CC Jamieson Coote Bonds Dynamic Alpha Fund
31 May 2024
Key Facts
| Index Used: | Bloomberg AusBond Composite 0+ Yr Index | Discretionary/Quantitative: | Quantitative |
| Peer Group: | Fixed Income - Bonds | FUM (millions): | AU$ 132.8m |
| Investment Style: | N/A | Fund Inception Date: | December 2019 |
| Geographic Mandate: | Global | Latest Return Date: | May 2024 |
| Investor Type: | Wholesale & Retail | Status: | Open |
| Minimum Investment: | AU$ 100,000 | Investment Frequency: | Daily |
Manager Details
Jamieson has spent 14 years in the financial services industry working for Merrill Lynch and Bank of America Merrill Lynch (BAML) as a Bond trader, trading in Tokyo, New York, London and Sydney. Charles holds a Bachelor of Commerce degree from Monash University majoring in Accounting and Finance
Coote started his career with JPMorgan in 2000 as a Government Bond salesman specialising in US Treasuries and European Government Bonds in London. He relocated to Asia with ANZ where he spent five years specialising in selling Australian Government Bonds and other debt products to the region's largest Central Banks and Sovereign Wealth Funds. Coote has a Bachelor of Business from RMIT majoring in Economics and Finance.
The JCB management team bring a combined 30 years' experience in a unique global network of bond market contacts, built over a number of years working in the world's major financial centres. These range from Central Bankers, Hedge Fund and Real Money managers to leading economists producing a global perspective to portfolio construction and allocation relevant to the Australian Bond market.
Strategy Description
Fund Fees
| Management Fee: | 0.68% | Performance Fee: | % |
| Buy Spread: | 0.05% | Sell spread: | 0.05% |
| High Water Mark: | Hurdle: | N/A |
Fund Structure
| 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 |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The CC Jamieson Coote Bonds Dynamic Alpha Fund has a track record of 4 years and 5 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has outperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in January 2020, providing investors with an annualised return of 2.85% compared with the benchmark's return of -0.99% over the same period.
The Manager has delivered these returns with 4.62% less volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 four times over the past four years and which currently sits at 1.06 since inception. The fund has provided positive monthly returns 96% of the time in rising markets and 72% of the time during periods of market decline, contributing to an up-capture ratio since inception of 29% and a down-capture ratio of -6%.
The CC Jamieson Coote Bonds Dynamic Alpha Fund rose by +0.42% in May, an outperformance of +0.03% 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 +0.76% compared with the benchmark's best return of +3.01%, and its worst monthly return was -0.22% 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 | 0.49 | 0.02 | 0.76 | 0.64 | 0.42 | NA | NA | NA | NA | NA | NA | NA | 2.34 |
| 2023 | 0.30 | 0.11 | 0.73 | 0.50 | 0.13 | -0.12 | 0.43 | 0.54 | -0.22 | 0.10 | 0.35 | 0.53 | 3.43 |
| 2022 | 0.09 | -0.19 | -0.55 | -0.37 | 0.52 | 0.11 | 0.39 | 0.20 | -0.08 | 0.30 | 0.41 | 0.10 | 0.93 |
| 2021 | 0.14 | 0.01 | 0.25 | 0.18 | 0.04 | 0.18 | 0.15 | 0.12 | 0.35 | -0.48 | -0.11 | 0.02 | 0.84 |
| 2020 | 1.31 | 0.22 | 0.62 | 0.41 | 0.57 | 0.15 | 0.63 | 0.05 | 0.46 | 0.21 | 0.26 | 0.09 | 5.08 |
Annual Returns
Over the past 12 months, the fund has risen by +4% compared with the benchmark which has returned +0.87%, for a difference of +3.13%. Since inception in January 2020, the fund has returned +2.85% per annum, a difference of +3.84% relative to the benchmark which has fallen -0.99% on an annualised basis over the same period.
Cumulative Returns
On a cumulative basis (assuming reinvestment of distributions), $100 invested since inception would have become $113. The same amount invested in the benchmark over the same period would have become $95.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 1.03% vs the index's 5.64%. The annualised volatility of the fund's returns since inception in January 2020 is 1.12% vs the index's 5.74%. Over all other periods, the fund's returns have been consistently less volatile than the benchmark.
Sharpe Ratio
The fund's Sharpe ratio has ranged from a high of 0.61 for performance over the most recent 48 months to a low of -0.23 over the latest 12 months, and is 1.06 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since January 2020 is -0.44.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in January 2020 in the months where the market was positive, the fund has provided positive returns 96% of the time, contributing to an up-capture ratio for returns since inception of 29.36%. Over all other periods, the fund's up-capture ratio has ranged from a high of 39.92% over the most recent 12 months to a low of 23.73% over the latest 36 months.
Performance in Negative Markets
Since inception in January 2020 in the months where the market was negative, the fund has provided positive returns 72% of the time, contributing to a down-capture ratio for returns since inception of -6.33%. Over all other periods, the fund's down-capture ratio has ranged from a high of -1.27% over the most recent 36 months to a low of -6.12% over the latest 24 months. A negative down-capture ratio indicates that, on average, the fund delivered positive returns in the months the market fell.
Average Return in +ve Market %
Average Return in -ve Market %
Sortino Ratio
The fund has had too few negative returns returns over the past 12 months for a Sortino ratio to be calculated. Over all other periods its Sortino ratio (which excludes volatility in positive months) has ranged from a high of 0 for performance over the most recent 60 months to a low of 0 over the latest 60 months. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sortino for performance since January 2020 is -0.59.
Drawdown
Over the past 12 months, the fund's largest drawdown was -0.22% vs the index's -3.35%, and since inception in January 2020 the fund's largest drawdown was -1.58% vs the index's maximum drawdown over the same period of -13.2%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Fixed Income - Bonds as of May 2024
The performance of the CC Jamieson Coote Bonds Dynamic Alpha Fund ranked it in the first or second quintile for all KPIs over 3 years, while over 1 year the fund ranked in the first or second quintile for all KPIs except Total Return and Sharpe.
Over the past 12 months, the fund has risen by +4% compared with the peer group which has returned an average of +4.19%, for a difference of -0.19%.
The fund's returns over the past 12 months have been achieved with a volatility of 1.03% vs the peer group's average volatility of 3.25%. The annualised volatility of the fund's returns since inception in January 2020 is 1.12% vs the peer group's 2.78%. Over all other periods, the fund's returns have been consistently less volatile than the peer group.