Key Facts

Index Used: Barclay Hedge Global Macro Index Discretionary/Quantitative: Quantitative
Peer Group: Alternatives FUM (millions): AU$ 86m
Investment Style: Fund Inception Date: July 2014
Geographic Mandate: Global Latest Return Date: August 2022
Investor Type: Wholesale Status: Open
Minimum Investment: AU$ 500,000 Investment Frequency: Monthly

Manager Details

Arminius Capital Advisory ("ACA") provides a global macro perspective when assessing investment strategies, with a "capital preservation" mandate. ACA performs valuations across all asset classes; global equities, foreign exchange, commodities and bonds via fundamental and econometric methodology. The principals of ACA have worked in the US, Europe and Australia for consulting firms, investment banks, wealth managers and funds. Experience comes from wealth management (research and strategy) and direct funds management roles with portfolios in excess of AUD$11bn, operating across all asset classes. They combine their practical experience in financial markets with a rigorous theoretical approach so as to provide their clients with investment design and risk management services tailored to their individual needs.

Marcel von Pfyffer is the Strategist & CIO - Managing Director. He is responsible for the tactical & strategic asset allocation of investments by using econometric systems to model various asset classes and financial instruments. He has been involved in financial markets since 1996, having held roles including Director of Global Macro Strategy and Equities Strategist with firms such as Banco Santander and Goldman Sachs.

Neill Colledge is the Equities & Strategy Director and has extensive expertise in securities with more than 37 years of using quantitative and qualitative methods to assess companies and industries, in both stockbroking and funds management. He successfully managed an Australian equities fund for Queensland Investment Corporation of up to $11 billion, which outperformed the benchmark S&P/ASX 200 accumulation index over eight years and in seven out of eight years individually. In 2004 Neill took the role of CEO of QIC's Biocapital funds, where he successfully took the $100m portfolio to a fully invested position.
Arminius Capital Advisory ("ACA") provides a global macro perspective when assessing investment strategies, with a "capital preservation" mandate. ACA performs valuations across all asset classes; global equities, foreign exchange, commodities and bonds via fundamental and econometric methodology. The principals of ACA have worked in the US, Europe and Australia for consulting firms, investment banks, wealth managers and funds. Experience comes from wealth management (research and strategy) and direct funds management roles with portfolios in excess of AUD$11bn, operating across all asset classes.

Strategy Description

The PKF Arminius Core Fund aims to achieve positive annual returns with lower volatility and lower risk than concentrated single market/asset class exposure. The fund provides investors with exposure to all asset classes in the global macro universe. The methodology utilises a combination of fundamental, momentum and quantitative inputs. As an absolute return fund, the objective is to preserve the capital base across every 12 month rolling period.

Arminius uses econometric modelling based on macro-economic indicators alongside fundamentals pertinent to each individual instrument within each asset class. Momentum is taken into account only once the fundamental value of each instrument has been ascertained.

The quantitative analysis provides valuations of all instruments (on a daily basis), in turn generating buy/sell signals from a combination of fair value indicators and momentum drivers. The quantitative nature of the system also provides for definitive stop loss levels to be maintained. Low volatility and risk management is complemented by frequent re-balancing and equal weighting according to what each hedging sub-strategy dictates. The Fund may implicitly incur leveraged positions through its use of derivatives and may invest in currencies other than Australian Dollars.
The PKF Arminius Core Fund aims to achieve positive annual returns with lower volatility and lower risk than concentrated single market/asset class exposure. The fund provides investors with exposure to all asset classes in the global macro universe. The methodology utilises a combination of fundamental, momentum and quantitative inputs. As an absolute return fund, the objective is to preserve the capital base across every 12 month rolling period.

Fund Fees

Management Fee: 1% Performance Fee: 10%
Buy Spread: 0% Sell spread: 0%
High Water Mark: Yes Hurdle: 0.0% (zero percent; absolute return)

Fund Structure

Offshore/Onshore: Onshore Fund Structure: Unit Trust
Share Classes: AU$ Trustee/RE: N/A
Administrator: Apex Fund Services (Australia) Pty Ltd Prime Broker: Interactive Brokers
Custodian: Australian Executor Trustees Limited Legal: King Irving

Ratings & Availability

Research Ratings

None.

Platform Availability

No Data.

Performance Review

The Arminius Capital ALPS Fund has a track record of 8 years and 2 months and has underperformed the Barclay Hedge Global Macro Index since inception in July 2014, providing investors with an annualised return of 2.95% compared with the index's return of 4.83% over the same period.

The Manager has delivered these returns with 0.78% more volatility than the index, contributing to a Sharpe ratio which has fallen below 1 three times over the past five years and which currently sits at 0.32 since inception. The fund has provided positive monthly returns 64% of the time in rising markets and 51% of the time during periods of market decline, contributing to an up-capture ratio since inception of 39% and a down-capture ratio of 38%.

The Arminius Capital ALPS Fund rose by +4.64% in August, an outperformance of +3.85% compared with the Barclay Hedge Global Macro Index which rose by +0.79%. Over the past 12 months, the fund's best monthly return was +4.79% compared with the index's best return of +4.92%, and its worst monthly return was -0.77% vs the index's worst return over the same period of -2.49%.

YearJan %Feb %Mar %Apr %May %Jun %Jul %Aug %Sep %Oct %Nov %Dec %YTD %
2022-0.49-0.02-0.44-0.510.081.694.794.64NANANANA9.97
2021-0.460.440.420.92-0.280.640.891.10-0.770.31-0.481.644.43
20201.381.112.76-2.29-1.45-0.71-0.100.22-0.17-0.29-0.64-0.61-0.88
20190.080.120.35-0.221.390.200.601.44-2.720.270.70-1.850.28
20183.94-2.64-3.560.490.24-0.57-1.770.88-1.94-3.90-3.75-2.26-14.13
2017-0.132.432.990.101.160.02-0.341.19-1.441.93-1.411.047.68
2016-0.39-0.250.542.331.220.05-0.110.030.000.203.204.1611.43
20153.850.63-0.32-1.520.66-0.100.50-1.210.001.210.17-2.401.34
2014NANANANANANA2.090.04-1.432.021.182.356.36

Only seven years of data shown. Click here to view all data.

Annual Returns

Over the past 12 months, the fund has risen by +10.73% compared with the index which has returned +7.53%, for a difference of +3.2%. Since inception in July 2014, the fund has returned +2.95% per annum, a difference of -1.88% relative to the index which has returned +4.83% on an annualised basis over the same period.

Cumulative Returns

On a cumulative basis (assuming reinvestment of distributions), $100 invested since inception would have become $126. The same amount invested in the index over the same period would have become $146.

Annual Returns %

 
 

Volatility and Risk

Annual Standard Deviation

The fund's returns over the past 12 months have been achieved with a volatility of 6.52% vs the index's 6.2%. The annualised volatility of the fund's returns since inception in July 2014 is 5.73% vs the index's 4.95%. Over all other periods, the fund's volatility relative to the index has been varied.

Sharpe Ratio

The fund's Sharpe ratio has ranged from a high of 1.57 for performance over the most recent 12 months to a low of -0.17 over the latest 60 months, and is 0.32 for performance since inception. By contrast, the Barclay Hedge Global Macro Index's Sharpe for performance since July 2014 is 0.73.

Annual Standard Deviation

 

Sharpe Ratio

 

Performance in Positive Markets

Since inception in July 2014 in the months where the market was positive, the fund has provided positive returns 64% of the time, contributing to an up-capture ratio for returns since inception of 39.37%. Over all other periods, the fund's up-capture ratio has ranged from a high of 81.29% over the most recent 12 months to a low of 10.99% over the latest 48 months.

Performance in Negative Markets

Since inception in July 2014 in the months where the market was negative, the fund has provided positive returns 51% of the time, contributing to a down-capture ratio for returns since inception of 38.02%. Over all other periods, the fund's down-capture ratio has ranged from a high of 65.28% over the most recent 60 months to a low of -27.81% over the latest 36 months. A down-capture ratio less than 100% indicates that, on average, the fund has outperformed in the market's negative months, and a negative down-capture ratio indicates that, on average, the fund delivered positive returns in the months the market fell.

Average Return in +ve Market %

 

Average Return in -ve Market %

 

Sortino Ratio

The fund's Sortino ratio (which excludes volatility in positive months) has ranged from a high of 7.84 for performance over the most recent 12 months to a low of -0.27 over the latest 60 months, and is 0.46 for performance since inception. By contrast, the Barclay Hedge Global Macro Index's Sortino for performance since July 2014 is 1.2.

Drawdown

Over the past 12 months, the fund's largest drawdown was -1.45% vs the index's -2.68%, and since inception in July 2014 the fund's largest drawdown was -18.26% vs the index's maximum drawdown over the same period of -8.07%.

Sortino Ratio

 

Drawdown%

 
Fund Index Peer group

Quintile Ranking vs. Average Alternatives as of August 2022

The performance of the Arminius Capital ALPS Fund ranked it in the second quintile for Volatility and Downside Deviation over 5 & 7 years. Over 3 years the fund ranked in the first or second quintile for all KPIs except Total Return and Sharpe, while it ranked in the first or second quintile for all KPIs over 1 year.

Over the past 12 months, the fund has risen by +10.73% compared with the peer group which has fallen an average of -4.86%, for a difference of +15.59%.

The fund's returns over the past 12 months have been achieved with a volatility of 6.52% vs the peer group's average volatility of 13.62%. The annualised volatility of the fund's returns since inception in July 2014 is 5.73% vs the peer group's 10.33%. Over all other periods, the fund's returns have been consistently less volatile than the peer group.

1 Year
3 Year
5 Year
7 Year
Arminius Capital ALPS Fund
Barclay Hedge Global Macro Index
Quintile Rankings display Key Performance Indicators (KPI's) against the fund's Peer Group. Each green square ranks the fund in one quintile (or 20%) of its peer group - five green squares indicate the fund is in the best quintile for each KPI. The performance of the peer group's underlying index is shown by a red dot.