Revolution Wholesale Private Debt Fund II - Class B
31 March 2024
Key Facts
| Index Used: | Bloomberg AusBond Composite 0+ Yr Index | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Fixed Income - Debt | FUM (millions): | AU$ 784.09m |
| Investment Style: | N/A | Fund Inception Date: | March 2020 |
| Geographic Mandate: | Australia/NZ | Latest Return Date: | March 2024 |
| Investor Type: | Wholesale | Status: | Open |
| Minimum Investment: | AU$ 100,000 | Investment Frequency: | Monthly |
Manager Details
The Revolution portfolio management team founded the business and takes personal ownership of its investment management responsibilities. They have worked alongside one another over many years and are committed to providing successful outcomes to investors.
The Revolution portfolio management team founded the business and takes personal ownership of its investment management responsibilities. They have worked alongside one another over many years and are committed to providing successful outcomes to investors.
Strategy Description
The Fund offers investors access to markets that have been largely bank-dominated and provides an opportunity to generate stable, attractive and uncorrelated returns to diversify existing fixed income portfolios.
It aims to provide investors with:
- Direct exposure to Australian and New Zealand private debt assets - traditionally difficult for investors to access;
- A strong risk management approach with a focus on capital preservation and downside protection;
- A regular income stream - contractual loan agreements stipulate the interest rate and payment frequency by the borrower to the lender (generally a floating rate plus a credit margin), for the life of the investment;
- Access to full portfolio economics, with all debt portfolio returns (base rate, margin and any transaction fees generated from private debt assets) passed on to investors as it forms part of the Fund's Assets;
- A floating rate portfolio, providing investors with protection against inflation and rising interest rates relative to investments with a fixed interest rate portfolio or a fixed rate of return; and
- Diversification benefits - private debt markets offer exposure to companies and industries not readily available in public markets, whilst also offering exposure away from the Australian financial sector.
The Fund offers investors access to markets that have been largely bank-dominated and provides an opportunity to generate stable, attractive and uncorrelated returns to diversify existing fixed income portfolios.
Fund Fees
| Management Fee: | 0.65% | Performance Fee: | % |
| Buy Spread: | 0% | Sell spread: | 0% |
| High Water Mark: | Hurdle: | N/A |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$ | Trustee/RE: | Channel Investment Management Limited |
| Administrator: | Mainstream Fund Services | Prime Broker: | N/A |
| Custodian: | Perpetual Corporate Trust Limited | Legal: | N/A |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Revolution Wholesale Private Debt Fund II - Class B has a track record of 4 years and therefore comparison over all market conditions and against its peers is limited. However, the fund has outperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in April 2020, providing investors with an annualised return of 6.13% compared with the benchmark's return of -1.42% over the same period.
The Manager has delivered these returns with 5.2% less volatility than the benchmark, contributing to a Sharpe ratio which has consistently remained above 1 over the past four years and which currently sits at 12.69 since inception. The fund has provided positive monthly returns 100% of the time in rising markets and 100% of the time during periods of market decline, contributing to an up-capture ratio since inception of 43% and a down-capture ratio of -38%.
The Revolution Wholesale Private Debt Fund II - Class B rose by +0.71% in March, a difference of -0.41% 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 +0.84% compared with the benchmark's best return of +3.01%, and its worst monthly return was +0.42% 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 | 0.80 | 0.77 | 0.71 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.30 |
| 2023 | 0.72 | 0.41 | 0.74 | 0.72 | 0.42 | 0.77 | 0.84 | 0.62 | 0.47 | 0.82 | 0.74 | 0.78 | 8.37 |
| 2022 | 0.39 | 0.34 | 0.44 | 0.40 | 0.24 | 0.43 | 0.41 | 0.54 | 0.55 | 0.53 | 0.63 | 0.69 | 5.72 |
| 2021 | 0.35 | 0.31 | 0.37 | 0.32 | 0.35 | 0.37 | 0.48 | 0.45 | 0.44 | 0.37 | 0.42 | 0.42 | 4.74 |
| 2020 | NA | NA | NA | 0.29 | 0.72 | 0.31 | 0.32 | 0.32 | 0.32 | 0.33 | 0.35 | 0.35 | 3.35 |
Annual Returns
Over the past 12 months, the fund has risen by +8.8% compared with the benchmark which has returned +1.47%, for a difference of +7.33%. Since inception in April 2020, the fund has returned +6.13% per annum, a difference of +7.55% relative to the benchmark which has fallen -1.42% 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 $126. The same amount invested in the benchmark over the same period would have become $94.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 0.45% vs the index's 5.4%. The annualised volatility of the fund's returns since inception in April 2020 is 0.61% vs the index's 5.81%. 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 13.49 for performance over the most recent 36 months to a low of 10.28 over the latest 12 months, and for returns over the past 48 months (since inception), the fund's Sharpe ratio is 12.69 vs the Bloomberg AusBond Composite 0+ Yr Index's Sharpe of -0.5.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in April 2020 in the months where the market was positive, the fund has provided positive returns 100% of the time, contributing to an up-capture ratio for returns over the past 48 months (since inception) of 43.49%. Over all other periods, the fund's up-capture ratio has ranged from a high of 61.26% over the most recent 12 months% to a low of 39.04% over the latest 24 months%.
Performance in Negative Markets
Since inception in April 2020 in the months where the market was negative, the fund has provided positive returns 100% of the time, contributing to a down-capture ratio for returns over the past 48 months (since inception) of -37.95%. Over all other periods, the fund's down-capture ratio has ranged from a high of -34.81% over the most recent 36 months to a low of -49.46% 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 0 for performance over the most recent 12 months to a low of 0 over the latest 12 months. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sortino for performance since April 2020 is -0.66.
Drawdown
Since inception in April 2020, the fund hasn't had any negative monthly returns and therefore hasn't experienced a drawdown. Over the same period, the index's largest drawdown was -13.2%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Fixed Income - Debt as of March 2024
The performance of the Revolution Wholesale Private Debt Fund II - Class B ranked it in the first or second quintile for all KPIs except Total Return and Volatility over 3 years, while over 1 year the fund ranked in the first quintile for Sortino, Downside Deviation and Largest Drawdown.
Over the past 12 months, the fund has risen by +8.8% compared with the peer group which has returned an average of +8.25%, for a difference of +0.55%.
The fund's returns over the past 12 months have been achieved with a volatility of 0.45% vs the peer group's average volatility of 0.48%. The annualised volatility of the fund's returns since inception in April 2020 is 0.61% vs the peer group's 2.24%. Over all other periods, the fund's returns have been consistently less volatile than the peer group.