Index Used: | Bloomberg AusBond Composite 0+ Yr Index | Discretionary/Quantitative: | Quantitative |
Peer Group: | Fixed Income - Bonds | FUM (millions): | AU$ 1.68m |
Investment Style: | N/A | Fund Inception Date: | February 2019 |
Geographic Mandate: | Global | Latest Return Date: | November 2022 |
Investor Type: | Wholesale & Retail | Status: | Closed |
Minimum Investment: | AU$ 100,000 | Investment Frequency: | Daily |
Management Fee: | 0.59% | Performance Fee: | % |
Buy Spread: | 0.05% | Sell spread: | 0.05% |
High Water Mark: | Hurdle: | N/A |
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: | Morgan Stanley | Legal: | McCullough Robertson Lawyers |
The CC Jamieson Coote Bonds Global Bond Fund (Class B - Unhedged) has a track record of 3 years and 9 months 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 March 2019, providing investors with an annualised return of 1.02% compared with the benchmark's return of -0.33% over the same period.
The Manager has delivered these returns with 6.49% more volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 three times over the past three years and which currently sits at 0.09 since inception. The fund has provided positive monthly returns 68% of the time in rising markets and 30% of the time during periods of market decline, contributing to an up-capture ratio since inception of 134% and a down-capture ratio of 107%.
The CC Jamieson Coote Bonds Global Bond Fund (Class B - Unhedged) returned -2.42% in November, a difference of -3.97% compared with the Bloomberg AusBond Composite 0+ Yr benchmark which rose by +1.55%. Over the past 12 months, the fund's best monthly return was +3.57% compared with the benchmark's best return of +3.36%, and its worst monthly return was -5.52% vs the benchmark's worst return over the same period of -3.75%.
Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2022 | 1.56 | -3.78 | -5.52 | 2.95 | -1.21 | 3.06 | 0.37 | -1.04 | 3.57 | 0.49 | -2.42 | NA | -2.37 |
2021 | -0.12 | -2.57 | 1.43 | -1.34 | -0.18 | 3.48 | 3.48 | 0.29 | 0.11 | -4.05 | 6.81 | -3.33 | 3.54 |
2020 | 7.27 | 5.37 | 5.67 | -5.69 | -1.55 | -3.51 | -3.15 | -4.10 | 3.84 | 1.87 | -4.57 | -4.40 | -4.09 |
2019 | NA | NA | 2.02 | 0.63 | 3.45 | -0.02 | 2.29 | 5.22 | -0.94 | -2.44 | 1.41 | -4.35 | 7.14 |
Over the past 12 months, the fund has returned -5.62% compared with the benchmark which has fallen -7.72%, for a difference of +2.1%. Since inception in March 2019, the fund has returned +1.02% per annum, a difference of +1.35% relative to the benchmark which has fallen -0.33% on an annualised basis over the same period.
On a cumulative basis (assuming reinvestment of distributions), $100 invested since inception would have become $103. The same amount invested in the benchmark over the same period would have become $98.
The fund's returns over the past 12 months have been achieved with a volatility of 9.78% vs the index's 6.29%. The annualised volatility of the fund's returns since inception in March 2019 is 11.75% vs the index's 5.26%. Over the past 24 and 36 month periods, the fund's returns have had an annualised volatility of 10.36% and 12.38% respectively, higher than the benchmark's annualised volatility over each of those periods; 6.19% (24 months), 5.49% (36 months).
The fund's Sharpe ratio has ranged from a high of -0.17 for performance over the most recent 24 months to a low of -0.65 over the latest 12 months, and is 0.09 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since March 2019 is -0.16.
Since inception in March 2019 in the months where the market was positive, the fund has provided positive returns 68% of the time, contributing to an up-capture ratio for returns since inception of 133.67%. Over all other periods, the fund's up-capture ratio has ranged from a high of 104.03% over the most recent 36 months to a low of -80.48% 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.
Since inception in March 2019 in the months where the market was negative, the fund has provided positive returns 30% of the time, contributing to a down-capture ratio for returns since inception of 107.4%. Over all other periods, the fund's down-capture ratio has ranged from a high of 99.56% over the most recent 36 months to a low of 6.25% over the latest 12 months. A down-capture ratio less than 100% indicates that, on average, the fund has outperformed in the market's negative months.
The fund's Sortino ratio (which excludes volatility in positive months) has ranged from a high of -0.31 for performance over the most recent 24 months to a low of -0.84 over the latest 12 months, and is 0.05 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sortino for performance since March 2019 is -0.23.
Over the past 12 months, the fund's largest drawdown was -9.09% vs the index's -10.05%, and since inception in March 2019 the fund's largest drawdown was -23.23% vs the index's maximum drawdown over the same period of -12.97%.
The CC Jamieson Coote Bonds Global Bond Fund (Class B - Unhedged) is not ranked in the first or second quintile for any KPI.
Over the past 12 months, the fund has returned -5.62% compared with the peer group which has returned an average of +4.93%, for a difference of -10.55%.
The fund's returns over the past 12 months have been achieved with a volatility of 9.78% vs the peer group's average volatility of 3.31%. The annualised volatility of the fund's returns since inception in March 2019 is 11.75% vs the peer group's 2.78%. Over the past 24 and 36 month periods, the fund's returns have had an annualised volatility of 10.36% and 12.38% respectively, higher than the peer group's annualised volatility over each of those periods; 3.86% (24 months), 3.43% (36 months).
Quintile data is pending for CC Jamieson Coote Bonds Global Bond Fund (Class B - Unhedged).