Yarra Enhanced Income Fund
31 December 2024
Key Facts
| Index Used: | Bloomberg AusBond Composite 0+ Yr Index | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Fixed Income - Hybrid Credit | FUM (millions): | AU$ 1,862.4m |
| Investment Style: | N/A | Fund Inception Date: | June 2003 |
| Geographic Mandate: | Australia | Latest Return Date: | December 2024 |
| Investor Type: | Wholesale & Retail | Status: | Open |
| Minimum Investment: | AU$ 50,000 | Investment Frequency: | Daily |
Manager Details
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.
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
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
Platform Availability
Performance Review
The Yarra Enhanced Income Fund has a track record of 21 years and 6 months and has outperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in July 2003, providing investors with an annualised return of 5.5% compared with the benchmark's return of 4.22% over the same period.
The Manager has delivered these returns with 1.71% 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 0.42 since inception. The fund has provided positive monthly returns 80% of the time in rising markets and 73% of the time during periods of market decline, contributing to an up-capture ratio since inception of 41% and a down-capture ratio of -54%.
The Yarra Enhanced Income Fund rose by +0.87% in December, an outperformance of +0.79% compared with the Bloomberg AusBond Composite 0+ Yr benchmark which rose by +0.08%. Over the past 12 months, the fund's best monthly return was +1.27% compared with the benchmark's best return of +1.48%, and its worst monthly return was +0.28% vs the benchmark's worst return over the same period of -1.98%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.69 | 0.52 | 0.78 | 0.28 | 0.82 | 0.46 | 1.27 | 0.70 | 0.67 | 0.74 | 0.55 | 0.87 | 8.68 |
| 2023 | 1.46 | 0.20 | 0.90 | 0.52 | -0.20 | 0.07 | 1.43 | 0.95 | 0.15 | 0.18 | 1.25 | 1.68 | 8.93 |
| 2022 | -0.03 | -0.19 | -0.37 | -0.52 | -0.40 | -0.41 | 0.32 | 0.58 | 0.02 | 0.04 | 0.99 | 0.33 | 0.34 |
| 2021 | 0.70 | 1.16 | 0.65 | 0.58 | 0.64 | 0.40 | -0.44 | 0.13 | 0.33 | 0.33 | 0.39 | 0.20 | 5.19 |
| 2020 | 1.06 | -0.39 | -7.60 | 2.82 | 0.53 | 1.21 | 0.34 | 0.70 | 0.29 | 0.81 | 0.76 | 0.84 | 1.00 |
| 2019 | 0.31 | 0.73 | 0.82 | 0.41 | 0.67 | 0.88 | 0.91 | -0.01 | 0.46 | 0.06 | 0.23 | 0.53 | 6.17 |
| 2018 | 0.40 | -0.14 | -0.54 | 0.60 | 0.09 | 1.35 | 0.61 | 1.62 | 0.16 | -0.22 | -0.09 | 0.62 | 4.53 |
| 2017 | 0.67 | 0.62 | 0.84 | 0.24 | 1.03 | 0.18 | 0.93 | 0.22 | 0.26 | 0.80 | 0.31 | 0.68 | 6.99 |
| 2016 | -0.97 | -0.31 | 0.75 | 1.31 | 0.85 | 0.46 | 1.09 | 1.43 | -0.25 | 0.69 | 0.49 | 2.15 | 7.94 |
| 2015 | 0.10 | 0.84 | 0.24 | 0.16 | -0.06 | -0.94 | 1.00 | -0.98 | -0.38 | 0.89 | -0.28 | 0.38 | 0.95 |
| 2014 | 0.37 | 0.69 | 0.66 | 0.56 | 1.01 | 0.94 | 1.08 | -0.10 | -0.69 | 0.64 | 0.79 | 0.42 | 6.55 |
| 2013 | 1.05 | 0.13 | 0.93 | 0.82 | 0.41 | -0.75 | 1.03 | 1.09 | 1.48 | 0.95 | 0.13 | 1.25 | 8.85 |
| 2012 | 0.98 | -1.85 | 1.06 | 0.98 | -1.61 | 0.65 | 1.78 | 0.40 | 1.98 | 2.91 | 0.91 | 0.15 | 8.53 |
| 2011 | 0.89 | 1.26 | 0.62 | 1.89 | -2.13 | -0.88 | 0.31 | -1.15 | -0.24 | 2.22 | -1.11 | 1.63 | 3.25 |
| 2010 | 3.04 | -0.04 | 1.42 | 2.51 | -1.53 | -0.45 | 1.83 | 1.74 | 1.87 | 2.64 | 0.85 | 0.56 | 15.34 |
| 2009 | 1.26 | -6.38 | -0.44 | 6.69 | 3.04 | 3.74 | 7.83 | 4.16 | 3.53 | 1.69 | 0.62 | 3.03 | 31.95 |
| 2008 | -4.31 | -2.85 | -1.01 | 3.44 | 0.12 | -2.71 | -0.36 | 1.46 | -3.13 | -8.73 | -8.27 | -1.08 | -24.79 |
| 2007 | 0.77 | 0.77 | -0.11 | 0.91 | 0.47 | -0.21 | -0.07 | 0.11 | 0.74 | 0.29 | -0.99 | -0.99 | 1.67 |
| 2006 | 1.09 | 0.75 | 0.38 | 0.66 | 0.56 | 0.79 | 0.51 | 0.60 | 0.92 | 0.51 | 0.57 | 1.04 | 8.70 |
| 2005 | 2.04 | -0.26 | 0.29 | -0.20 | -0.29 | 1.41 | 0.42 | 0.39 | 0.56 | -0.11 | 0.70 | 0.18 | 5.22 |
| 2004 | 1.37 | 0.88 | 0.34 | 0.85 | 0.27 | 1.16 | 0.67 | 0.87 | 0.64 | 1.18 | 0.28 | 1.02 | 9.95 |
| 2003 | NA | NA | NA | NA | NA | NA | -0.52 | 0.58 | 0.15 | 0.98 | -0.52 | 1.20 | 1.87 |
Only seven years of data shown. Click here to view all data.
Annual Returns
Over the past 12 months, the fund has risen by +8.68% compared with the benchmark which has returned +2.5%, for a difference of +6.18%. Since inception in July 2003, the fund has returned +5.5% per annum, a difference of +1.28% relative to the benchmark which has returned +4.22% 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 $316. The same amount invested in the benchmark over the same period would have become $243.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 0.82% vs the index's 3.72%. The annualised volatility of the fund's returns since inception in July 2003 is 5.39% vs the index's 3.68%. 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 5 for performance over the most recent 12 months to a low of 0.69 over the latest 60 months, and is 0.42 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since July 2003 is 0.27.
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 80% of the time, contributing to an up-capture ratio for returns since inception of 41.33%. Over all other periods, the fund's up-capture ratio has ranged from a high of 101.82% over the most recent 12 months to a low of 56.02% over the latest 48 months. An up-capture ratio greater than 100% indicates that, on average, the fund has outperformed in the market's positive months.
Performance in Negative Markets
Since inception in July 2003 in the months where the market was negative, the fund has provided positive returns 73% of the time, contributing to a down-capture ratio for returns since inception of -53.66%. Over all other periods, the fund's down-capture ratio has ranged from a high of -1.91% over the most recent 60 months to a low of -37.6% over the latest 12 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. The Bloomberg AusBond Composite 0+ Yr Index's Sortino ratio over the same period is 0.35. The Sortino ratio differs from the Sharpe ratio in that it only considers the volatility of negative returns over a particular time period.
Drawdown
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 -1.98%. 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%
Quintile Ranking vs. Average Fixed Income - Hybrid Credit as of December 2024
The performance of the Yarra Enhanced Income Fund ranked it in the second quintile for all KPIs except Downside Deviation and Largest Drawdown over 7 years, while over 3 years the fund ranked in the second quintile for Volatility, Sortino and Downside Deviation. Over 1 year, the fund ranked in the first or second quintile for all KPIs except Total Return and Volatility.
Over the past 12 months, the fund has risen by +8.68% compared with the peer group which has returned an average of +10.14%, for a difference of -1.46%.
The fund's returns over the past 12 months have been achieved with a volatility of 0.82% vs the peer group's average volatility of 1.19%. The annualised volatility of the fund's returns since inception in July 2003 is 5.39% vs the peer group's 3.86%. Over all other periods, the fund's volatility relative to the peer group has been varied.