ListedReserve Managed Fund
31 March 2024
Key Facts
| Index Used: | S&P Cryptocurrency Broad Digital Market Index | Discretionary/Quantitative: | Discretionary |
| Peer Group: | Digital Assets | FUM (millions): | Undisclosed |
| Investment Style: | N/A | Fund Inception Date: | May 2018 |
| Geographic Mandate: | Global | Latest Return Date: | March 2024 |
| Investor Type: | Wholesale | Status: | Open |
| Minimum Investment: | AU$ 100,000 | Investment Frequency: | Daily |
Manager Details
They aim to provide investors with high quality investment funds to access digital assets through trusted, transparent and liquid investment vehicles.
Their team has over 20 years of technology industry experience and investing in digital assets since 2013. ListedReserves is an Australian-domiciled fund manager with regular reporting, investment and redemption processes.
Strategy Description
Digital asset selection and weightings are selected by ListedReserve's industry specialists, who apply the ListedReserve investment philosophy and research process in their selections on a case-by-case basis.
The portfolio is built on investments that the team determines as being liquid, secure and offering the best potential for risk-adjusted returns.
Digital asset selection and weightings are selected by ListedReserve's industry specialists, who apply the ListedReserve investment philosophy and research process in their selections on a case-by-case basis.
The portfolio is built on investments that the team determines as being liquid, secure and offering the best potential for risk-adjusted returns.
Fund Fees
| Management Fee: | 2% | Performance Fee: | 20% |
| Buy Spread: | 1% | Sell spread: | 1% |
| High Water Mark: | Yes | Hurdle: | 0% |
Fund Structure
| Offshore/Onshore: | Onshore | Fund Structure: | Unit Trust |
| Share Classes: | AU$ | Trustee/RE: | ListedReserve Pty Ltd |
| Administrator: | N/A | Prime Broker: | N/A |
| Custodian: | Gemini | Legal: | Ernst & Young |
Ratings & Availability
Research Ratings
Platform Availability
Performance Review
The ListedReserve Managed Fund has a track record of 5 years and 11 months and has outperformed the S&P Cryptocurrency Broad Digital Market benchmark since inception in May 2018, providing investors with an annualised return of 52.37% compared with the benchmark's return of 30.32% over the same period.
The Manager has delivered these returns with 5.23% less volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 two times over the past five years and which currently sits at 0.93 since inception. The fund has provided positive monthly returns 100% of the time in rising markets and 13% of the time during periods of market decline, contributing to an up-capture ratio since inception of 69% and a down-capture ratio of 99%.
The ListedReserve Managed Fund rose by +10.99% in March, a difference of -2.95% compared with the S&P Cryptocurrency Broad Digital Market benchmark which rose by +13.94%. Over the past 12 months, the fund's best monthly return was +45.25% compared with the benchmark's best return of +44.71%, and its worst monthly return was -7.31% vs the benchmark's worst return over the same period of -8.31%.
| Year | Jan % | Feb % | Mar % | Apr % | May % | Jun % | Jul % | Aug % | Sep % | Oct % | Nov % | Dec % | YTD % |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.92 | 45.25 | 10.99 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 65.92 |
| 2023 | 33.77 | 5.31 | 20.96 | 4.43 | -6.00 | 8.59 | -4.88 | -7.31 | 2.28 | 26.42 | 5.80 | 8.05 | 136.72 |
| 2022 | -16.29 | 3.56 | 6.51 | -10.70 | -20.13 | -37.57 | 28.15 | -10.73 | 1.46 | 7.63 | -20.18 | -6.17 | -61.53 |
| 2021 | 17.02 | 40.38 | 36.43 | 8.66 | -34.01 | -5.66 | 18.38 | 20.06 | -8.29 | 33.65 | 2.52 | -20.30 | 115.77 |
| 2020 | 35.86 | -4.71 | -21.45 | 26.73 | 7.36 | -7.06 | 19.40 | 2.00 | -3.91 | 26.50 | 34.52 | 39.66 | 257.61 |
| 2019 | -10.93 | 15.66 | 8.87 | 27.53 | 61.76 | 18.75 | -7.20 | -5.05 | -13.81 | 8.05 | -16.22 | -8.82 | 72.26 |
| 2018 | NA | NA | NA | NA | 0.00 | 0.00 | 0.00 | -0.96 | 1.14 | -0.56 | -38.04 | -2.50 | -39.83 |
Annual Returns
Over the past 12 months, the fund has risen by +130.5% compared with the benchmark which has returned +133.02%, for a difference of -2.52%. Since inception in May 2018, the fund has returned +52.37% per annum, a difference of +22.05% relative to the benchmark which has returned +30.32% 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 $1208. The same amount invested in the benchmark over the same period would have become $479.
Annual Returns %
Volatility and Risk
Annual Standard Deviation
The fund's returns over the past 12 months have been achieved with a volatility of 49.08% vs the index's 47.26%. The annualised volatility of the fund's returns since inception in May 2018 is 67.81% vs the index's 73.04%. 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 1.89 for performance over the most recent 12 months to a low of 0.48 over the latest 36 months, and is 0.93 for performance since inception. By contrast, the S&P Cryptocurrency Broad Digital Market Index's Sharpe for performance since May 2018 is 0.7.
Annual Standard Deviation
Sharpe Ratio
Performance in Positive Markets
Since inception in May 2018 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 68.98%. Over all other periods, the fund's up-capture ratio has ranged from a high of 101.5% over the most recent 12 months to a low of 85.02% 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 May 2018 in the months where the market was negative, the fund has provided positive returns 13% of the time, contributing to a down-capture ratio for returns since inception of 98.55%. Over all other periods, the fund's down-capture ratio has ranged from a high of 111.08% over the most recent 12 months to a low of 95.24% over the latest 24 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 7.36 for performance over the most recent 12 months to a low of 0.27 over the latest 36 months, and is 1.18 for performance since inception. By contrast, the S&P Cryptocurrency Broad Digital Market Index's Sortino for performance since May 2018 is 0.62.
Drawdown
Over the past 12 months, the fund's largest drawdown was -11.83% vs the index's -12.65%, and since inception in May 2018 the fund's largest drawdown was -69.34% vs the index's maximum drawdown over the same period of -74.1%.
Sortino Ratio
Drawdown%
Quintile Ranking vs. Average Digital Assets as of March 2024
The performance of the ListedReserve Managed Fund ranked it in the first or second quintile for all KPIs over 3 & 5 years.
Over the past 12 months, the fund has risen by +130.5% compared with the peer group which has returned an average of +103.68%, for a difference of +26.82%.
The fund's returns over the past 12 months have been achieved with a volatility of 49.08% vs the peer group's average volatility of 33.6%. The annualised volatility of the fund's returns since inception in May 2018 is 67.81% vs the peer group's 55.52%. Over all other periods, the fund's returns have been more volatile than the peer group.