L1 Long Short Fund Limited (ASX: LSF)
31 March 2024
Key Facts
| Index Used: | ASX 200 Total Return | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Equity Alternative - Australia | FUM (millions): | AU$ 1,780m |
| Investment Style: | Blend | Fund Inception Date: | April 2018 |
| Geographic Mandate: | Australia/Global | Latest Return Date: | March 2024 |
| Investor Type: | Wholesale & Retail | Status: | Open |
| Minimum Investment: | AU$ | Investment Frequency: | Daily |
Manager Details
L1 Capital is a global investment manager founded L1 Capital in Melbourne in 2007 by Raphael Lamm and Mark Landau. The founders have grown the firm through the selective cultivation of new strategies, adding the Long Short equities in 2014, then adding Global Opportunities (multi-strategy hedge Strategy managed from Miami) in 2015, UK Residential Property (managed from London) in 2017, International Equities (managed from Sydney) in 2019, and Catalyst equities (best ideas, concentrated Australian equities with an activist overlay managed from Melbourne) in 2021. Today, the firm manages assets for a range of investors including large superannuation funds, pension funds, asset consultants, private wealth firms, financial planning groups, family offices, high net worth investors and retail investors. The firm remains owned by its senior staff.
L1 Capital is a global investment manager with offices in Melbourne, Sydney, Miami and London. The business was established in 2007 and is owned by its senior staff, led by founders Raphael Lamm and Mark Landau. The team is committed to offering clients best of breed investment products through strategies that include long only Australian equities, long short equities, international equities, activist equities, a global multi-strategy hedge fund and U.K. residential property.
Strategy Description
Fund Fees
| Management Fee: | 1.44% | Performance Fee: | 20% |
| Buy Spread: | 0% | Sell spread: | 0% |
| High Water Mark: | Yes | Hurdle: | N/A |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | LIC |
| Share Classes: | AU$ | Trustee/RE: | N/A |
| Administrator: | Mainstream Fund Services | Prime Broker: | Morgan Stanley, Credit Suisse |
| Custodian: | Mainstream Fund Services | Legal: | Hall & Wilcox |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The L1 Long Short Fund Limited (ASX: LSF) has a track record of 6 years and has outperformed the ASX 200 Total Return benchmark since inception in April 2018, providing investors with an annualised return of 11.92% compared with the benchmark's return of 9.63% over the same period.
The Manager has delivered these returns with 8.54% 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 0.52 since inception. The fund has provided positive monthly returns 70% of the time in rising markets and 48% of the time during periods of market decline, contributing to an up-capture ratio since inception of 82% and a down-capture ratio of 79%.
The L1 Long Short Fund Limited (ASX: LSF) rose by +8.11% in March, an outperformance of +4.84% compared with the ASX 200 Total Return benchmark which rose by +3.27%. Over the past 12 months, the fund's best monthly return was +8.11% compared with the benchmark's best return of +7.26%, and its worst monthly return was -4.89% vs the benchmark's worst return over the same period of -3.78%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.30 | -0.97 | 8.11 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.38 |
| 2023 | 3.65 | -2.04 | 0.54 | 1.64 | -3.19 | 1.70 | 5.25 | -4.89 | 0.94 | -3.07 | 2.39 | 3.67 | 6.20 |
| 2022 | 2.79 | 6.87 | 1.34 | 3.44 | 0.06 | -13.39 | -3.34 | 5.37 | -7.60 | 5.24 | 7.52 | 4.36 | 10.90 |
| 2021 | -0.17 | 9.01 | -0.14 | 5.11 | 4.07 | -0.52 | 1.75 | 5.10 | 4.86 | 2.32 | -7.36 | 3.66 | 30.29 |
| 2020 | -7.75 | -6.85 | -22.93 | 23.16 | 10.94 | -2.12 | -1.69 | 9.99 | 0.63 | -2.37 | 31.94 | 4.29 | 29.50 |
| 2019 | 4.26 | 5.11 | 0.16 | 3.05 | -2.73 | 3.87 | 0.63 | 0.40 | 2.54 | 3.46 | 0.36 | 2.06 | 25.46 |
| 2018 | NA | NA | NA | -1.32 | -4.05 | -5.96 | 1.01 | -5.34 | -2.06 | -3.90 | -2.60 | -5.95 | -26.61 |
Annual Returns
Over the past 12 months, the fund has risen by +11.72% compared with the benchmark which has returned +14.45%, for a difference of -2.73%. Since inception in April 2018, the fund has returned +11.92% per annum, a difference of +2.29% relative to the benchmark which has returned +9.63% 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 $196. The same amount invested in the benchmark over the same period would have become $173.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 12.32% vs the index's 10.87%. The annualised volatility of the fund's returns since inception in April 2018 is 24.03% vs the index's 15.49%. 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 1.26 for performance over the most recent 48 months to a low of 0.29 over the latest 24 months, and is 0.52 for performance since inception. By contrast, the ASX 200 Total Return Index's Sharpe for performance since April 2018 is 0.58.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in April 2018 in the months where the market was positive, the fund has provided positive returns 70% of the time, contributing to an up-capture ratio for returns since inception of 81.54%. Over all other periods, the fund's up-capture ratio has ranged from a high of 160.8% over the most recent 48 months to a low of 77% over the latest 24 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 April 2018 in the months where the market was negative, the fund has provided positive returns 48% of the time, contributing to a down-capture ratio for returns since inception of 79.35%. Over all other periods, the fund's down-capture ratio has ranged from a high of 103.89% over the most recent 12 months to a low of 55.67% 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 2.88 for performance over the most recent 48 months to a low of 0.27 over the latest 24 months, and is 0.7 for performance since inception. By contrast, the ASX 200 Total Return Index's Sortino for performance since April 2018 is 0.68.
Drawdown
Over the past 12 months, the fund's largest drawdown was -6.94% vs the index's -7.19%, and since inception in April 2018 the fund's largest drawdown was -39.02% vs the index's maximum drawdown over the same period of -26.75%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Equity Alternative - Australia as of March 2024
The performance of the L1 Long Short Fund Limited (ASX: LSF) ranked it in the first quintile for Total Return, Sharpe and Sortino over 5 years, while over 3 years the fund ranked in the first quintile for Total Return and Sharpe and second quintile for Sortino.
Over the past 12 months, the fund has risen by +11.72% compared with the peer group which has returned an average of +10.33%, for a difference of +1.39%.
The fund's returns over the past 12 months have been achieved with a volatility of 12.32% vs the peer group's average volatility of 7.04%. The annualised volatility of the fund's returns since inception in April 2018 is 24.03% vs the peer group's 8.99%. Over all other periods, the fund's returns have been more volatile than the peer group.