Watermark Absolute Return Fund
31 August 2023
Key Facts
| Index Used: | ASX 200 Total Return | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Equity Alternative - Australia | FUM (millions): | AU$ 88m |
| Investment Style: | Blend | Fund Inception Date: | May 2019 |
| Geographic Mandate: | Australia | Latest Return Date: | August 2023 |
| Investor Type: | Wholesale & Retail | Status: | Open |
| Minimum Investment: | AU$ 50,000 | Investment Frequency: | Monthly |
Manager Details
The Fund's Portfolio will be managed by Watermark Funds Management Pty Limited (Manager), a licensed financial services provider owned by an entity associated with Justin Braitling. The Fund provides investors with the opportunity to invest in an actively managed portfolio and gain access to the investment experience and expertise of the Manager.
Watermark is an active, high conviction fund manager investing in Australian public companies. Established in 2003 by Justin Braitling, who has over 30 years experience managing portfolios of Australian and International shares, Watermark comprises a team of experienced investment professionals based in Sydney.
Strategy Description
The Portfolio will be constructed across the full size-spectrum of companies. Watermark categorises the securities market by company size (larger companies, smaller companies and micro-cap companies). The Fund is expected to hold between 40-70% of its gross exposure in the shares of the 100 largest companies listed on the ASX, with the balance in smaller companies. Watermark will aim to have a balance in terms of Long/Short exposures to large and small companies, to ensure there is no material size bias in the overall portfolio structure.
The Fund expects to hold 40-70% of its gross exposure in top 100 ASX listed companies, with the balance outside the Top 100.
Fund Fees
| Management Fee: | 1.3% | Performance Fee: | % |
| Buy Spread: | 0.3% | Sell spread: | 0.3% |
| High Water Mark: | Yes | Hurdle: | RBA Cash Rate |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$ | Trustee/RE: | Equity Trustees Ltd |
| Administrator: | APEX | Prime Broker: | UBS AG, Australia Branch |
| Custodian: | UBS Nominees Pty Limited | Legal: | N/A |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Watermark Absolute Return Fund has a track record of 4 years and 4 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has underperformed the ASX 200 Total Return benchmark since inception in May 2019, providing investors with an annualised return of 0.95% compared with the benchmark's return of 7.43% over the same period.
The Manager has delivered these returns with 12.33% less volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 four times over the past four years and which currently sits at -0.01 since inception. The fund has provided positive monthly returns 48% of the time in rising markets and 58% of the time during periods of market decline, contributing to an up-capture ratio since inception of 0% and a down-capture ratio of -6%.
The Watermark Absolute Return Fund rose by +0.2% in August, an outperformance of +0.93% compared with the ASX 200 Total Return benchmark which fell by -0.73%. Over the past 12 months, the fund's best monthly return was +1.1% compared with the benchmark's best return of +6.58%, and its worst monthly return was -2.3% vs the benchmark's worst return over the same period of -6.17%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -1.90 | 1.10 | -0.80 | -0.20 | -0.50 | -2.30 | -0.90 | 0.20 | NA | NA | NA | NA | -5.22 |
| 2022 | -0.24 | 0.15 | 0.41 | -0.08 | 0.20 | 0.22 | -0.97 | -0.83 | -1.31 | -0.57 | -1.17 | 1.00 | -3.17 |
| 2021 | 0.78 | 3.85 | -1.14 | 0.96 | -0.52 | -2.42 | 0.68 | 0.48 | 0.02 | 2.86 | 1.11 | 0.37 | 7.10 |
| 2020 | 0.75 | -1.11 | -2.42 | 0.86 | -0.66 | -1.25 | 1.06 | 1.09 | 0.13 | 1.42 | 2.76 | -1.08 | 1.43 |
| 2019 | NA | NA | NA | NA | -0.70 | 0.94 | 2.09 | 1.54 | -0.49 | 1.59 | -0.42 | -0.10 | 4.49 |
Annual Returns
Over the past 12 months, the fund has returned -7.16% compared with the benchmark which has returned +9.56%, for a difference of -16.72%. Since inception in May 2019, the fund has returned +0.95% per annum, a difference of -6.48% relative to the benchmark which has returned +7.43% 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 $104. The same amount invested in the benchmark over the same period would have become $136.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 3.43% vs the index's 13.65%. The annualised volatility of the fund's returns since inception in May 2019 is 4.47% vs the index's 16.8%. 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 -0.15 for performance over the most recent 36 months to a low of -3.11 over the latest 12 months, and is -0.01 for performance since inception. By contrast, the ASX 200 Total Return Index's Sharpe for performance since May 2019 is 0.45.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in May 2019 in the months where the market was positive, the fund has provided positive returns 48% of the time, contributing to an up-capture ratio for returns since inception of 0.42%. Over all other periods, the fund's up-capture ratio has ranged from a high of -0.86% over the most recent 48 months to a low of -24.46% over the latest 12 months.
Performance in Negative Markets
Since inception in May 2019 in the months where the market was negative, the fund has provided positive returns 58% of the time, contributing to a down-capture ratio for returns since inception of -6.2%. Over all other periods, the fund's down-capture ratio has ranged from a high of 2.32% over the most recent 12 months to a low of -12.13% over the latest 24 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 -0.25 for performance over the most recent 36 months to a low of -2.4 over the latest 12 months, and is -0.05 for performance since inception. By contrast, the ASX 200 Total Return Index's Sortino for performance since May 2019 is 0.47.
Drawdown
Over the past 12 months, the fund's largest drawdown was -6.12% vs the index's -3.31%, and since inception in May 2019 the fund's largest drawdown was -9.01% vs the index's maximum drawdown over the same period of -26.75%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Equity Alternative - Australia as of August 2023
The performance of the Watermark Absolute Return Fund ranked it in the first quintile for Volatility and Downside Deviation and second quintile for Largest Drawdown over 3 years, while over 1 year the fund ranked in the first quintile for Volatility and Downside Deviation.
Over the past 12 months, the fund has returned -7.16% compared with the peer group which has returned an average of +10.33%, for a difference of -17.49%.
The fund's returns over the past 12 months have been achieved with a volatility of 3.43% vs the peer group's average volatility of 7.05%. The annualised volatility of the fund's returns since inception in May 2019 is 4.47% vs the peer group's 8.99%. Over all other periods, the fund's returns have been consistently less volatile than the peer group.
No Quintile data found for peer group benchmark ASX200 Total Return