Index Used: | Bloomberg AusBond Composite 0+ Yr Index | Discretionary/Quantitative: | Quantitative |
Peer Group: | Fixed Income - Bonds | FUM (millions): | AU$ 39.76m |
Investment Style: | N/A | Fund Inception Date: | February 2019 |
Geographic Mandate: | Global | Latest Return Date: | May 2024 |
Investor Type: | Wholesale & Retail | Status: | Open |
Minimum Investment: | AU$ 100,000 | Investment Frequency: | Daily |
Management Fee: | 0.59% | Performance Fee: | % |
Buy Spread: | 0.05% | Sell spread: | 0.05% |
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: | Morgan Stanley | Legal: | McCullough Robertson Lawyers |
The CC Jamieson Coote Bonds Global Bond Fund (Class A - Hedged) has a track record of 5 years and 3 months and has underperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in March 2019, providing investors with an annualised return of -0.48% compared with the benchmark's return of 0.2% over the same period.
The Manager has delivered these returns with 0.66% less volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 five times over the past five years and which currently sits at -0.4 since inception. The fund has provided positive monthly returns 66% of the time in rising markets and 11% of the time during periods of market decline, contributing to an up-capture ratio since inception of 66% and a down-capture ratio of 82%.
The CC Jamieson Coote Bonds Global Bond Fund (Class A - Hedged) rose by +0.46% in May, an outperformance of +0.07% compared with the Bloomberg AusBond Composite 0+ Yr benchmark which rose by +0.39%. Over the past 12 months, the fund's best monthly return was +2.89% compared with the benchmark's best return of +3.01%, and its worst monthly return was -1.94% vs the benchmark's worst return over the same period of -1.98%.
Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | -0.36 | -1.06 | 0.73 | -1.93 | 0.46 | NA | NA | NA | NA | NA | NA | NA | -2.18 |
2023 | 1.59 | -1.38 | 2.57 | 0.27 | -0.75 | -0.48 | -0.44 | -0.23 | -1.94 | -0.73 | 2.89 | 2.81 | 4.09 |
2022 | -1.53 | -0.90 | -2.17 | -2.44 | -0.35 | -1.06 | 1.90 | -2.76 | -2.97 | -0.10 | 1.80 | -1.77 | -11.82 |
2021 | -0.70 | -1.65 | -0.23 | 0.01 | 0.02 | 0.37 | 1.32 | -0.31 | -1.03 | -0.36 | 0.92 | -0.70 | -2.35 |
2020 | 2.16 | 2.44 | -0.60 | 0.58 | -0.17 | 0.14 | 0.84 | -1.12 | 0.62 | -0.18 | 0.10 | 0.03 | 4.91 |
2019 | NA | NA | 2.35 | -0.12 | 1.67 | 1.16 | -0.57 | 3.40 | -0.42 | -0.47 | -0.48 | -0.57 | 6.02 |
Over the past 12 months, the fund has returned -0.43% compared with the benchmark which has returned +0.87%, for a difference of -1.3%. Since inception in March 2019, the fund has returned -0.48% per annum, a difference of -0.68% relative to the benchmark which has returned +0.2% on an annualised basis over the same period.
On a cumulative basis (assuming reinvestment of distributions), $100 invested since inception would have become $97. The same amount invested in the benchmark over the same period would have become $101.
The fund's returns over the past 12 months have been achieved with a volatility of 5.17% vs the index's 5.64%. The annualised volatility of the fund's returns since inception in March 2019 is 4.86% vs the index's 5.52%. Over all other periods, the fund's returns have been consistently less volatile than the benchmark.
The fund's Sharpe ratio has ranged from a high of -0.57 for performance over the most recent 60 months to a low of -1.11 over the latest 36 months, and is -0.4 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since March 2019 is -0.22.
Since inception in March 2019 in the months where the market was positive, the fund has provided positive returns 66% of the time, contributing to an up-capture ratio for returns since inception of 66.08%. Over all other periods, the fund's up-capture ratio has ranged from a high of 66.47% over the most recent 12 months to a low of 54.32% over the latest 48 months.
Since inception in March 2019 in the months where the market was negative, the fund has provided positive returns 11% of the time, contributing to a down-capture ratio for returns since inception of 81.81%. Over all other periods, the fund's down-capture ratio has ranged from a high of 96.7% over the most recent 24 months to a low of 81.2% over the latest 12 months. A down-capture ratio less than 100% indicates that, on average, the fund has outperformed in the market's negative months.
The fund's Sortino ratio (which excludes volatility in positive months) has ranged from a high of -0.78 for performance over the most recent 60 months to a low of -1.31 over the latest 36 months, and is -0.57 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sortino for performance since March 2019 is -0.32.
Over the past 12 months, the fund's largest drawdown was -3.31% vs the index's -3.35%, and since inception in March 2019 the fund's largest drawdown was -15.73% vs the index's maximum drawdown over the same period of -13.2%.
The CC Jamieson Coote Bonds Global Bond Fund (Class A - Hedged) is not ranked in the first or second quintile for any KPI.
Over the past 12 months, the fund has returned -0.43% compared with the peer group which has returned an average of +4.19%, for a difference of -4.62%.
The fund's returns over the past 12 months have been achieved with a volatility of 5.17% vs the peer group's average volatility of 3.25%. The annualised volatility of the fund's returns since inception in March 2019 is 4.86% vs the peer group's 2.78%. Over all other periods, the fund's returns have been more volatile than the peer group.