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Printed: 05 July 2022 11:38 PM

News

24 Sep 2021 - Performance Report: Frazis Fund
By: Australian Fund Monitors

Report Date24 September 2021
ManagerFrazis Capital Partners
Fund NameFrazis Fund
StrategyEquity Long/Short
Latest Return DateAugust 2021
Latest Return8.00%
Latest 6 Months0.95%
Latest 12 Months57.51%
Latest 24 Months (pa)54.74%
Annualised Since Inception29.70%
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 CommentsThe Frazis Fund rose by +8% in August, an outperformance of +5.22% compared with the Global Equity Index which rose by +2.78%. Over the past 12 months, the fund has risen by +57.51% compared with the index which has returned +29.51%, and Since inception in July 2018 has returned +29.7% per annum vs index's +15.38%.

Since inception in July 2018 in the months where the market was positive, the fund has provided positive returns 80% of the time, contributing to an up-capture ratio for returns since inception of 217.49%. Over all other periods, the fund's up-capture ratio has ranged from a high of 321.13% over the most recent 24 months to a low of 145.19% 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 Sharpe ratio has ranged from a high of 1.58 for performance over the most recent 12 months to a low of 0.88 over the latest 36 months, and is 0.89 for performance since inception. Its Sortino ratio (which excludes volatility in positive months) has ranged from a high of 3.71 for performance over the most recent 12 months to a low of 1.17 over the latest 36 months, and is 1.18 for performance since inception.
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