Index Used: | RBA Cash Rate + 3% | Discretionary/Quantitative: | Discretionary |
Peer Group: | Fixed Income - Debt | FUM (millions): | AU$ 857.51m |
Investment Style: | N/A | Fund Inception Date: | March 2020 |
Geographic Mandate: | Australia/NZ | Latest Return Date: | May 2024 |
Investor Type: | Wholesale | Status: | Open |
Minimum Investment: | AU$ 100,000 | Investment Frequency: | Monthly |
Management Fee: | 0.65% | Performance Fee: | % |
Buy Spread: | 0% | Sell spread: | 0% |
High Water Mark: | Hurdle: | N/A |
Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
Share Classes: | AU$ | Trustee/RE: | Channel Investment Management Limited |
Administrator: | Mainstream Fund Services | Prime Broker: | N/A |
Custodian: | Perpetual Corporate Trust Limited | Legal: | N/A |
The Revolution Wholesale Private Debt Fund II - Class B has a track record of 4 years and 2 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has outperformed the RBA Cash Rate + 3% benchmark since inception in April 2020, providing investors with an annualised return of 6.25% compared with the benchmark's return of 4.72% over the same period.
The Manager has delivered these returns with 0.12% more volatility than the benchmark, contributing to a Sharpe ratio which has consistently remained above 1 over the past four years and which currently sits at 12.97 since inception.
The Revolution Wholesale Private Debt Fund II - Class B rose by +0.73% in May, an outperformance of +0.14% compared with the RBA Cash Rate + 3% benchmark which rose by +0.59%. Over the past 12 months, the fund's best monthly return was +0.84% compared with the benchmark's best return of +0.59%, and its worst monthly return was +0.47% vs the benchmark's worst return over the same period of +0.57%.
Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 0.80 | 0.77 | 0.71 | 0.73 | 0.73 | NA | NA | NA | NA | NA | NA | NA | 3.80 |
2023 | 0.72 | 0.41 | 0.74 | 0.72 | 0.42 | 0.77 | 0.84 | 0.62 | 0.47 | 0.82 | 0.74 | 0.78 | 8.37 |
2022 | 0.39 | 0.34 | 0.44 | 0.40 | 0.24 | 0.43 | 0.41 | 0.54 | 0.55 | 0.53 | 0.63 | 0.69 | 5.72 |
2021 | 0.35 | 0.31 | 0.37 | 0.32 | 0.35 | 0.37 | 0.48 | 0.45 | 0.44 | 0.37 | 0.42 | 0.42 | 4.74 |
2020 | NA | NA | NA | 0.29 | 0.72 | 0.31 | 0.32 | 0.32 | 0.32 | 0.33 | 0.35 | 0.35 | 3.35 |
Over the past 12 months, the fund has risen by +9.15% compared with the benchmark which has returned +7.25%, for a difference of +1.9%. Since inception in April 2020, the fund has returned +6.25% per annum, a difference of +1.53% relative to the benchmark which has returned +4.72% on an annualised basis over the same period.
On a cumulative basis (assuming reinvestment of distributions), $100 invested since inception would have become $128. The same amount invested in the benchmark over the same period would have become $121.
The fund's returns over the past 12 months have been achieved with a volatility of 0.34% vs the index's 0.03%. The annualised volatility of the fund's returns since inception in April 2020 is 0.62% vs the index's 0.5%. Over all other periods, the fund's returns have been more volatile than the benchmark.
The fund's Sharpe ratio has ranged from a high of 14.53 for performance over the most recent 48 months to a low of 12.05 over the latest 24 months, and is 12.97 for performance since inception.
Since inception in April 2020 in the months where the market was positive, the fund has provided positive returns 100% of the time, contributing to an up-capture ratio for returns since inception of 135.47%. Over all other periods, the fund's up-capture ratio has ranged from a high of 133.45% over the most recent 48 months to a low of 126.01% over the latest 24 months. An up-capture ratio greater than 100% indicates that, on average, the fund has outperformed in the market's positive months.
Given that the RBA Cash Rate + 3% benchmark hasn't had any negative months, it isn't possible to calculate a down-capture ratio for the fund.
The fund has had too few negative returns returns over the past 12 months for a Sortino ratio to be calculated. The Sortino ratio differs from the Sharpe ratio in that it only considers the volatility of negative returns over a particular time period.
Since inception in April 2020, the fund hasn't had any negative monthly returns and therefore hasn't experienced a drawdown.
The performance of the Revolution Wholesale Private Debt Fund II - Class B ranked it in the first or second quintile for all KPIs except Total Return and Volatility over 3 years, while over 1 year the fund ranked in the first quintile for Sortino, Downside Deviation and Largest Drawdown.
Over the past 12 months, the fund has risen by +9.15% compared with the peer group which has returned an average of +9.08%, for a difference of +0.07%.
The fund's returns over the past 12 months have been achieved with a volatility of 0.34% vs the peer group's average volatility of 0.48%. The annualised volatility of the fund's returns since inception in April 2020 is 0.62% vs the peer group's 2.24%. Over all other periods, the fund's returns have been consistently less volatile than the peer group.