CC Sage Capital Absolute Return Fund
31 March 2024
Key Facts
| Index Used: | ASX 200 Total Return | Discretionary/Quantitative: | Combination |
| Peer Group: | Equity Alternative - Australia | FUM (millions): | AU$ 663.14m |
| Investment Style: | Value | Fund Inception Date: | August 2019 |
| Geographic Mandate: | Australia | Latest Return Date: | March 2024 |
| Investor Type: | Wholesale & Retail | Status: | Open |
| Minimum Investment: | AU$ 100,000 | Investment Frequency: | Daily |
Manager Details
Sage Capital is led by Sean Fenton, Managing Director and Portfolio Manager for the Fund who is supported by three senior and experienced Portfolio Managers, James Delaney, Kelli Meagher and Peter Moore. The Sage Capital investment team has a combined investment experience of more than 60 years gained from diverse and complimentary careers in equities, including research, analysis and portfolio management.
Strategy Description
The Fund may have between 0% and 200% of its NAV invested in long positions with this exposure offset by 0% to 200% of its NAV invested in short positions. On balance, the Fund maintains an exposure to the Australian equity market of between -15% and 15%.
Sage Capital seeks to deliver returns in excess of the Fund Benchmark (RBA Cash Rate) by profiting from market inefficiencies through the application of an investment process driven by experience, insight and scalable systems. The Sage Capital stock selection process utilises two complementary sources of return. It employs both a quantitative and a fundamental process.
The Fund may have between 0% and 200% of its NAV invested in long positions with this exposure offset by 0% to 200% of its NAV invested in short positions. On balance, the Fund maintains an exposure to the Australian equity market of between -15% and 15%.
Fund Fees
| Management Fee: | 1.29% | Performance Fee: | 20.5% |
| 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: | Channel Investment Management Limited ( Responsible Entity) |
| Administrator: | Mainstream Fund Services | Prime Broker: | Morgan Stanley |
| Custodian: | Morgan Stanley | Legal: | McCullough Robertson Lawyers |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The CC Sage Capital Absolute Return Fund has a track record of 4 years and 8 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has outperformed the ASX 200 Total Return benchmark since inception in August 2019, providing investors with an annualised return of 8.18% compared with the benchmark's return of 7.38% over the same period.
The Manager has delivered these returns with 10.37% 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 1.02 since inception. The fund has provided positive monthly returns 60% of the time in rising markets and 76% of the time during periods of market decline, contributing to an up-capture ratio since inception of 6% and a down-capture ratio of -49%.
The CC Sage Capital Absolute Return Fund rose by +2.85% in March, a difference of -0.42% compared with the ASX 200 Total Return benchmark which rose by +3.27%. Over the past 12 months, the fund's best monthly return was +2.85% compared with the benchmark's best return of +7.26%, and its worst monthly return was -3.96% vs the benchmark's worst return over the same period of -3.78%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.54 | -0.37 | 2.85 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.08 |
| 2023 | -0.30 | 2.23 | -0.45 | 1.81 | 1.37 | -0.28 | -0.35 | -3.23 | 1.55 | 1.87 | -1.03 | -3.96 | -0.99 |
| 2022 | 2.01 | 2.32 | 0.32 | 0.28 | -0.26 | 4.07 | -4.15 | 2.68 | 2.29 | 1.35 | -2.81 | -0.95 | 7.06 |
| 2021 | 1.97 | 0.54 | 1.65 | 1.72 | 0.41 | -1.98 | 0.69 | 2.78 | 1.74 | 1.66 | 2.24 | 0.02 | 14.18 |
| 2020 | -1.05 | 0.41 | 6.17 | 1.84 | 0.49 | -0.16 | 3.23 | 0.09 | -0.08 | 0.61 | -0.33 | -0.21 | 11.32 |
| 2019 | NA | NA | NA | NA | NA | NA | NA | 0.24 | -0.96 | 0.72 | 0.92 | 1.01 | 1.94 |
Annual Returns
Over the past 12 months, the fund has risen by +2.54% compared with the benchmark which has returned +14.45%, for a difference of -11.91%. Since inception in August 2019, the fund has returned +8.18% per annum, a difference of +0.8% relative to the benchmark which has returned +7.38% 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 $144. The same amount invested in the benchmark over the same period would have become $139.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 7.25% vs the index's 10.87%. The annualised volatility of the fund's returns since inception in August 2019 is 6.38% vs the index's 16.75%. 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 0.95 for performance over the most recent 48 months to a low of -0.18 over the latest 12 months, and is 1.02 for performance since inception. By contrast, the ASX 200 Total Return Index's Sharpe for performance since August 2019 is 0.43.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in August 2019 in the months where the market was positive, the fund has provided positive returns 60% of the time, contributing to an up-capture ratio for returns since inception of 5.88%. Over all other periods, the fund's up-capture ratio has ranged from a high of 7.47% over the most recent 48 months to a low of -3.75% over the latest 24 months.
Performance in Negative Markets
Since inception in August 2019 in the months where the market was negative, the fund has provided positive returns 76% of the time, contributing to a down-capture ratio for returns since inception of -48.68%. Over all other periods, the fund's down-capture ratio has ranged from a high of -15.49% over the most recent 12 months to a low of -49.09% over the latest 36 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 1.4 for performance over the most recent 48 months to a low of -0.26 over the latest 12 months, and is 1.64 for performance since inception. By contrast, the ASX 200 Total Return Index's Sortino for performance since August 2019 is 0.45.
Drawdown
Over the past 12 months, the fund's largest drawdown was -5.45% vs the index's -7.19%, and since inception in August 2019 the fund's largest drawdown was -5.45% 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 March 2024
The performance of the CC Sage Capital Absolute Return Fund ranked it in the first or second quintile for all KPIs except Total Return and Sortino over 3 years, while over 1 year the fund ranked in the second quintile for Volatility and Largest Drawdown.
Over the past 12 months, the fund has risen by +2.54% compared with the peer group which has returned an average of +10.33%, for a difference of -7.79%.
The fund's returns over the past 12 months have been achieved with a volatility of 7.25% vs the peer group's average volatility of 7.05%. The annualised volatility of the fund's returns since inception in August 2019 is 6.38% vs the peer group's 8.99%. Over all other periods, the fund's returns have been consistently less volatile than the peer group.