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23 Aug 2021 - Performance Report: Frazis Fund

By: Australian Fund Monitors

Report Date23 August 2021
ManagerFrazis Capital Partners
Fund NameFrazis Fund
StrategyEquity Long/Short
Latest Return DateJuly 2021
Latest Return-7.40%
Latest 6 Months-4.19%
Latest 12 Months68.45%
Latest 24 Months (pa)56.80%
Annualised Since Inception27.39%
Inception Date01 July 2018
FUM (millions)AU$87
Fund OverviewThe Frazis Fund is a thematic long/short global equity fund, with a macro overlay. The portfolio pairs high conviction, concentrated, long-term equity investments, with asymmetric, proprietary hedging strategies, to create a unique and highly differentiated return profile.

The manager follows a disciplined, process-driven, and thematic strategy focused on five core investment strategies:

1) Growth stocks that are really value stocks;
2) Traditional deep value;
3) The life sciences;
4) Miners and drillers expanding production into supply deficits;
5) Global special situations;

The manager uses a macro overlay to manage exposure, hedging in three ways:

1) Direct shorts
2) Upside exposure to the VIX index
3) Index optionality
Manager CommentsOver the past 12 months, the Frazis Fund has risen by +68.45% compared with the Global Equity Index which has returned +29.52%, for a difference of +38.93%, and since inception in July 2018, the fund has returned +27.39% per annum, a difference of +12.59% relative to the index which has returned +14.8% on an annualised basis over the same period.

Since inception in July 2018 in the months where the market was positive, the fund has provided positive returns 79% of the time, contributing to an up-capture ratio for returns since inception of 205.36%. Over all other periods, the fund's up-capture ratio has ranged from a high of 307.13% over the most recent 24 months to a low of 177.77% 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 over the specified period.

The fund's Sortino ratio (which excludes volatility in positive months) has ranged from a high of 4.27 for performance over the most recent 12 months to a low of 1.07 over the latest 36 months, and is 1.08 for performance since inception. By contrast, the Global Equity Index's Sortino for performance since July 2018 is 1.77.
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