows into its sector.
However, there are a number of alternatives with strong track records that might be worth considering.
Insight Absolute Insight
Insight Absolute Insight is another multi asset targeted absolute return that amounts to £505m in funds under management.
Managed by FE Alpha Managers Reza Vishkai and Sonja Uys, the portfolio has won five FE crowns after five years in which it has outperformed its sector substantially and produced returns in line with its benchmark.
The fund aims to make 3 month Libor plus 4 per cent, and our figures show it has more or less done so, returning 28.45 per cent over five years as the benchmark as risen 28.45 per cent.
Performance of fund versus sector and benchmark over 5yrs
Source: FE Analytics
Its five-year annualised volatility is just 2.7 per cent, compared to 3.42 per cent for the sector and 16.73 per cent for the FTSE All Share.
The volatility and the fund’s sharpe ratio – a measure of risk-adjusted returns – are fourth and third in the sector respectively.
The fund is split between five Absolute Insight sub-funds including a market neutral equity fund, a currency fund, credit fund and emerging market debt fund as well as the BNY Mellon Absolute Return Equity Fund.
It is available with a minimum initial investment of £5,000 and has ongoing charges of 1.32 per cent, inclusive of a performance fee.
CF Ruffer Total Return
This £2.9bn fund doesn’t sit in the IMA Targeted Absolute Return sector, but has the same objective as those funds: to produce positive returns whether markets rise or fall.
Our data shows it has produced positive returns in every year except 2006 since 2003, and it lost only 2.76 per cent at that time.
The fund is managed by FE Alpha Managers Steve Russell and David Balance, who also run the CF Ruffer Absolute Return fund – which does sit in the TAR sector.
The two funds have very similar return and risk profiles, and have similar top holdings, but the Absolute Return fund is closed to retail investors.
Over the past five years it has outperformed its benchmark – a 50/50 split between the FTSE All Share and FTSE British Government All Stocks index of gilts – and has returned 71.02 per cent.
Performance of fund versus benchmark over 5yrs
Source: FE Analytics
Its volatility over that time is higher than the Insight fund, at 7.78 per cent, but the fund does have a high weighting to equities.
CF Ruffer Total Return currently has 20 per cent in Japanese equities – a country the team are bullish on in a number of their portfolios – and roughly another 26 per cent in other stocks.
It has 33 per cent in index linkers as well as holdings in cash, gold and other alternative strategies.
Available with a minimum initial investment of £1,000 the fund has an AMC of 1.2 per cent.
CF Miton Special Situations
This £867m fund sits in the IMA Flexible Investment sector and doesn’t have an explicitly absolute return mandate, but it has a long term track record an absolute return fund would die for.
Since 2003 the portfolio, which is managed by FE Alpha Manager Martin Gray with James Sullivan, has failed to make a positive return in only one year: 2012, when it lost 0.63 per cent.
This marginal fall was quickly redeemed, however, as the fund benefitted from overweight positions in Japan and to the dollar which have borne fruit in the year to date.
Since January the fund has made 6.96 per cent, according to our data, while the average IMA Flexible Investment fund has made 12.06 per cent and the average TAR fund just 4.1 per cent, according to data from FE Analytics.
Despite the surge in equities in 2013, the fund has still managed to beat equities – measured by the FTSE All Share – over 10 years, having added an extra 13.15 per cent to the value of that benchmark.
Relative performance of fund to FTSE All Share over 10yrs
Source: FE Analytics
The portfolio is a fund of funds managed with capital preservation in mind, although Gray is always keen to point out that there have been times when he has been more bullish and increased its risk profile.
It currently has 29.5 per cent in managed cash, including the important weighting to the dollar.
Available with a minimum initial investment of £1,000 the fund has ongoing charges of 1.84 per cent.
Newton Real Return
This £7.9bn fund was one of the first retail funds to take an absolute return mandate.
It was launched in March 2004, and has been run by FE Alpha Manager Iain Stewart ever since.
The fund has made positive returns in each complete year since then, with the exception of 2011 when it lost 0.75 per cent.
The fund aims to make 1 month Libor plus 4 per cent, and data from FE Analytics shows that it has more than done this, returning 42.01 per cent over five years as the benchmark ha made 27.94 per cent and the average TAR fund just 16.97 per cent.
Performance of fund versus sector and benchmark over 5yrs
Source: FE Analytics
The fund currently has 58.4 per cent in equities, 25.7 per cent in bonds and 11.3 per cent in cash, with a number of derivatives hedging the risk.
Available with a minimum initial investment of £1,000, the fund has ongoing charges of 1.12 per cent.
Premier Liberation Absolute Growth
The £46.6m Premier Liberation Absolut Growth offers a different way to achieve an absolute return profile, being a fund of funds, with a number of strategies that are difficult if not impossible for the retail investor to otherwise access.
Managed by a team led by David Hambidge, head of multi asset at Premier, the fund has produced positive returns in each calendar year since 2009.
The fund has 33.3 per cent in alternative funds such as hedge fund Bluecrest Bluetrend, the JPM Global Merger Arbitrage fund and Dexion Absolute.
According to FE Analytics the fund has returned 41.45 per cent since the start of our data in October 2008, double the 20.12 per cent returned by the average fund in the sector.
The fund has a four-year annualised volatility of 4.33 per cent, compared to a sector average of 2.78 per cent.
Available with a minimum initial investment of £1,000, the fund has ongoing charges of 1.8 per cent.