Bentham Global Income Fund (NZD)
31 March 2024
Key Facts
| Index Used: | Bloomberg AusBond Composite 0+ Yr Index | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Fixed Income - Credit | FUM (millions): | NZD 105.93m |
| Investment Style: | N/A | Fund Inception Date: | September 2016 |
| Geographic Mandate: | Global | Latest Return Date: | March 2024 |
| Investor Type: | Wholesale & Retail | Status: | Open |
| Minimum Investment: | NZD 50,000 | Investment Frequency: | Daily |
Manager Details
Strategy Description
The Fund is managed on a top-down basis. Active allocations are made according to quarterly forecasts of prospective risk-adjusted returns. Investments are actively managed with allocations across different credit sectors, trading of individual securities, managing of interest rate risk and currency risk. Bentham utilises a bottom-up analysis to select individual investments based on credit fundamentals and market information.
The Fund must maintain a minimum investment of 50% in investment grade rate securities. The Fund's investments include but are not limited to Australian and global hybrid securities, global high yield bonds, global syndicated loans, investment grade securities, global capital securities, asset backed securities, equities and derivatives.
Fund Fees
| Management Fee: | 0.77% | Performance Fee: | 0% |
| Buy Spread: | 0.275% | Sell spread: | 0.275% |
| High Water Mark: | Hurdle: | N/A |
Fund Structure
| Offshore/Onshore: | Offshore | Fund Structure: | Unit Trust |
| Share Classes: | NZD | Trustee/RE: | Fidante Partners |
| Administrator: | N/A | Prime Broker: | N/A |
| Custodian: | Citigroup | Legal: | N/A |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The Bentham Global Income Fund (NZD) has a track record of 10 years and 6 months and has outperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in October 2013, providing investors with an annualised return of 5.36% compared with the benchmark's return of 2.64% over the same period.
The Manager has delivered these returns with 0.73% more volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 four times over the past five years and which currently sits at 0.74 since inception. The fund has provided positive monthly returns 77% of the time in rising markets and 67% of the time during periods of market decline, contributing to an up-capture ratio since inception of 54% and a down-capture ratio of -23%.
The Bentham Global Income Fund (NZD) rose by +1.88% in March, an outperformance of +0.76% 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 +4.19% compared with the benchmark's best return of +3.01%, and its worst monthly return was -1.87% 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 | 0.33 | -0.27 | 1.88 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.93 |
| 2023 | 4.10 | -1.40 | 0.66 | 0.97 | -1.53 | -1.87 | 1.05 | 0.85 | -0.33 | -1.31 | 3.71 | 4.19 | 9.19 |
| 2022 | 0.68 | 0.09 | 1.06 | -0.09 | -1.08 | -2.46 | 2.72 | -0.39 | -2.31 | 0.47 | 2.86 | -1.25 | 0.15 |
| 2021 | 0.95 | 0.90 | 1.40 | -0.10 | 0.07 | 0.09 | -0.26 | 0.40 | 0.52 | 0.18 | -0.18 | 0.81 | 4.87 |
| 2020 | 0.11 | -0.20 | -8.92 | 2.75 | 3.51 | 1.50 | 1.51 | 1.16 | 0.49 | 0.89 | 2.23 | 1.29 | 5.90 |
| 2019 | 0.94 | 0.80 | -0.37 | 1.11 | -0.88 | 0.32 | 0.22 | -0.02 | 0.24 | -0.03 | 0.50 | 0.90 | 3.79 |
| 2018 | 1.71 | 0.15 | -0.51 | 0.85 | -0.76 | 0.30 | 0.49 | 0.25 | 0.87 | 0.16 | -0.97 | -1.52 | 0.97 |
| 2017 | 1.13 | 0.73 | 0.36 | 0.61 | 0.71 | 0.79 | 0.46 | -0.09 | 1.03 | 1.07 | 0.63 | 0.46 | 8.19 |
| 2016 | -2.19 | -2.04 | 2.55 | 2.00 | 1.18 | -1.39 | 1.65 | 1.56 | 0.80 | 1.27 | 1.47 | 1.57 | 8.58 |
| 2015 | 0.11 | 1.37 | 0.30 | 1.05 | 0.64 | 0.16 | 0.58 | -0.62 | -1.05 | 0.26 | 0.42 | -0.11 | 3.12 |
| 2014 | 0.84 | 0.83 | 0.44 | 1.20 | 0.57 | 0.58 | 0.46 | -0.33 | 1.10 | -0.77 | 0.24 | 0.12 | 5.38 |
| 2013 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.21 | 1.15 | 1.07 | 4.49 |
Only seven years of data shown. Click here to view all data.
Annual Returns
Over the past 12 months, the fund has risen by +7.73% compared with the benchmark which has returned +1.47%, for a difference of +6.26%. Since inception in October 2013, the fund has returned +5.36% per annum, a difference of +2.72% relative to the benchmark which has returned +2.64% 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 $173. The same amount invested in the benchmark over the same period would have become $131.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 6.37% vs the index's 5.4%. The annualised volatility of the fund's returns since inception in October 2013 is 5.01% vs the index's 4.28%. Over all other periods, the fund's volatility relative to the benchmark has been varied.
Sharpe Ratio
The fund's Sharpe ratio has ranged from a high of 1.16 for performance over the most recent 48 months to a low of 0.25 over the latest 24 months, and is 0.74 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since October 2013 is 0.24.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in October 2013 in the months where the market was positive, the fund has provided positive returns 77% of the time, contributing to an up-capture ratio for returns since inception of 54.12%. Over all other periods, the fund's up-capture ratio has ranged from a high of 156.69% over the most recent 12 months to a low of 89.86% over the latest 60 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 October 2013 in the months where the market was negative, the fund has provided positive returns 67% of the time, contributing to a down-capture ratio for returns since inception of -23.16%. Over all other periods, the fund's down-capture ratio has ranged from a high of 81.39% over the most recent 24 months to a low of 9.17% over the latest 48 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) has ranged from a high of 2.19 for performance over the most recent 48 months to a low of 0.37 over the latest 24 months, and is 0.99 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sortino for performance since October 2013 is 0.3.
Drawdown
Over the past 12 months, the fund's largest drawdown was -3.38% vs the index's -5.2%, and since inception in October 2013 the fund's largest drawdown was -9.1% vs the index's maximum drawdown over the same period of -13.2%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Fixed Income - Credit as of March 2024
The performance of the Bentham Global Income Fund (NZD) ranked it in the first or second quintile for Total Return over 3, 5 & 7 years, and in the second quintile for Sharpe and Sortino over 7 years, while over 5 years the fund ranked in the second quintile for Sortino and over 3 years it ranked in the second quintile for Sortino and Largest Drawdown.
Over the past 12 months, the fund has risen by +7.73% compared with the peer group which has returned an average of +8.27%, for a difference of -0.54%.
The fund's returns over the past 12 months have been achieved with a volatility of 6.37% vs the peer group's average volatility of 2.22%. The annualised volatility of the fund's returns since inception in October 2013 is 5.01% vs the peer group's 5.21%. Over all other periods, the fund's returns have been more volatile than the peer group.