Spatium Small Companies Fund
31 March 2024
Key Facts
| Index Used: | ASX Small Ordinaries Total Return Index | Discretionary/Quantitative: | Combination |
| Peer Group: | Equity Long - Small/Mid Cap - Australia | FUM (millions): | AU$ 14.5m |
| Investment Style: | Value | Fund Inception Date: | July 2018 |
| Geographic Mandate: | Australia | Latest Return Date: | March 2024 |
| Investor Type: | Wholesale | Status: | Open |
| Minimum Investment: | AU$ 250,000 | Investment Frequency: | Weekly |
Manager Details
They believe that the influx of passive products and the increased ease-of-access to stock markets has created an environment where equities are increasingly oversold or undervalued for short periods of time.
As a Firm they have three key beliefs:
1. Alignment of interests with investors; all liquid assets owned by the Founders are invested in the Firm & Fund
2. Research: in an industry with numerous research offerings, Spatium is a DIY operator, relying on their own filters and investment approach
3. Preserve performance: funds managed by Spatium are limited in total FUM to ensure that the investments can be entered and exited with agility. In doing so, they believe this protects the performance returned to investors
They believe that the influx of passive products and the increased ease-of-access to stock markets has created an environment where equities are increasingly oversold or undervalued for short periods of time.
Strategy Description
Spatium Capital's investment philosophy asserts that listed companies are susceptible to being momentarily oversold or undervalued due to herd mentality and market psychology.
Put simply, we believe that with the influx of passive products (ETF's), major institutions occasionally requiring immediate access to capital and with the wider markets more frequently moving in herds, equities are prone to being sold-off hastily.
We consider this point to be a momentary mispricing which through our quantitative investment approach, we seek to identify these equities at their opportune moment to benefit from their appreciation. The Spatium Small Companies Fund is an ASX300 long-only, relative return fund that seeks to construct, on average, a portfolio of 25-40 positions on an equally weighted basis.
Spatium Capital's investment strategy is a quantitative approach that uses end-of-day-adjusted data through the investment manager's proprietary filters to capitalise on the frequent short-term price disclocations in equity markets.
The Spatium Small Companies Fund is an ASX300 long-only, relative return fund that seeks to construct, on average, a portfolio of 25-40 positions on an equally weighted basis.
Fund Fees
| Management Fee: | 1.25% | Performance Fee: | 15% |
| Buy Spread: | 0.1% | Sell spread: | 0.1% |
| High Water Mark: | Yes | Hurdle: | S&P/ASX Small Ordinaries Index |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$ | Trustee/RE: | Vasco Custodians Pty Ltd |
| Administrator: | Vasco Fund Services | Prime Broker: | Saxo Capital Markets |
| Custodian: | Vasco Custodians Pty Ltd | Legal: | Steinepreis Paganin |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Spatium Small Companies Fund has a track record of 5 years and 9 months and has outperformed the ASX Small Ordinaries Total Return benchmark since inception in July 2018, providing investors with an annualised return of 7.68% compared with the benchmark's return of 4.37% over the same period.
The Manager has delivered these returns with 0.34% more 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 0.39 since inception. The fund has provided positive monthly returns 82% of the time in rising markets and 20% of the time during periods of market decline, contributing to an up-capture ratio since inception of 93% and a down-capture ratio of 90%.
The Spatium Small Companies Fund rose by +7.01% in March, an outperformance of +2.22% compared with the ASX Small Ordinaries Total Return benchmark which rose by +4.79%. Over the past 12 months, the fund's best monthly return was +7.01% compared with the benchmark's best return of +7.23%, and its worst monthly return was -8% vs the benchmark's worst return over the same period of -5.45%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.80 | -1.53 | 7.01 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.48 |
| 2023 | 5.30 | -1.90 | -1.30 | 2.05 | -4.00 | 2.90 | 5.80 | -2.80 | -7.60 | -8.00 | 5.60 | 6.00 | 0.58 |
| 2022 | -8.40 | -2.37 | 2.45 | -1.30 | -7.50 | -13.20 | 15.10 | 3.70 | -10.40 | 7.20 | 7.10 | -3.10 | -13.61 |
| 2021 | -0.20 | -6.80 | 1.90 | 7.90 | -1.10 | 4.90 | 2.80 | 2.50 | -2.30 | 0.70 | 0.60 | 1.60 | 12.42 |
| 2020 | 3.80 | -8.78 | -11.22 | 21.10 | 9.80 | 4.30 | -2.10 | 8.30 | 0.40 | -2.40 | 7.50 | 1.60 | 32.29 |
| 2019 | 8.50 | 4.78 | -0.05 | 1.58 | -2.68 | -0.76 | 6.11 | -1.31 | 0.93 | 1.69 | 4.36 | -1.23 | 23.50 |
| 2018 | NA | NA | NA | NA | NA | NA | 1.27 | 3.16 | 0.15 | -7.47 | -1.67 | -2.63 | -7.31 |
General Notes
The benchmark used by Spatium Capital is the S&P/ASX Small Ordinaries Index.
Annual Returns
Over the past 12 months, the fund has risen by +2.08% compared with the benchmark which has returned +13.83%, for a difference of -11.75%. Since inception in July 2018, the fund has returned +7.68% per annum, a difference of +3.31% relative to the benchmark which has returned +4.37% 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 $153. The same amount invested in the benchmark over the same period would have become $127.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 17.69% vs the index's 13.82%. The annualised volatility of the fund's returns since inception in July 2018 is 20.44% vs the index's 20.1%. 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 0.57 for performance over the most recent 48 months to a low of -0.06 over the latest 24 months, and is 0.39 for performance since inception. By contrast, the ASX Small Ordinaries Total Return Index's Sharpe for performance since July 2018 is 0.24.
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 82% of the time, contributing to an up-capture ratio for returns since inception of 93.49%. Over all other periods, the fund's up-capture ratio has ranged from a high of 113.8% over the most recent 24 months to a low of 91.32% over the latest 12 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 20% of the time, contributing to a down-capture ratio for returns since inception of 90.33%. Over all other periods, the fund's down-capture ratio has ranged from a high of 154.57% over the most recent 12 months to a low of 90.96% over the latest 60 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) is -0.15 for performance over the past 12 months, and over the past 24 months is -0.25. Since inception the fund's Sortino ratio is 0.46 vs the ASX Small Ordinaries Total Return Index's Sortino of 0.19.
Drawdown
Over the past 12 months, the fund's largest drawdown was -17.37% vs the index's -10.46%, and since inception in July 2018 the fund's largest drawdown was -27.39% vs the index's maximum drawdown over the same period of -29.12%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Equity Long - Small/Mid Cap - Australia as of March 2024
The performance of the Spatium Small Companies Fund ranked it in the second quintile for Downside Deviation and Largest Drawdown over 5 years.
Over the past 12 months, the fund has risen by +2.08% compared with the peer group which has returned an average of +14.75%, for a difference of -12.67%.
The fund's returns over the past 12 months have been achieved with a volatility of 17.69% vs the peer group's average volatility of 11.14%. The annualised volatility of the fund's returns since inception in July 2018 is 20.44% vs the peer group's 14.53%. Over all other periods, the fund's returns have been more volatile than the peer group.