Bentham Asset Backed Securities Fund
31 March 2024
Key Facts
| Index Used: | Bloomberg AusBond Composite 0+ Yr Index | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Fixed Income - Debt | FUM (millions): | AU$ 74.56m |
| Investment Style: | N/A | Fund Inception Date: | October 2016 |
| Geographic Mandate: | Australia/Global | Latest Return Date: | March 2024 |
| Investor Type: | Retail | Status: | Open |
| Minimum Investment: | AU$ 10,000 | Investment Frequency: | Daily |
Manager Details
Strategy Description
The Fund's strategic positioning is based on a top down assessment of macro economic and investment market conditions. Active allocations to different global asset backed security sectors are made according to quarterly forecasts of prospective risk adjusted returns.
The Fund uses bottom-up analysis to select individual investments and employs a conservative approach to credit selection, emphasising preservation of principal.
Fund Fees
| Management Fee: | 0.35% | Performance Fee: | 0% |
| Buy Spread: | 0.09% | Sell spread: | 0.09% |
| High Water Mark: | No | Hurdle: | N/A |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$ | Trustee/RE: | Fidante Partners |
| Administrator: | Fidante Partners | Prime Broker: | N/A |
| Custodian: | Citi | Legal: | External advisers appointed as required |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Bentham Asset Backed Securities Fund has a track record of 6 years and 2 months and has outperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in February 2018, providing investors with an annualised return of 3% compared with the benchmark's return of 1.46% over the same period.
The Manager has delivered these returns with 0.51% less volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 five times over the past five years and which currently sits at 0.35 since inception. The fund has provided positive monthly returns 93% of the time in rising markets and 52% of the time during periods of market decline, contributing to an up-capture ratio since inception of 57% and a down-capture ratio of 34%.
The Bentham Asset Backed Securities Fund rose by +1.3% in March, an outperformance of +0.18% 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 +3.15% compared with the benchmark's best return of +3.01%, and its worst monthly return was -1.73% vs the benchmark's worst return over the same period of -1.95%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.49 | -0.11 | 1.30 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.68 |
| 2023 | 2.70 | -0.55 | 2.03 | 0.72 | -0.60 | -1.73 | 0.88 | 1.14 | -0.63 | -0.77 | 3.00 | 3.15 | 9.59 |
| 2022 | 0.08 | -0.13 | -0.42 | 0.21 | -0.86 | -1.56 | -0.17 | 0.86 | -1.66 | 0.89 | 2.31 | -0.53 | -1.02 |
| 2021 | 0.45 | 0.20 | 0.34 | 0.16 | 0.27 | 0.05 | 0.14 | 0.17 | 0.12 | -0.11 | 0.18 | 0.06 | 2.03 |
| 2020 | 0.19 | 0.14 | -7.84 | 1.44 | 3.62 | 0.70 | 0.69 | 0.70 | 0.59 | 0.35 | 0.64 | 0.61 | 1.41 |
| 2019 | 0.56 | 0.45 | 0.38 | 0.36 | 0.51 | 0.27 | 0.13 | 0.13 | 0.38 | 0.09 | 0.35 | 0.29 | 3.95 |
| 2018 | NA | 0.01 | 0.14 | 0.27 | 0.33 | 0.10 | -0.02 | 0.16 | 0.41 | 0.34 | 0.16 | -0.74 | 1.16 |
Annual Returns
Over the past 12 months, the fund has risen by +6.94% compared with the benchmark which has returned +1.47%, for a difference of +5.47%. Since inception in February 2018, the fund has returned +3% per annum, a difference of +1.54% relative to the benchmark which has returned +1.46% 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 $120. The same amount invested in the benchmark over the same period would have become $109.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 4.89% vs the index's 5.4%. The annualised volatility of the fund's returns since inception in February 2018 is 4.6% vs the index's 5.11%. 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 0.96 for performance over the most recent 48 months to a low of 0.36 over the latest 60 months, and is 0.35 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since February 2018 is 0.02.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in February 2018 in the months where the market was positive, the fund has provided positive returns 93% of the time, contributing to an up-capture ratio for returns since inception of 57.37%. Over all other periods, the fund's up-capture ratio has ranged from a high of 127.92% over the most recent 12 months to a low of 68.86% over the latest 60 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 February 2018 in the months where the market was negative, the fund has provided positive returns 52% of the time, contributing to a down-capture ratio for returns since inception of 33.54%. Over all other periods, the fund's down-capture ratio has ranged from a high of 56.82% over the most recent 12 months to a low of 14.95% over the latest 48 months. A down-capture ratio less than 100% indicates that, on average, the fund has outperformed in the market's negative 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 1.84 for performance over the most recent 48 months to a low of 0.42 over the latest 60 months, and is 0.42 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sortino for performance since February 2018 is -0.01.
Drawdown
Over the past 12 months, the fund's largest drawdown was -2.32% vs the index's -5.2%, and since inception in February 2018 the fund's largest drawdown was -7.84% vs the index's maximum drawdown over the same period of -13.2%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Fixed Income - Debt as of March 2024
The performance of the Bentham Asset Backed Securities Fund ranked it in the second quintile for Sortino over 1 year.
Over the past 12 months, the fund has risen by +6.94% compared with the peer group which has returned an average of +8.25%, for a difference of -1.31%.
The fund's returns over the past 12 months have been achieved with a volatility of 4.89% vs the peer group's average volatility of 0.48%. The annualised volatility of the fund's returns since inception in February 2018 is 4.6% vs the peer group's 2.24%. Over all other periods, the fund's returns have been more volatile than the peer group.