Firetrail Absolute Return Fund
31 December 2024
Key Facts
| Index Used: | ASX 200 Total Return | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Equity Alternative - Australia | FUM (millions): | AU$ 129m |
| Investment Style: | Blend | Fund Inception Date: | March 2018 |
| Geographic Mandate: | Australia/Global | Latest Return Date: | December 2024 |
| Investor Type: | Wholesale & Retail | Status: | Open |
| Minimum Investment: | AU$ 20,000 | Investment Frequency: | Daily |
Manager Details
Pinnacle Investment Management Limited are partners and minority shareholders in the business.
Prior to establishing Firetrail, the portfolio management team including Patrick Hodgens, Blake Henricks and James Miller worked together at Macquarie for over a decade. The team were responsible for managing the Macquarie High Conviction Fund, which delivered 10.6% p.a. (after fees) from inception in November 2005 to October 2017.
Pinnacle Investment Management Limited are partners and minority shareholders in the business.
Strategy Description
Net exposure will typically be between -5% to +5% of the Fund's NAV (with a maximum of -30% to +30% of the Portfolio's NAV). The Fund's strategy provides investors with the opportunity to gain exposure to mispriced securities identified by Firetrail using fundamental, bottom-up research. The Fund will typically invest in 30 to 40 fundamentally driven long positions and approximately 100 short positions (20 to 30 fundamentally driven short positions and 70 to 80 risk positions).
The Fund is typically expected to be net market neutral. Firetrail will aim to achieve net market neutrality by ensuring that the Fund's exposure to long positions (securities held physically or via a derivative) is approximately equal to the Fund's exposure to short positions (a negative amount of securities held physically or via a derivative).
The Fund is permitted to invest in listed securities, pre-IPO securities, derivatives, cash and cash equivalent investments. Notwithstanding this broad mandate, the Fund is expected to be predominantly comprised of long positions and short positions in Australian listed securities with limited exposure to international listed securities and pre-IPO securities.
Firetrail Investments may use derivatives to hedge the overall exposure of the portfolio or leverage its exposure to particular investments. The Fund may use both exchange-traded and over-the-counter derivatives including options, futures, forwards, swaps, participatory notes and contracts for difference.
Fund Fees
| Management Fee: | 1.5% | Performance Fee: | 20% |
| Buy Spread: | 0.35% | Sell spread: | 0.35% |
| High Water Mark: | Yes | Hurdle: | RBA Cash Rate |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$ | Trustee/RE: | Pinnacle Fund Services Limited |
| Administrator: | Citigroup | Prime Broker: | N/A |
| Custodian: | Citigroup | Legal: | N/A |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Firetrail Absolute Return Fund has a track record of 6 years and 10 months and has underperformed the ASX 200 Total Return benchmark since inception in March 2018, providing investors with an annualised return of 1.32% compared with the benchmark's return of 8.7% over the same period.
The Manager has delivered these returns with 3.69% less 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 0.01 since inception. The fund has provided positive monthly returns 49% of the time in rising markets and 48% of the time during periods of market decline, contributing to an up-capture ratio since inception of -1% and a down-capture ratio of -19%.
The Firetrail Absolute Return Fund returned -0.07% in December, an outperformance of +3.08% compared with the ASX 200 Total Return benchmark which fell by -3.15%. Over the past 12 months, the fund's best monthly return was +6.07% compared with the benchmark's best return of +4.19%, and its worst monthly return was -4.95% vs the benchmark's worst return over the same period of -3.15%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -4.95 | -1.33 | 4.58 | 3.20 | 1.23 | 2.75 | 0.68 | -0.65 | 4.16 | 0.63 | 6.07 | -0.07 | 17.00 |
| 2023 | -3.94 | 1.32 | 1.17 | -0.97 | 3.92 | 0.73 | 1.66 | 0.49 | -0.79 | -0.73 | -2.90 | 0.47 | 0.19 |
| 2022 | -0.12 | 0.11 | -4.40 | -1.39 | -0.63 | -3.59 | -5.13 | -2.01 | 1.16 | -2.36 | 0.85 | 2.44 | -14.33 |
| 2021 | 3.01 | 5.43 | -0.02 | 0.86 | -0.79 | -6.48 | -2.69 | 3.46 | 1.67 | 3.18 | -1.30 | -2.03 | 3.77 |
| 2020 | -2.40 | -0.47 | -6.89 | 12.64 | 4.23 | -2.38 | 5.78 | 1.42 | 4.28 | -1.96 | 1.89 | 3.14 | 19.48 |
| 2019 | 1.56 | -1.11 | -0.02 | 0.76 | -5.03 | -1.58 | 3.08 | 3.45 | -1.05 | -0.48 | 0.48 | 4.94 | 4.72 |
| 2018 | NA | NA | -0.63 | -0.12 | -6.36 | -3.29 | 0.87 | -5.10 | 3.66 | -1.48 | -1.42 | -3.15 | -16.11 |
Annual Returns
Over the past 12 months, the fund has risen by +17% compared with the benchmark which has returned +11.44%, for a difference of +5.56%. Since inception in March 2018, the fund has returned +1.32% per annum, a difference of -7.38% relative to the benchmark which has returned +8.7% 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 $109. The same amount invested in the benchmark over the same period would have become $176.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 9.99% vs the index's 8.09%. The annualised volatility of the fund's returns since inception in March 2018 is 11.22% vs the index's 14.91%. 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 1.2 for performance over the most recent 12 months to a low of -0.29 over the latest 36 months, and is 0.01 for performance since inception. By contrast, the ASX 200 Total Return Index's Sharpe for performance since March 2018 is 0.52.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in March 2018 in the months where the market was positive, the fund has provided positive returns 49% of the time, contributing to an up-capture ratio for returns since inception of -0.59%. Over all other periods, the fund's up-capture ratio has ranged from a high of 63.34% over the most recent 12 months to a low of -5.99% over the latest 36 months.
Performance in Negative Markets
Since inception in March 2018 in the months where the market was negative, the fund has provided positive returns 48% of the time, contributing to a down-capture ratio for returns since inception of -18.55%. Over all other periods, the fund's down-capture ratio has ranged from a high of -12.18% over the most recent 60 months to a low of -52.3% 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's Sortino ratio (which excludes volatility in positive months) has ranged from a high of 2.03 for performance over the most recent 12 months to a low of -0.44 over the latest 36 months, and is -0.06 for performance since inception. By contrast, the ASX 200 Total Return Index's Sortino for performance since March 2018 is 0.6.
Drawdown
Over the past 12 months, the fund's largest drawdown was -1.33% vs the index's -3.15%, and since inception in March 2018 the fund's largest drawdown was -23.73% 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 December 2024
The performance of the Firetrail Absolute Return Fund ranked it in the first quintile for Volatility and Downside Deviation over 5 years, while over 3 years the fund ranked in the second quintile for Volatility and Downside Deviation. Over 1 year, it ranked in the first quintile for Total Return and second quintile for Sharpe and Sortino.
Over the past 12 months, the fund has risen by +17% compared with the peer group which has returned an average of +9.48%, for a difference of +7.52%.
The fund's returns over the past 12 months have been achieved with a volatility of 9.99% vs the peer group's average volatility of 5.33%. The annualised volatility of the fund's returns since inception in March 2018 is 11.22% vs the peer group's 8.96%. Over all other periods, the fund's returns have been more volatile than the peer group.