AFM Fund Review
Bentham Global Income Fund
31 March 2024

Key Facts

Index Used:	Bloomberg AusBond Composite 0+ Yr Index	Discretionary/Quantitative:	Discretionary
Peer Group:	Fixed Income - Credit	FUM (millions):	AU$ 3,111.77m
Investment Style:	N/A	Fund Inception Date:	September 2003
Geographic Mandate:	Global	Latest Return Date:	March 2024
Investor Type:	Wholesale	Status:	Open
Minimum Investment:	AU$ 10,000	Investment Frequency:	Daily

Manager Details

Bentham Asset Management is a specialist global credit investment manager. Their investment philosophy is based on a strong credit culture and systematic investment process. Through diversified exposure to the global credit market and active management, their approach seeks to provide more investment opportunities when compared with managers that focus only on domestic fixed income markets.

Strategy Description

The Bentham Wholesale Global Income Fund aims to provide exposure to global credit markets and to generate income with some potential for capital growth over the medium to long term. The Fund benchmark is a composite of 50% of the UBSA Composite Bond Index and 50% of the UBSA Bank Bill Index. The Fund aims to outperform this composite benchmark over the suggested 3 year minimum investment timeframe.

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.

The Bentham Wholesale Global Income Fund aims to provide exposure to global credit markets and to generate income with some potential for capital growth over the medium to long term. 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.

Fund Fees

Management Fee:	0.72%	Performance Fee:	0%
Buy Spread:	0.29%	Sell spread:	0.29%
High Water Mark:		Hurdle:	N/A

Fund Structure

Offshore/Onshore:	Onshore	Fund Structure:	Unit Trust
Share Classes:	AU$	Trustee/RE:	Fidante Partners Services
Administrator:	N/A	Prime Broker:	N/A
Custodian:	N/A	Legal:	N/A

Ratings & Availability

Research Ratings

Morningstar Analyst RatingSilver LonsecYes, contact Lonsec. (1 Oct 2015) ZenithRecommended

Platform Availability

BT Wrap, HUB24, Macquarie Wrap, Netwealth, Powerwrap, Asgard, IOOF, MLC Wrap, AMP MyNorth, BT Panorama, mFund, Colonial FirstWrap, MLC Navigator, Oasis, Federation Alliance, OnePath, ANZ

Performance Review

The Bentham Global Income Fund has a track record of 20 years and 6 months and has outperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in October 2003, providing investors with an annualised return of 6.38% compared with the benchmark's return of 4.37% over the same period.

The Manager has delivered these returns with 3.77% 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 0.44 since inception. The fund has provided positive monthly returns 78% of the time in rising markets and 78% of the time during periods of market decline, contributing to an up-capture ratio since inception of 41% and a down-capture ratio of -107%.

The Bentham Global Income Fund rose by +1.74% in March, an outperformance of +0.62% 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 +4.26% compared with the benchmark's best return of +3.01%, and its worst monthly return was -2.11% 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	0.21	-0.35	1.74	NA	NA	NA	NA	NA	NA	NA	NA	NA	1.60
2023	4.09	-1.46	0.50	0.91	-1.72	-2.11	1.03	0.77	-0.48	-1.41	3.70	4.26	8.07
2022	0.67	0.07	0.86	-0.29	-1.17	-2.53	2.61	-0.50	-2.32	0.46	2.98	-1.39	-0.73
2021	0.95	0.92	1.40	-0.12	0.05	0.05	-0.25	0.36	0.52	0.15	-0.20	0.70	4.61
2020	0.08	-0.19	-9.30	2.67	3.50	1.32	1.53	1.30	0.43	0.88	2.31	1.24	5.28
2019	0.95	0.87	-0.40	1.15	-0.88	0.26	0.20	-0.10	0.30	-0.10	0.53	0.85	3.67
2018	1.77	0.18	-0.56	0.85	-0.77	0.26	0.45	0.23	0.88	0.07	-1.03	-1.56	0.73
2017	1.18	0.78	0.32	0.60	0.70	0.70	0.54	-0.13	1.05	1.01	0.72	0.41	8.16
2016	-2.13	-2.10	2.38	1.98	1.13	-1.51	1.67	1.60	0.75	1.18	1.42	1.50	8.01
2015	0.02	1.41	0.19	0.98	0.50	0.02	0.43	-0.66	-1.22	0.19	0.30	-0.22	1.93
2014	0.86	0.80	0.80	1.18	0.55	0.47	0.36	-0.40	0.99	-0.86	0.18	0.03	5.05
2013	1.89	1.02	0.76	0.97	1.84	0.32	0.50	0.94	0.63	1.62	1.11	1.12	13.47
2012	2.99	1.82	1.59	0.31	-0.80	1.11	1.51	1.88	2.16	2.50	1.57	1.33	19.46
2011	2.03	3.67	0.76	0.67	0.41	-0.13	-0.38	-3.24	-2.78	1.82	-1.39	0.68	1.92
2010	2.89	3.01	0.76	1.14	-0.85	-1.68	1.53	0.21	1.82	3.36	1.42	1.89	16.51
2009	0.91	-3.24	1.21	7.80	5.41	8.55	5.80	4.90	4.86	4.59	5.61	1.07	58.37
2008	-2.11	-2.87	-1.43	2.02	1.99	-0.94	0.50	0.74	-4.55	-16.65	-5.72	-9.08	-33.30
2007	0.99	0.72	0.42	0.72	0.61	0.03	-1.37	0.93	0.74	0.27	-0.16	0.16	4.11
2006	1.56	0.59	0.58	0.14	0.44	0.54	0.23	0.97	0.70	0.41	0.54	0.74	7.69
2005	0.39	0.34	0.19	0.66	0.71	0.94	1.13	0.88	0.46	0.16	0.65	0.67	7.42
2004	1.54	0.87	-0.19	0.83	-0.25	0.60	0.54	0.86	0.45	0.84	1.11	0.71	8.19
2003	NA	NA	NA	NA	NA	NA	NA	NA	NA	0.57	0.48	1.12	2.18

Only seven years of data shown. Click here to view all data.

General Notes

The Fund benchmark is 50% UBSA Composite Bond Index and 50% UBSA Bank Bill Index.

Annual Returns

Over the past 12 months, the fund has risen by +6.52% compared with the benchmark which has returned +1.47%, for a difference of +5.05%. Since inception in October 2003, the fund has returned +6.38% per annum, a difference of +2.01% relative to the benchmark which has returned +4.37% 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 $354. The same amount invested in the benchmark over the same period would have become $240.

Annual Returns %

Volatility and Risk

Annual Standard Deviation

The fund's returns over the past 12 months have been achieved with a volatility of 6.6% vs the index's 5.4%. The annualised volatility of the fund's returns since inception in October 2003 is 7.44% vs the index's 3.67%. 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 1.02 for performance over the most recent 48 months to a low of 0.1 over the latest 24 months, and is 0.44 for performance since inception. By contrast, the Bloomberg AusBond Composite 0+ Yr Index's Sharpe for performance since October 2003 is 0.32.

Annual Standard Deviation

Sharpe Ratio

Performance in Positive Markets

Since inception in October 2003 in the months where the market was positive, the fund has provided positive returns 78% of the time, contributing to an up-capture ratio for returns since inception of 40.86%. Over all other periods, the fund's up-capture ratio has ranged from a high of 152.03% over the most recent 12 months to a low of 86.4% 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 2003 in the months where the market was negative, the fund has provided positive returns 78% of the time, contributing to a down-capture ratio for returns since inception of -107.37%. Over all other periods, the fund's down-capture ratio has ranged from a high of 89.09% over the most recent 12 months to a low of 14.59% 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

Drawdown

Over the past 12 months, the fund's largest drawdown was -3.9% vs the index's -5.2%, and since inception in October 2003 the fund's largest drawdown was -34.88% vs the index's maximum drawdown over the same period of -13.2%.

Sortino Ratio

Drawdown%

Fund Index Peer group

Quintile Ranking vs. Average Fixed Income - Credit as of March 2024

The performance of the Bentham Global Income Fund ranked it in the second quintile for Total Return and Sharpe over 7 years, while over 5 years the fund ranked in the second quintile for Total Return.

Over the past 12 months, the fund has risen by +6.52% compared with the peer group which has returned an average of +8.27%, for a difference of -1.75%.

The fund's returns over the past 12 months have been achieved with a volatility of 6.6% vs the peer group's average volatility of 2.22%. The annualised volatility of the fund's returns since inception in October 2003 is 7.44% vs the peer group's 5.21%. Over all other periods, the fund's returns have been more volatile than the peer group.

1 Year

Total Return

Volatility

Sharpe Ratio (S.I.)

Sortino Ratio (S.I.)

Downside Deviation (S.I.)

Largest Drawdown (S.I.)

3 Year

5 Year

7 Year

Bentham Global Income Fund

RBA Cash Rate + 5%

Quintile Rankings display Key Performance Indicators (KPI's) against the fund's Peer Group. Each green square ranks the fund in one quintile (or 20%) of its peer group - five green squares indicate the fund is in the best quintile for each KPI. The performance of the peer group's underlying index is shown by a red dot.