Ellerston Global Mid Small Cap Fund (Class A)
31 May 2024
Key Facts
| Index Used: | All Countries World Index (AUD) | Discretionary/Quantitative: | Combination |
| Peer Group: | Equity Long - Mid/Small Cap - Global | FUM (millions): | AU$ 43.03m |
| Investment Style: | Blend | Fund Inception Date: | March 2017 |
| Geographic Mandate: | Global | Latest Return Date: | May 2024 |
| Investor Type: | Wholesale | Status: | Open |
| Minimum Investment: | AU$ 25,000 | Investment Frequency: | Daily |
Manager Details
As a firm majority owned by its principals and employees, our clients' objectives are our objectives.
Ellerston Capital has been managing money since 2002 and manages over $5 billion in long only Australian, global and Asian equities, Australian market neutral, global macro, global long-short equity and private equity strategies.
The Manager's investment products are designed to take advantage of the strengths and capabilities of our experienced investment team and also the opportunities which we feel exist in the market place.
As a firm majority owned by its principals and employees, our clients' objectives are our objectives. Ellerston Capital has been managing money since 2002 and manages over $5 billion in long only Australian, global and Asian equities, Australian market neutral, global macro, global long-short equity and private equity strategies.
Strategy Description
The Fund's aim is to generate superior returns for Shareholders, with a focus on risk management and capital preservation. Performance will be benchmarked against the MSCI World Index (Local).
EGI adopts the Manager's distinctively contrarian, high conviction investment approach which seeks to identify stocks which the Manager believes have a compelling risk/reward profile and are temporarily misunderstood and fundamentally mispriced.
The Fund's aim is to generate superior returns for Shareholders, with a focus on risk management and capital preservation. Performance will be benchmarked against the MSCI World Index (Local).
Fund Fees
| Management Fee: | 0.75% | Performance Fee: | 10% |
| Buy Spread: | 0.25% | Sell spread: | 0.25% |
| High Water Mark: | Yes | Hurdle: | MSCI World Mid Cap Index (NR) (AUD) |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$@@US$@@Euro@@GBP | Trustee/RE: | Ellerston Capital Limited |
| Administrator: | State Street Australia Limited | Prime Broker: | N/A |
| Custodian: | State Street Australia Limited | Legal: | N/A |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Ellerston Global Mid Small Cap Fund (Class A) has a track record of 7 years and 2 months and has underperformed the All Countries World (AUD) benchmark since inception in April 2017, providing investors with an annualised return of 10.04% compared with the benchmark's return of 12.23% over the same period.
The Manager has delivered these returns with 4% more 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 0.61 since inception. The fund has provided positive monthly returns 91% of the time in rising markets and 27% of the time during periods of market decline, contributing to an up-capture ratio since inception of 115% and a down-capture ratio of 118%.
The Ellerston Global Mid Small Cap Fund (Class A) rose by +1.05% in May, a difference of -0.41% compared with the All Countries World (AUD) benchmark which rose by +1.46%. Over the past 12 months, the fund's best monthly return was +6.27% compared with the benchmark's best return of +5.32%, and its worst monthly return was -8.97% vs the benchmark's worst return over the same period of -3.27%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.87 | 6.27 | 1.46 | -6.34 | 1.05 | NA | NA | NA | NA | NA | NA | NA | 3.95 |
| 2023 | 7.11 | 2.13 | 1.99 | -0.35 | 1.55 | 5.11 | 2.10 | 0.64 | -5.60 | -8.97 | 4.88 | 4.91 | 15.29 |
| 2022 | -8.02 | -4.04 | -5.63 | -1.00 | -2.83 | -8.35 | 9.82 | -4.76 | -6.09 | 8.57 | 0.75 | -5.54 | -25.47 |
| 2021 | 6.92 | 1.66 | 3.77 | 1.11 | 2.11 | 4.12 | 0.49 | 6.19 | -3.45 | -0.28 | 3.70 | 2.38 | 32.24 |
| 2020 | 3.78 | -4.33 | -11.78 | 5.40 | 7.68 | -1.16 | 1.30 | 2.77 | -0.59 | 3.02 | 6.17 | 1.59 | 13.00 |
| 2019 | 5.11 | 3.17 | 0.84 | 6.49 | -2.16 | 3.48 | 3.66 | 1.44 | 1.74 | 0.96 | 5.46 | 1.29 | 36.03 |
| 2018 | -1.24 | 1.74 | 0.18 | 0.57 | 0.71 | 4.04 | -0.93 | 4.36 | 1.14 | -8.25 | -3.02 | -4.41 | -5.64 |
| 2017 | NA | NA | NA | 6.04 | 1.64 | -2.68 | -2.48 | -0.25 | 5.91 | 3.95 | 4.01 | -0.81 | 15.89 |
Only seven years of data shown. Click here to view all data.
General Notes
Annual Returns
Over the past 12 months, the fund has risen by +6.16% compared with the benchmark which has returned +21.18%, for a difference of -15.02%. Since inception in April 2017, the fund has returned +10.04% per annum, a difference of -2.19% relative to the benchmark which has returned +12.23% 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 $198. The same amount invested in the benchmark over the same period would have become $228.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 16.5% vs the index's 10.52%. The annualised volatility of the fund's returns since inception in April 2017 is 14.97% vs the index's 10.97%. Over all other periods, the fund's returns have been more volatile than the benchmark.
Sharpe Ratio
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 -0.02 over the latest 36 months, and is 0.61 for performance since inception. By contrast, the All Countries World (AUD) Index's Sharpe for performance since April 2017 is 0.97.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in April 2017 in the months where the market was positive, the fund has provided positive returns 91% of the time, contributing to an up-capture ratio for returns since inception of 114.68%. Over all other periods, the fund's up-capture ratio has ranged from a high of 124.03% over the most recent 60 months to a low of 94.88% over the latest 12 months. An up-capture ratio greater than 100% indicates that, on average, the fund has outperformed in the market's positive months.
Performance in Negative Markets
Since inception in April 2017 in the months where the market was negative, the fund has provided positive returns 27% of the time, contributing to a down-capture ratio for returns since inception of 118.48%. Over all other periods, the fund's down-capture ratio has ranged from a high of 218.15% over the most recent 12 months to a low of 133.08% over the latest 60 months.
Average Return in +ve Market %
Average Return in -ve Market %
Sortino Ratio
The fund's Sortino ratio (which excludes volatility in positive months) has ranged from a high of 0.69 for performance over the most recent 60 months to a low of -0.15 over the latest 36 months, and is 0.79 for performance since inception. By contrast, the All Countries World (AUD) Index's Sortino for performance since April 2017 is 1.49.
Drawdown
Over the past 12 months, the fund's largest drawdown was -14.07% vs the index's -6.22%, and since inception in April 2017 the fund's largest drawdown was -27.87% vs the index's maximum drawdown over the same period of -16.02%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Equity Long - Mid/Small Cap - Global as of May 2024
The performance of the Ellerston Global Mid Small Cap Fund (Class A) ranked it in the first or second quintile for all KPIs except Largest Drawdown over 7 years, while over 5 years the fund ranked in the second quintile for all KPIs except Total Return and Largest Drawdown.
Over the past 12 months, the fund has risen by +6.16% compared with the peer group which has returned an average of +15.47%, for a difference of -9.31%.
The fund's returns over the past 12 months have been achieved with a volatility of 16.5% vs the peer group's average volatility of 10.81%. The annualised volatility of the fund's returns since inception in April 2017 is 14.97% vs the peer group's 13.04%. Over all other periods, the fund's returns have been more volatile than the peer group.