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|Latest 6 Months|
|Latest 12 Months|
|Latest 24 Months (pa)|
|Annualised Since Inception|
There is a slight bias to large cap stocks on the long side of the portfolio, although in a rising market the portfolio will tend to hold smaller caps, including resource stocks, more frequently.
On the short side, the portfolio is particularly concentrated, with stock selection limited by both liquidity and the difficulty of borrowing stock in smaller cap companies. Short positions are only taken when there is a high conviction view on the specific stock. The Fund uses derivatives in a limited way, mainly selling short dated covered call options to generate additional income. These typically have less than 30 days to expiry, and are usually 5% to 10% out of the money. ASX SPI futures and index put options can be used to hedge the portfolio's overall net position.
The Fund's discretionary investment strategy commences with a macro view of the economy and direction to establish the portfolio's desired market exposure. Following this detailed sector and company research is gathered from knowledge of the individual stocks in the Fund's universe, with widespread use of broker research. Company visits, presentations and discussions with management at CEO and CFO level are used wherever possible to assess management quality across a range of criteria.
The Bennelong Kardinia Absolute Return Fund has a track record of 16 years and 6 months and has outperformed the ASX 200 Total Return Index since inception in May 2006, providing investors with an annualised return of 7.77% compared with the index's return of 6.06% over the same period.
On a calendar year basis, the fund has experienced a negative annual return on 2 occasions in the 16 years and 6 months since its inception. Over the past 12 months, the fund's largest drawdown was -10.52% vs the index's -11.9%, and since inception in May 2006 the fund's largest drawdown was -11.71% vs the index's maximum drawdown over the same period of -47.19%. The fund's maximum drawdown began in June 2018 and lasted 2 years and 6 months, reaching its lowest point during December 2018. The fund had completely recovered its losses by December 2020. During this period, the index's maximum drawdown was -26.75%.
The Manager has delivered these returns with 6.72% less volatility than the index, contributing to a Sharpe ratio which has fallen below 1 five times over the past five years and which currently sits at 0.66 since inception. The fund has provided positive monthly returns 87% of the time in rising markets and 33% of the time during periods of market decline, contributing to an up-capture ratio since inception of 14% and a down-capture ratio of 53%.