Cartwright Capital Management employs a systematic trade philosophy enabling it to present backtest results which should reliably represent the funds’ performance had it been operational from that point in time. The backtest involves the application of a set of predefined rules to historical data to assess the hypothetical performance of the strategy. For completeness and context, we have provided the historical performance of the exact strategy employed by the CCM Systematic Macro Plus Fund from 1 January 2021 (the Fund Inception Date) to the 9 May 2023 (the Fund Launch date). The performance has been adjusted to closely reflect the fees applicable to the CCM Systematic Macro Plus Fund. The reported performance for May 2023 is a blended performance using backtested results from 1 – 9 May 2023 and the actual performance from 9 May 2023 thereafter. The first full month of actual performance is presented from the 30 June 2023. An investor's actual performance will vary depending on the timing of transactions, whether income is paid and divergence from the model due to slippage. Please note that past performance is not a reliable indicator of future performance.
The CCM Systematic Macro Plus Fund (ARSN: 657 853 177) is issued by K2 Asset Management Limited (K2) ABN 95 085 445 094. AFS Licence No 244 393, a wholly owned subsidiary of K2 Asset Management Holdings Limited. This document does not constitute any representation or offer by K2. The information contained in this document (including any links and attachments) unless otherwise credited to another party is produced by Cartwright Capital Management Pty Ltd (ABN 12 660 805 952) (CCM) in good faith and is intended as general information only and is not complete or definitive. CCM is a Corporate Authorised Representative (AFS representative number: 001303108) of K2. CCM does not accept any responsibility and disclaims any liability whatsoever for loss caused to any party by reliance on the information in this email. Any information in this document is general information only and does not consider any financial objectives, situations or needs of any particular investor. You should consider your individual circumstances before making a decision about any of the financial products discussed in this document. An Information Memorandum (IM) for the managed investment schemes referred to in this document (and otherwise managed by CCM), can be obtained by contacting CCM. You should consider the IM before making a decision to acquire or continue to hold an interest in any managed investment scheme managed by CCM. Please note past performance is not a reliable indicator of future performance. Investment decisions should not be made upon the basis of its past performance or distribution rate, or any rating given by a ratings agency, since each of these can vary. In addition, rating need to be understood in the context of the full report issued by the ratings agency themselves.
CCM Systematic Macro Plus Fund
Risk ReportSeptember 2024
Drawdown
Return and Risk Report
Last Month | 3M Return | 1 Yr Return | 3 Yrs Ave. Return | Since Inc. Ave. Return | 1 Yr Std. Dev. (annual) | 3 Yrs Std. Dev. (annual) | Since Inc. Std. Dev. (annual) | 1 Yr Max Drawdown | 3 Yrs Max Drawdown | Since Inc. Max Drawdown | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CCM Systematic Macro Plus Backtest | 2.20% | -2.43% | 10.56% | 17.21% | 27.16% | 17.86% | 26.28% | 25.90% | -10.05% | -16.50% | -16.50% | |
Barclays Top 50 Index | 1.24% | -2.69% | -0.28% | 6.08% | 7.07% | 7.99% | 8.87% | 8.21% | -7.60% | -8.10% | -8.10% | |
SG Trend Index | -0.32% | -5.06% | -4.17% | 10.01% | 10.01% | 11.12% | 12.25% | 12.25% | -7.73% | -13.10% | -13.10% | |
Dev World Ex Australia Index NR | -0.47% | 2.31% | 23.21% | 10.57% | 13.99% | 9.26% | 11.67% | 11.26% | -3.26% | -16.14% | -16.14% | |
ASX 200 Index | 2.97% | 7.79% | 21.76% | 8.45% | 10.71% | 10.37% | 13.46% | 12.31% | -3.78% | -11.90% | -11.90% | |
Global Aggregate Index | -0.53% | 3.00% | 4.19% | -1.74% | -0.74% | 6.16% | 8.19% | 7.77% | -3.40% | -13.06% | -13.06% |
Volatility (12 Months Rolling)
Volatility (36 Months Rolling)
Volatility
Volatility Summary
Standard Deviation (Annual) | 3 Months | 6 Months | 1 Year | 2 Years | 3 Years | 5 Years | Inception | |
|---|---|---|---|---|---|---|---|---|
CCM Systematic Macro Plus Backtest | 9.46% | 7.74% | 17.86% | 17.24% | 26.28% | - | 25.90% | |
Barclays Top 50 Index | 5.42% | 5.78% | 7.99% | 8.09% | 8.87% | - | 8.21% | |
SG Trend Index | 7.81% | 8.47% | 11.12% | 13.88% | 12.25% | - | 12.25% | |
Dev World Ex Australia Index NR | 8.13% | 8.30% | 9.26% | 10.46% | 11.67% | - | 11.26% | |
ASX 200 Index | 5.36% | 7.72% | 10.37% | 11.39% | 13.46% | - | 12.31% | |
Global Aggregate Index | 10.06% | 8.25% | 6.16% | 6.31% | 8.19% | - | 7.77% |
Drawdown Summary
Max Drawdown | 1 Month | 3 Month | 6 Month | 1 Year | 2 Year | 3 Year | Inception | |
|---|---|---|---|---|---|---|---|---|
CCM Systematic Macro Plus Backtest | -0.00% | -4.53% | -10.05% | -10.05% | -13.77% | -16.50% | -16.50% | |
Barclays Top 50 Index | -0.00% | -3.88% | -7.60% | -7.60% | -8.10% | -8.10% | -8.10% | |
SG Trend Index | -0.32% | -5.18% | -5.18% | -7.73% | -13.10% | -13.10% | -13.10% | |
Dev World Ex Australia Index NR | -0.47% | -1.70% | -3.26% | -3.26% | -5.49% | -16.14% | -16.14% | |
ASX 200 Index | -0.00% | -0.00% | -2.94% | -3.78% | -7.20% | -11.90% | -11.90% | |
Global Aggregate Index | -0.53% | -2.00% | -3.40% | -3.40% | -3.40% | -13.06% | -13.06% |
Correlation - Barclays Top 50 Index
Correlation Since Inception
CCM Systematic Macro Plus Backtest | Barclays Top 50 Index | SG Trend Index | Dev World Ex Australia Index NR | ASX 200 Index | Global Aggregate Index | |
|---|---|---|---|---|---|---|
CCM Systematic Macro Plus Backtest | 1.00 | |||||
Barclays Top 50 Index | 0.74 | 1.00 | ||||
SG Trend Index | 0.74 | 0.96 | 1.00 | |||
Dev World Ex Australia Index NR | -0.24 | -0.42 | -0.52 | 1.00 | ||
ASX 200 Index | 0.08 | -0.22 | -0.26 | 0.61 | 1.00 | |
Global Aggregate Index | -0.66 | -0.54 | -0.56 | 0.34 | -0.21 | 1.00 |