Key Facts

Index Used: Bloomberg AusBond Composite 0+ Yr Index Discretionary/Quantitative: Discretionary
Peer Group: Fixed Income - Hybrid Credit FUM (millions): AU$ 930m
Investment Style: N/A Fund Inception Date: June 2003
Geographic Mandate: Australia Latest Return Date: March 2024
Investor Type: Wholesale & Retail Status: Open
Minimum Investment: AU$ 50,000 Investment Frequency: Daily

Manager Details

Yarra Capital Management was established in 2007 following the management buyout of Goldman Sachs Asset Management's Australian-focused investment capabilities and operating platform, backed by TA Associates, a global growth private equity firm with a long history of investing in funds management companies.

The firm is led by the senior management team comprising Dion Hershan (Managing Director and Head of Australian Equities), Katie Hudson (Portfolio Manager and Head of Australian Equities Research), Roy Keenan (Head of Australian Fixed Income) and Brett Davidson (Chief Operating Officer). Dion, Katie, Roy and Brett lead a team of more than 35 professionals focused on delivering the best outcomes for the firm's institutional and retail clients. The investment team comprises 15 investment professionals with an average 14 years' industry experience.
Yarra Capital Management was established in 2007 following the management buyout of Goldman Sachs Asset Management's Australian investment capabilities and is backed by TA Associates, a global private equity firm with a history of investing in fund managers.

The firm is led by Dion Hershan (MD and Head of Australian Equities), Katie Hudson (Portfolio Manager and Head of Australian Equities Research), Roy Keenan (Head of Australian Fixed Income) and Brett Davidson (COO). The team comprises 15 investment professionals.

Strategy Description

The Yarra Enhanced Income Fund aims to earn higher returns than traditional cash management and fixed income investments (over the medium-to-long term) by investing in a diversified portfolio of fixed income and hybrid (debt/equity) securities.
The Yarra Enhanced Income Fund aims to earn higher returns than traditional cash management and fixed income investments (over the medium-to-long term) by investing in a diversified portfolio of fixed income and hybrid (debt/equity) securities.

Fund Fees

Management Fee: 0.78% Performance Fee: 0%
Buy Spread: 0.1% Sell spread: 0.1%
High Water Mark: Hurdle: N/A

Fund Structure

Offshore/Onshore: Onshore Fund Structure: Unit Trust
Share Classes: AU$ Trustee/RE: Yarra Funds Management Limited
Administrator: Yarra Funds Management Prime Broker: N/A
Custodian: RBC Investor Services Legal: Internal

Ratings & Availability

Research Ratings

None.

Platform Availability

No Data.

Performance Review

The Yarra Enhanced Income Fund has a track record of 20 years and 9 months and has outperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in July 2003, providing investors with an annualised return of 5.38% compared with the benchmark's return of 4.31% over the same period.

The Manager has delivered these returns with 1.82% more volatility than the benchmark, contributing to a Sharpe ratio which has only fallen below 1 once over the past five years and which currently sits at 0.4 since inception. The fund has provided positive monthly returns 79% of the time in rising markets and 72% of the time during periods of market decline, contributing to an up-capture ratio since inception of 40% and a down-capture ratio of -53%.

The Yarra Enhanced Income Fund rose by +0.78% in March, a difference of -0.34% compared with the Bloomberg AusBond Composite 0+ Yr benchmark which rose by +1.12%. Over the past 12 months, the fund's best monthly return was +1.68% compared with the benchmark's best return of +3.01%, and its worst monthly return was -0.2% vs the benchmark's worst return over the same period of -1.95%.

YearJan %Feb %Mar %Apr %May %Jun %Jul %Aug %Sep %Oct %Nov %Dec %YTD %
20240.690.520.78NANANANANANANANANA2.01
20231.460.200.900.52-0.200.071.430.950.150.181.251.688.93
2022-0.03-0.19-0.37-0.52-0.40-0.410.320.580.020.040.990.330.34
20210.701.160.650.580.640.40-0.440.130.330.330.390.205.19
20201.06-0.39-7.602.820.531.210.340.700.290.810.760.841.00
20190.310.730.820.410.670.880.91-0.010.460.060.230.536.17
20180.40-0.14-0.540.600.091.350.611.620.16-0.22-0.090.624.53
20170.670.620.840.241.030.180.930.220.260.800.310.686.99
2016-0.97-0.310.751.310.850.461.091.43-0.250.690.492.157.94
20150.100.840.240.16-0.06-0.941.00-0.98-0.380.89-0.280.380.95
20140.370.690.660.561.010.941.08-0.10-0.690.640.790.426.55
20131.050.130.930.820.41-0.751.031.091.480.950.131.258.85
20120.98-1.851.060.98-1.610.651.780.401.982.910.910.158.53
20110.891.260.621.89-2.13-0.880.31-1.15-0.242.22-1.111.633.25
20103.04-0.041.422.51-1.53-0.451.831.741.872.640.850.5615.34
20091.26-6.38-0.446.693.043.747.834.163.531.690.623.0331.95
2008-4.31-2.85-1.013.440.12-2.71-0.361.46-3.13-8.73-8.27-1.08-24.79
20070.770.77-0.110.910.47-0.21-0.070.110.740.29-0.99-0.991.67
20061.090.750.380.660.560.790.510.600.920.510.571.048.70
20052.04-0.260.29-0.20-0.291.410.420.390.56-0.110.700.185.22
20041.370.880.340.850.271.160.670.870.641.180.281.029.95
2003NANANANANANA-0.520.580.150.98-0.521.201.87

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

Annual Returns

Over the past 12 months, the fund has risen by +8.32% compared with the benchmark which has returned +1.47%, for a difference of +6.85%. Since inception in July 2003, the fund has returned +5.38% per annum, a difference of +1.07% relative to the benchmark which has returned +4.31% 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 $296. The same amount invested in the benchmark over the same period would have become $239.

Annual Returns %

 
 

Volatility and Risk

Annual Standard Deviation

The fund's returns over the past 12 months have been achieved with a volatility of 1.92% vs the index's 5.4%. The annualised volatility of the fund's returns since inception in July 2003 is 5.48% vs the index's 3.66%. 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 2.14 for performance over the most recent 48 months to a low of 0.7 over the latest 60 months, and is 0.4 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since July 2003 is 0.3.

Annual Standard Deviation

 

Sharpe Ratio

 

Performance in Positive Markets

Since inception in July 2003 in the months where the market was positive, the fund has provided positive returns 79% of the time, contributing to an up-capture ratio for returns since inception of 40.45%. Over all other periods, the fund's up-capture ratio has ranged from a high of 86.53% over the most recent 12 months to a low of 47.61% over the latest 36 months.

Performance in Negative Markets

Since inception in July 2003 in the months where the market was negative, the fund has provided positive returns 72% of the time, contributing to a down-capture ratio for returns since inception of -53.32%. Over all other periods, the fund's down-capture ratio has ranged from a high of -2.06% over the most recent 60 months to a low of -26.9% over the latest 48 months. 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 has had too few negative returns returns over the past 12 months for a Sortino ratio to be calculated. Over all other periods its Sortino ratio (which excludes volatility in positive months) has ranged from a high of 0 to a low of 0. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sortino for performance since July 2003 is 0.41.

Drawdown

Over the past 12 months, the fund's largest drawdown was -0.2% vs the index's -5.2%, and since inception in July 2003 the fund's largest drawdown was -30.43% vs the index's maximum drawdown over the same period of -13.2%.

Sortino Ratio

 

Drawdown%

 
Fund Index Peer group

Quintile Ranking vs. Average Fixed Income - Hybrid Credit as of March 2024

The performance of the Yarra Enhanced Income Fund ranked it in the first quintile for Sharpe and second quintile for Total Return and Sortino over 7 years, while over 5 years the fund ranked in the second quintile for Sharpe. Over 3 years, the fund ranked in the first or second quintile for all KPIs except Total Return, and over 1 year it ranked in the first or second quintile for all KPIs except Volatility.

Over the past 12 months, the fund has risen by +8.32% compared with the peer group which has returned an average of +8.8%, for a difference of -0.48%.

The fund's returns over the past 12 months have been achieved with a volatility of 1.92% vs the peer group's average volatility of 1.24%. The annualised volatility of the fund's returns since inception in July 2003 is 5.48% vs the peer group's 3.8%. Over all other periods, the fund's returns have been more volatile than the peer group.

1 Year
3 Year
5 Year
7 Year
Yarra Enhanced Income Fund
RBA Cash Rate + 5%
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.