Frazis Fund
31 March 2024
Key Facts
| Index Used: | All Countries World Index (AUD) | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Equity Alternative - Global | FUM (millions): | AU$ 87m |
| Investment Style: | Blend | Fund Inception Date: | July 2018 |
| Geographic Mandate: | Global | Latest Return Date: | March 2024 |
| Investor Type: | Wholesale | Status: | Open |
| Minimum Investment: | US$ 100,000 | Investment Frequency: | Monthly |
Manager Details
Michael Frazis, the fund's Chief Investment Officer, is responsible for the fund's investments. He has over 10 years' experience in public markets. For the first 5 years of his career he worked for a private equity firm analysing listed and unlisted investments across the capital structure in the UK, Australia and New Zealand. Michael holds a BA and Master of Chemistry from Oxford University where he was a member of Magdalen College.
Michael Frazis, the fund's Chief Investment Officer, is responsible for the fund's investments. He has over 10 years' experience in public markets. For the first 5 years of his career he worked for a private equity firm analysing listed and unlisted investments across the capital structure in the UK, Australia and New Zealand. Michael holds a BA and Master of Chemistry from Oxford University where he was a member of Magdalen College.
Strategy Description
The manager follows a disciplined, process-driven, and thematic strategy focused on five core investment strategies:
1) Growth stocks that are really value stocks;
2) Traditional deep value;
3) The life sciences;
4) Miners and drillers expanding production into supply deficits;
5) Global special situations;
The manager uses a macro overlay to manage exposure, hedging in three ways:
1) Direct shorts
2) Upside exposure to the VIX index
3) Index optionality
The manager follows a disciplined, process-driven, and thematic strategy focused on five core investment strategies: Growth stocks that are really value stocks; Traditional deep value; The life sciences; Miners and drillers expanding production into supply deficits; Global special situations.
Fund Fees
| Management Fee: | 1.5% | Performance Fee: | 20% |
| Buy Spread: | 0.2% | Sell spread: | 0.2% |
| High Water Mark: | Yes | Hurdle: | N/A |
Fund Structure
| Offshore/Onshore: | Offshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$ | Trustee/RE: | Evolution Trustees Limited |
| Administrator: | Mainstream Fund Services | Prime Broker: | Interactive Brokers LLC |
| Custodian: | Mainstream Fund Services | Legal: | Walkers (Dubai) LLP |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Frazis Fund has a track record of 5 years and 9 months and has underperformed the All Countries World (AUD) benchmark since inception in July 2018, providing investors with an annualised return of 0.14% compared with the benchmark's return of 12.28% over the same period.
The Manager has delivered these returns with 26.76% more volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 four times over the past five years and which currently sits at 0.16 since inception. The fund has provided positive monthly returns 74% of the time in rising markets and 15% of the time during periods of market decline, contributing to an up-capture ratio since inception of 224% and a down-capture ratio of 174%.
The Frazis Fund rose by +1% in March, a difference of -2.01% compared with the All Countries World (AUD) benchmark which rose by +3.01%. Over the past 12 months, the fund's best monthly return was +17.32% compared with the benchmark's best return of +5.32%, and its worst monthly return was -10.42% vs the benchmark's worst return over the same period of -3.27%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 10.46 | 13.00 | 1.00 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 26.07 |
| 2023 | 19.99 | -4.61 | 5.00 | -3.00 | 9.10 | 4.10 | 6.10 | -8.00 | -8.00 | -10.42 | 17.32 | 12.45 | 40.51 |
| 2022 | -24.60 | -2.80 | -5.61 | -26.56 | -14.54 | -12.46 | 16.00 | -2.62 | -6.29 | -4.20 | -2.02 | -13.00 | -67.15 |
| 2021 | 12.10 | 2.50 | -9.10 | 1.20 | -4.00 | 14.30 | -7.40 | 8.00 | -7.50 | 1.30 | -7.40 | -12.40 | -11.84 |
| 2020 | 11.40 | -6.20 | -27.80 | 24.90 | 16.70 | 13.90 | 6.10 | 15.50 | -1.10 | 1.40 | 24.80 | 8.50 | 108.43 |
| 2019 | 8.74 | 6.30 | 2.90 | 3.60 | -1.80 | -7.40 | 0.90 | 10.90 | -10.81 | 7.60 | 7.50 | -4.00 | 24.18 |
| 2018 | NA | NA | NA | NA | NA | NA | 2.04 | 1.63 | -3.40 | -14.50 | -3.30 | -8.37 | -24.11 |
Annual Returns
Over the past 12 months, the fund has risen by +47.4% compared with the benchmark which has returned +26.01%, for a difference of +21.39%. Since inception in July 2018, the fund has returned +0.14% per annum, a difference of -12.14% relative to the benchmark which has returned +12.28% on an annualised basis over the same period.
Cumulative Returns
On a cumulative basis (assuming reinvestment of distributions), $100 invested since inception would have remained unchanged at $100. The same amount invested in the benchmark over the same period would have become $194.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 30.9% vs the index's 9.57%. The annualised volatility of the fund's returns since inception in July 2018 is 38.36% vs the index's 11.6%. Over all other periods, the fund's returns have been more volatile than the benchmark.
Sharpe Ratio
The fund's Sharpe ratio has ranged from a high of 1.3 for performance over the most recent 12 months to a low of -0.48 over the latest 36 months, and is 0.16 for performance since inception. By contrast, the All Countries World (AUD) Index's Sharpe for performance since July 2018 is 0.94.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in July 2018 in the months where the market was positive, the fund has provided positive returns 74% of the time, contributing to an up-capture ratio for returns since inception of 223.81%. Over all other periods, the fund's up-capture ratio has ranged from a high of 276.51% over the most recent 48 months to a low of 125.78% over the latest 36 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 2018 in the months where the market was negative, the fund has provided positive returns 15% of the time, contributing to a down-capture ratio for returns since inception of 173.98%. Over all other periods, the fund's down-capture ratio has ranged from a high of 388.87% over the most recent 12 months to a low of 186.43% over the latest 60 months.
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 2.17 for performance over the most recent 12 months to a low of -0.87 over the latest 36 months, and is -0.05 for performance since inception. By contrast, the All Countries World (AUD) Index's Sortino for performance since July 2018 is 1.41.
Drawdown
Over the past 12 months, the fund's largest drawdown was -24.18% vs the index's -6.22%, and since inception in July 2018 the fund's largest drawdown was -75.03% vs the index's maximum drawdown over the same period of -16.02%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Equity Alternative - Global as of March 2024
The performance of the Frazis Fund ranked it in the first quintile for Total Return and second quintile for Sortino over 1 year.
Over the past 12 months, the fund has risen by +47.4% compared with the peer group which has returned an average of +12.41%, for a difference of +34.99%.
The fund's returns over the past 12 months have been achieved with a volatility of 30.9% vs the peer group's average volatility of 4.79%. The annualised volatility of the fund's returns since inception in July 2018 is 38.36% vs the peer group's 9.18%. Over all other periods, the fund's returns have been more volatile than the peer group.