Watermark Market Neutral Fund Ltd (LIC)

Performance Summary as at February 2019

The Watermark Market Neutral Fund Ltd (LIC) has a track record of 5 years and 8 months and has underperformed the Bloomberg AusBond Composite 0+ Yr benchmark since inception in July 2013, providing investors with an annualised return of 3.05% compared with the benchmark's return of 4.66% over the same period.

On a calendar year basis, the fund has experienced a negative annual return on 3 occasions in the 5 years and 8 months since its inception. Over the past 12 months, the fund's largest drawdown was -7.72% vs the index's -0.42%, and since inception in July 2013 the fund's largest drawdown was -9.74% vs the index's maximum drawdown over the same period of -3.08%. The fund's maximum drawdown began in October 2016 and has so far lasted 2 years and 4 months, reaching its lowest point during December 2018.

The Manager has delivered these returns with 3.51% more volatility than the benchmark, contributing to a Sharpe ratio which has fallen below 1 five times over the past five years and which currently sits at 0.22 since inception. The fund has provided positive monthly returns 55% 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 11% and a down-capture ratio of -139%.