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27 Oct 2022 - Performance Report: Digital Asset Fund (Digital Opportunities Class)


Report Date27 October 2022
ManagerDigital Asset Funds Management
Fund NameDigital Asset Fund (Digital Opportunities Class)
StrategyDigital Assets
Latest Return DateSeptember 2022
Latest Return0.08%
Latest 6 Months2.09%
Latest 12 Months13.83%
Latest 24 Months (pa)
Annualised Since Inception38.53%
Inception Date01 May 2021
FUM (millions)AU$66.5
Fund OverviewThe investment objective of the Fund is to generate profits by making investments, directly or indirectly, in established cryptocurrencies as well as by identifying emerging opportunities in cryptocurrencies and low risk arbitrage opportunities.

The Fund offers a choice of three investment classes, each of which adopts a different investment strategy:
- The Digital Opportunities Class identifies and trades low risk arbitrage opportunities between different exchanges and a number of digital assets;
- The Digital Index Class tracks the performance of a basket of digital assets;
- The Bitcoin Index Class tracks the performance of Bitcoin.

Digital Opportunities Class:
This class appeals to investors seeking an active exposure to the digital asset markets with no directional bias. The Digital Opportunities Class employs a high frequency inspired Market Neutral strategy trading 24/7 which uses a systematic approach designed to offer uncorrelated returns to the underlying highly volatile cryptocurrency markets. The strategy systematically exploits low-risk arbitrage opportunities across the most liquid and active digital asset markets on the most respected exchanges.

When appropriate the Fund may obtain leverage, including through borrowing cash, securities and other instruments, and entering into derivative transactions and repurchase agreements.

DAFM has a currency hedging policy in place for the Units in the Fund. Units in the Fund will be hedged against exposure to assets denominated in US dollars through a trading account with spot, forwards and options as directed by DAFM.
Manager CommentsThe Digital Asset Fund (Digital Opportunities Class) rose by +0.08% in September, an outperformance of +0.17% compared with the S&P Cryptocurrency Broad Digital Market Index which fell by -0.09%.

The Digital Asset Fund (Digital Opportunities Class) has a track record of 1 year and 5 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has outperformed the S&P Cryptocurrency Broad Digital Market Index since inception in May 2021, providing investors with an annualised return of 38.53% compared with the index's return of -47.24% over the same period.

Over the past 12 months, the fund hasn't had any negative monthly returns and therefore hasn't experienced a drawdown. Over the same period, the index's largest drawdown was -71.98%. Since inception in May 2021, the fund's largest drawdown was 0% vs the index's maximum drawdown over the same period of -71.98%.

The Manager has delivered these returns with 51.68% less volatility than the index, contributing to a Sharpe ratio for performance over the past 12 months of 2.53 and for performance since inception of 1.55. The fund has provided positive monthly returns 100% of the time in rising markets and 100% of the time during periods of market decline, contributing to an up-capture ratio since inception of 6% and a down-capture ratio of -48%.
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