Watermark Absolute Return Fund

Performance Summary as at August 2023

The Watermark Absolute Return Fund has a track record of 4 years and 4 months and therefore comparison over all market conditions and against its peers is limited. However, the fund has underperformed the ASX 200 Total Return benchmark since inception in May 2019, providing investors with an annualised return of 0.95% compared with the benchmark's return of 7.43% over the same period.

On a calendar year basis, the fund has only experienced a negative annual return once in the 4 years and 4 months since its inception. Over the past 12 months, the fund's largest drawdown was -6.12% vs the index's -3.31%, and since inception in May 2019 the fund's largest drawdown was -9.01% vs the index's maximum drawdown over the same period of -26.75%. The fund's maximum drawdown began in July 2022 and has so far lasted 1 year and 1 month, reaching its lowest point during July 2023. During this period, the index's maximum drawdown was -11.56%.

The Manager has delivered these returns with 12.33% less volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 four times over the past four years and which currently sits at -0.01 since inception. The fund has provided positive monthly returns 48% of the time in rising markets and 58% of the time during periods of market decline, contributing to an up-capture ratio since inception of 0% and a down-capture ratio of -6%.