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Printed: 07 July 2022 12:21 AM

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28 Sep 2021 - Performance Report: Bennelong Twenty20 Australian Equities Fund
By: Australian Fund Monitors

Report Date28 September 2021
ManagerBennelong Australian Equity Partners (BAEP), a Bennelong boutique
Fund NameBennelong Twenty20 Australian Equities Fund
StrategyEquity Long
Latest Return DateAugust 2021
Latest Return4.68%
Latest 6 Months18.67%
Latest 12 Months37.71%
Latest 24 Months (pa)21.20%
Annualised Since Inception12.16%
Inception Date02 December 2015
FUM (millions)AU$20.05
Fund OverviewThe Fund aims to outperform the return of the S&P/ASX 300 Accumulation Index by 2% per annum after fees on a rolling three-year basis by combining indexed positions in the S&P/ASX 20 stocks with an actively managed exposure in primarily Australian stocks that are outside the S&P/ASX 20.

The Fund is managed as one portfolio but comprises and combines two separately managed exposures:

1. An investment in the top 20 stocks of the markets, which the Fund achieves by taking an indexed position in the S&P/ASX 20 Index; and

2. An investment in the stocks beyond the S&P/ASX 20 Index. This exposure is managed on an active basis using a fundamental core approach.

The Fund may also invest in securities expected to be listed on the ASX, securities listed or expected to be listed on other exchanges where such securities relate to ASX-listed securities.Derivative instruments may be used to replicate underlying positions and hedge market and company specific risks. The companies within the portfolio are primarily selected from, but not limited to, the S&P/ASX 300 Accumulation Index.

The Fund typically holds between 40-55 stocks and thus is considered to be highly concentrated. This means that investors should expect to see high short-term volatility. The Fund seeks to achieve growth over the long-term, therefore the minimum suggested investment timeframe is 5 years.
Manager CommentsThe Bennelong Twenty20 Australian Equities Fund rose by +4.68% in August, an outperformance of +2.18% compared with the ASX 200 Total Return Index which rose by +2.5%. Over the past 12 months, the fund has risen by +37.71%, and since November 2009 has returned +12.16% per annum, a difference of +3.51% relative to the index which has returned +8.65% on an annualised basis over the same period.

The fund's returns over the past 12 months have been achieved with a volatility of 9.84% vs the index's 10.33%. The annualised volatility of the fund's returns since November 2009 is 13.71% vs the index's 13.23%. Over all other periods, the fund's returns have been more volatile than the index.

The fund's Sharpe ratio has ranged from a high of 3.33 for performance over the most recent 12 months to a low of 0.85 over the latest 36 months, and is 0.75 for performance since November 2009. By contrast, the ASX 200 Total Return Index's Sharpe for performance since November 2009 is 0.53.

Since November 2009 in the months where the market was positive, the fund has provided positive returns 97% of the time, contributing to an up-capture ratio of 128.82%. Over all other periods, the fund's up-capture ratio has ranged from a high of 144.85% over the most recent 24 months to a low of 124.9% over the latest 60 months. An up-capture ratio greater than 100% indicates that, on average, the fund has outperformed in the market's positive months.
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