Index Used: | Barclay Hedge Global Macro Index | Discretionary/Quantitative: | Quantitative |
Peer Group: | Alternatives | FUM (millions): | AU$ 5.25m |
Investment Style: | N/A | Fund Inception Date: | November 2016 |
Geographic Mandate: | Global | Latest Return Date: | April 2022 |
Investor Type: | Retail | Status: | Closed |
Minimum Investment: | AU$ 5,000 | Investment Frequency: | Weekly |
Management Fee: | 1.26% | Performance Fee: | 10.125% |
Buy Spread: | 0% | Sell spread: | 0% |
High Water Mark: | Yes | Hurdle: | 0.0% (absolute return) |
Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
Share Classes: | AU$ | Trustee/RE: | Quay Fund Services |
Administrator: | Apex Fund Services | Prime Broker: | Interactive Brokers |
Custodian: | AET Structured Finance Services | Legal: | N/A |
The Arminius Capital GMMA Fund has a track record of 5 years and 6 months and has underperformed the Barclay Hedge Global Macro benchmark since inception in November 2016, providing investors with an annualised return of -1.92% compared with the benchmark's return of 6.39% over the same period.
The Manager has delivered these returns with 0.13% 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 -0.52 since inception. The fund has provided positive monthly returns 56% of the time in rising markets and 39% of the time during periods of market decline, contributing to an up-capture ratio since inception of 10% and a down-capture ratio of 83%.
The Arminius Capital GMMA Fund returned -0.71% in April, a difference of -0.95% compared with the Barclay Hedge Global Macro benchmark which rose by +0.24%. Over the past 12 months, the fund's best monthly return was +1.52% compared with the benchmark's best return of +4.92%, and its worst monthly return was -1.05% vs the benchmark's worst return over the same period of -1.18%.
Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2022 | -0.61 | -1.05 | -0.62 | -0.71 | NA | NA | NA | NA | NA | NA | NA | NA | -2.96 |
2021 | -0.48 | 0.41 | 0.35 | 0.38 | -0.34 | -0.83 | 0.82 | 1.02 | -0.79 | 0.26 | -0.73 | 1.52 | 1.57 |
2020 | 1.35 | 1.09 | 2.74 | -2.32 | -1.43 | -0.83 | -0.12 | 0.19 | -0.18 | -0.31 | -0.66 | -0.62 | -1.19 |
2019 | 0.06 | 0.10 | 0.34 | -0.24 | 1.22 | 0.18 | 0.57 | 1.41 | -2.74 | 0.25 | 0.68 | -1.87 | -0.12 |
2018 | 3.47 | -2.66 | -3.50 | 0.46 | 0.22 | -0.58 | -1.80 | 0.87 | -1.95 | -3.93 | -3.75 | -2.32 | -14.66 |
2017 | -0.02 | -0.14 | 3.14 | 0.02 | 0.06 | 0.94 | -0.08 | 1.07 | -1.15 | 1.47 | -1.36 | 0.99 | 4.97 |
2016 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.08 | 3.06 | 3.14 |
Over the past 12 months, the fund has returned -2.08% compared with the benchmark which has returned +9.65%, for a difference of -11.73%. Since inception in November 2016, the fund has returned -1.92% per annum, a difference of -8.31% relative to the benchmark which has returned +6.39% on an annualised basis over the same period.
On a cumulative basis (assuming reinvestment of distributions), $100 invested since inception would have become $89. The same amount invested in the benchmark over the same period would have become $140.
The fund's returns over the past 12 months have been achieved with a volatility of 2.84% vs the index's 5.57%. The annualised volatility of the fund's returns since inception in November 2016 is 5.13% vs the index's 5.26%. 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 -0.34 for performance over the most recent 36 months to a low of -1.17 over the latest 24 months, and is -0.52 for performance since inception. By contrast, the Barclay Hedge Global Macro Index's Sharpe for performance since November 2016 is 1.03.
Since inception in November 2016 in the months where the market was positive, the fund has provided positive returns 56% of the time, contributing to an up-capture ratio for returns since inception of 10.15%. Over all other periods, the fund's up-capture ratio has ranged from a high of 2.02% over the most recent 60 months to a low of -9.11% over the latest 24 months.
Since inception in November 2016 in the months where the market was negative, the fund has provided positive returns 39% of the time, contributing to a down-capture ratio for returns since inception of 82.66%. Over all other periods, the fund's down-capture ratio has ranged from a high of 84.2% over the most recent 60 months to a low of -10.38% over the latest 36 months. A down-capture ratio less than 100% indicates that, on average, the fund has outperformed in the market's negative months, and a negative down-capture ratio indicates that, on average, the fund delivered positive returns in the months the market fell.
The fund's Sortino ratio (which excludes volatility in positive months) has ranged from a high of -0.47 for performance over the most recent 36 months to a low of -1.38 over the latest 24 months, and is -0.67 for performance since inception. By contrast, the Barclay Hedge Global Macro Index's Sortino for performance since November 2016 is 1.84.
Over the past 12 months, the fund's largest drawdown was -2.96% vs the index's -1.97%, and since inception in November 2016 the fund's largest drawdown was -19.77% vs the index's maximum drawdown over the same period of -8.07%.
The Arminius Capital GMMA Fund is not ranked in the first or second quintile for any KPI.
Over the past 12 months, the fund has returned -2.08% compared with the peer group which has returned an average of +7.63%, for a difference of -9.71%.
The fund's returns over the past 12 months have been achieved with a volatility of 2.84% vs the peer group's average volatility of 2.48%. The annualised volatility of the fund's returns since inception in November 2016 is 5.13% vs the peer group's 10.09%. Over all other periods, the fund's volatility relative to the peer group has been varied.
Quintile data is pending for Arminius Capital GMMA Fund.