Key Facts

Index Used: Barclay Hedge Global Macro Index Discretionary/Quantitative: Quantitative
Peer Group: Alternatives FUM (millions): AU$ 5.25m
Investment Style: N/A Fund Inception Date: November 2016
Geographic Mandate: Global Latest Return Date: April 2022
Investor Type: Retail Status: Closed
Minimum Investment: AU$ 5,000 Investment Frequency: Weekly

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 Arminius Capital Global Macro Multi Asset (GMMA) Fund, via its investment in the PKF Arminius Core Fund, invests in a diversified portfolio of global asset classes using a market neutral approach. These classes include:

- Deposits at major Australian banks and other Australian ADI's
- Short, medium and long term debt (corporate and sovereign bonds, subordinated debt)
- Domestic and global equities, including ETFs
- Futures (commodities, equities and interest rates)
- Options (exchange traded and OTC)

The aim of the fund is to provide returns with lower volatility and lower risk compared to a concentrated single market/asset class exposure.

Arminius uses a combination of fundamental, momentum and quantitative inputs. The fund takes both long and short positions in all global asset classes in which it invests, with the expected outcome of providing an absolute return at the end of each 3 year period. The fund is not managed with a bias towards any particular investment style such as growth or value; i.e. the fund is managed in a market neutral style. This enables the investment manager to take advantage of market cycles and conditions, irrespective of a particular investment style. The fund effects this strategy through investment in the PKF Arminius Core Fund, which is managed on the same basis.
The Arminius Capital Global Macro Multi Asset (GMMA) Fund, via its investment in the PKF Arminius Core Fund, invests in a diversified portfolio of global asset classes using a market neutral approach.

The aim of the fund is to provide returns with lower volatility and lower risk compared to a concentrated single market/asset class exposure.

Fund Fees

Management Fee: 1.26% Performance Fee: 10.125%
Buy Spread: 0% Sell spread: 0%
High Water Mark: Yes Hurdle: 0.0% (absolute return)

Fund Structure

Offshore/Onshore: Onshore Fund Structure: Unit Trust
Share Classes: AU$ Trustee/RE: Quay Fund Services
Administrator: Apex Fund Services Prime Broker: Interactive Brokers
Custodian: AET Structured Finance Services Legal: N/A

Ratings & Availability

Research Ratings

None.

Platform Availability

No Data.

Performance Review

The Arminius Capital GMMA Fund has a track record of 5 years and 6 months and has underperformed the Barclay Hedge Global Macro benchmark since inception in November 2016, providing investors with an annualised return of -1.92% compared with the benchmark's return of 6.39% over the same period.

The Manager has delivered these returns with 0.13% less volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 five times over the past five years and which currently sits at -0.52 since inception. The fund has provided positive monthly returns 56% of the time in rising markets and 39% of the time during periods of market decline, contributing to an up-capture ratio since inception of 10% and a down-capture ratio of 83%.

The Arminius Capital GMMA Fund returned -0.71% in April, a difference of -0.95% compared with the Barclay Hedge Global Macro benchmark which rose by +0.24%. Over the past 12 months, the fund's best monthly return was +1.52% compared with the benchmark's best return of +4.92%, and its worst monthly return was -1.05% vs the benchmark's worst return over the same period of -1.18%.

YearJan %Feb %Mar %Apr %May %Jun %Jul %Aug %Sep %Oct %Nov %Dec %YTD %
2022-0.61-1.05-0.62-0.71NANANANANANANANA-2.96
2021-0.480.410.350.38-0.34-0.830.821.02-0.790.26-0.731.521.57
20201.351.092.74-2.32-1.43-0.83-0.120.19-0.18-0.31-0.66-0.62-1.19
20190.060.100.34-0.241.220.180.571.41-2.740.250.68-1.87-0.12
20183.47-2.66-3.500.460.22-0.58-1.800.87-1.95-3.93-3.75-2.32-14.66
2017-0.02-0.143.140.020.060.94-0.081.07-1.151.47-1.360.994.97
2016NANANANANANANANANANA0.083.063.14

Annual Returns

Over the past 12 months, the fund has returned -2.08% compared with the benchmark which has returned +9.65%, for a difference of -11.73%. Since inception in November 2016, the fund has returned -1.92% per annum, a difference of -8.31% relative to the benchmark which has returned +6.39% 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 $89. The same amount invested in the benchmark over the same period would have become $140.

Annual Returns %

 
 

Volatility and Risk

Annual Standard Deviation

The fund's returns over the past 12 months have been achieved with a volatility of 2.84% vs the index's 5.57%. The annualised volatility of the fund's returns since inception in November 2016 is 5.13% vs the index's 5.26%. Over all other periods, the fund's returns have been consistently less volatile than the benchmark.

Sharpe Ratio

The fund's Sharpe ratio has ranged from a high of -0.34 for performance over the most recent 36 months to a low of -1.17 over the latest 24 months, and is -0.52 for performance since inception. By contrast, the Barclay Hedge Global Macro Index's Sharpe for performance since November 2016 is 1.03.

Annual Standard Deviation

 

Sharpe Ratio

 

Performance in Positive Markets

Since inception in November 2016 in the months where the market was positive, the fund has provided positive returns 56% of the time, contributing to an up-capture ratio for returns since inception of 10.15%. Over all other periods, the fund's up-capture ratio has ranged from a high of 2.02% over the most recent 60 months to a low of -9.11% over the latest 24 months.

Performance in Negative Markets

Since inception in November 2016 in the months where the market was negative, the fund has provided positive returns 39% of the time, contributing to a down-capture ratio for returns since inception of 82.66%. Over all other periods, the fund's down-capture ratio has ranged from a high of 84.2% over the most recent 60 months to a low of -10.38% 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 -0.47 for performance over the most recent 36 months to a low of -1.38 over the latest 24 months, and is -0.67 for performance since inception. By contrast, the Barclay Hedge Global Macro Index's Sortino for performance since November 2016 is 1.84.

Drawdown

Over the past 12 months, the fund's largest drawdown was -2.96% vs the index's -1.97%, and since inception in November 2016 the fund's largest drawdown was -19.77% 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

The Arminius Capital GMMA Fund is not ranked in the first or second quintile for any KPI.

Over the past 12 months, the fund has returned -2.08% compared with the peer group which has returned an average of +10.13%, for a difference of -12.21%.

The fund's returns over the past 12 months have been achieved with a volatility of 2.84% vs the peer group's average volatility of 2.62%. The annualised volatility of the fund's returns since inception in November 2016 is 5.13% vs the peer group's 10.12%. Over all other periods, the fund's volatility relative to the peer group has been varied.

Quintile data is pending for Arminius Capital GMMA Fund.

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.