Metrics Credit Partners Direct Income 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$ 1,904.45m |
| Investment Style: | N/A | Fund Inception Date: | July 2020 |
| Geographic Mandate: | Australia | Latest Return Date: | March 2024 |
| Investor Type: | Wholesale & Retail | Status: | Open |
| Minimum Investment: | AU$ 1,000 | Investment Frequency: | Daily |
Manager Details
Through their managed funds they provide access to the Australian private debt market to investors ranging from individuals to global institutions.
Metrics' investment team comprises the four founding partners and is supported by a team of highly qualified investment professionals with skills and experience covering origination, credit and financial analysis, portfolio risk management, legal and fund administration.
Through their managed funds they provide access to the Australian private debt market to investors ranging from individuals to global institutions.
Strategy Description
It provides exposure reflecting activity in the Australian corporate loan market with diversification by borrower, industry and credit quality. Metrics seeks to implement active strategies designed to balance delivery of the Target Return (RBA Cash Rate +3.25% p.a. net of fees), while preserving investor capital. The Fund invests in the MCP Wholesale Investments Trust and may also hold units in the MCP Master Income Trust (ASX: MXT) which are traded on the ASX.
It provides exposure reflecting activity in the Australian corporate loan market with diversification by borrower, industry and credit quality. Metrics seeks to implement active strategies designed to balance delivery of the Target Return (RBA Cash Rate +3.25% p.a. net of fees), while preserving investor capital.
Fund Fees
| Management Fee: | 0.21% | Performance Fee: | 0% |
| 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: | Sandhurst Trustees |
| Administrator: | MCH Fund Administration Services | Prime Broker: | N/A |
| Custodian: | Sandhurst Trustees | Legal: | Minter Ellison |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Metrics Credit Partners Direct Income Fund 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 July 2020, providing investors with an annualised return of 7.47% compared with the benchmark's return of -1.66% over the same period.
The Manager has delivered these returns with 4.91% less volatility than the benchmark, contributing to a Sharpe ratio which has consistently remained above 1 over the past three years and which currently sits at 5.63 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 51% and a down-capture ratio of -44%.
The Metrics Credit Partners Direct Income Fund rose by +0.75% in March, a difference of -0.37% 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 +0.95% compared with the benchmark's best return of +3.01%, and its worst monthly return was +0.68% 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 | 0.81 | 0.71 | 0.75 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.29 |
| 2023 | 0.81 | 0.68 | 0.69 | 0.71 | 0.75 | 0.68 | 0.95 | 0.93 | 0.76 | 0.88 | 0.76 | 0.87 | 9.89 |
| 2022 | 0.27 | 0.36 | 0.35 | 0.35 | 0.40 | 0.48 | 0.47 | 0.55 | 0.53 | 0.64 | 0.55 | 0.59 | 5.69 |
| 2021 | 0.13 | 0.43 | 0.72 | 0.24 | 0.77 | 0.42 | 0.37 | 0.44 | 0.25 | 0.47 | 0.25 | 0.47 | 5.07 |
| 2020 | NA | NA | NA | NA | NA | NA | 1.99 | 1.19 | 0.28 | 0.35 | 0.32 | 0.77 | 4.98 |
Annual Returns
Over the past 12 months, the fund has risen by +9.99% compared with the benchmark which has returned +1.47%, for a difference of +8.52%. Since inception in July 2020, the fund has returned +7.47% per annum, a difference of +9.13% relative to the benchmark which has fallen -1.66% 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 $131. The same amount invested in the benchmark over the same period would have become $93.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 0.3% vs the index's 5.4%. The annualised volatility of the fund's returns since inception in July 2020 is 1.08% vs the index's 5.99%. Over the past 24 and 36 month periods, the fund's returns have had an annualised volatility of 0.55% and 0.71% respectively, lower than the benchmark's annualised volatility over both periods; 6.32% (24 months), 6.31% (36 months).
Sharpe Ratio
The fund's Sharpe ratio has ranged from a high of 18.49 for performance over the most recent 12 months to a low of 13.24 over the latest 36 months, and is 5.63 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since July 2020 is -0.54.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in July 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 since inception of 51.01%. Over all other periods, the fund's up-capture ratio has ranged from a high of 68.07% over the most recent 12 months to a low of 42.42% over the latest 24 months.
Performance in Negative Markets
Since inception in July 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 since inception of -43.57%. Over all other periods, the fund's down-capture ratio has ranged from a high of -37.31% over the most recent 36 months to a low of -57.61% 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 has had too few negative returns returns over the past 12 months for a Sortino ratio to be calculated. The Bloomberg AusBond Composite 0+ Yr Index's Sortino ratio over the same period is -0.71. The Sortino ratio differs from the Sharpe ratio in that it only considers the volatility of negative returns over a particular time period.
Drawdown
Since inception in July 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 Metrics Credit Partners Direct Income Fund ranked it in the first or second quintile for all KPIs except Volatility and Sharpe over 3 years, while over 1 year the fund ranked in the first or second quintile for all KPIs except Sharpe.
Over the past 12 months, the fund has risen by +9.99% compared with the peer group which has returned an average of +8.25%, for a difference of +1.74%.
The fund's returns over the past 12 months have been achieved with a volatility of 0.3% vs the peer group's average volatility of 0.48%. The annualised volatility of the fund's returns since inception in July 2020 is 1.08% vs the peer group's 2.24%. Over the past 24 and 36 month periods, the fund's returns have had an annualised volatility of 0.55% and 0.71% respectively, lower than the peer group's annualised volatility over both periods; 0.95% (24 months), 0.85% (36 months).