Peer Index Comparison Report - Alternatives - Market Neutral Index

Alternatives - Market Neutral Index

Peer Index Comparison Report

September 30, 2024

Value Added Monthly Index

Monthly Return

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2024	2.60%	-0.03%	2.98%	1.80%	0.28%	-0.22%	-0.23%	1.83%	2.29%				11.82%
2023	-0.56%	1.10%	0.48%	2.07%	0.11%	-0.37%	-0.69%	-1.66%	0.82%	-0.15%	0.16%	-0.99%	0.26%
2022	0.17%	0.57%	0.21%	1.83%	-1.87%	0.01%	0.21%	1.36%	0.13%	-0.11%	-3.33%	-1.10%	-2.02%
2021	-0.05%	0.47%	0.96%	1.31%	0.69%	-0.57%	1.11%	1.59%	1.49%	1.16%	-0.22%	-0.24%	7.93%
2020	-0.62%	-2.03%	-2.22%	3.04%	2.14%	0.24%	2.97%	-1.81%	1.23%	0.71%	1.94%	0.41%	5.96%
2019	-4.64%	2.54%	-2.81%	2.63%	1.79%	2.48%	-3.21%	1.39%	1.95%	0.95%	-0.15%	1.73%	4.38%
2018	-0.12%	-0.94%	-1.65%	-2.31%	-0.04%	-17.98%	-3.77%	3.54%	-4.42%	-3.58%	0.90%	-5.03%	-31.41%
2017	-0.19%	0.49%	-0.45%	-4.54%	-1.81%	0.01%	-0.50%	-0.04%	1.52%	-0.43%	0.93%	-0.32%	-5.33%
2016	-0.30%	-0.75%	0.46%	0.14%	0.99%	-4.23%	0.15%	0.61%	0.38%	0.29%	0.49%	-0.14%	-1.99%
2015	-0.10%	0.93%	0.97%	0.69%	0.13%	0.70%	0.60%	1.28%	0.74%	0.20%	0.58%	0.63%	7.59%

Return and Risk Report

Name	Return 1m	Return 3m	Return 12m	Return 3y	Return Incp	Std. Dev. 12m	Std. Dev. 3y	Std. Dev. Incp	Max Drawdown 12m	Max Drawdown 3y	Max Drawdown Incp
Alternatives - Market Neutral Index	-0.99%	-0.98%	0.26%	1.97%	-0.20%	3.33%	3.77%	8.02%	-2.87%	-5.22%	-39.84%
Aurora Fortitude Absolute Return	0.00%	0.00%	1.31%	2.84%	-8.06%	2.16%	4.36%	14.16%	-0.95%	-2.62%	-66.39%
CC Sage Capital Absolute Return	1.74%	0.16%	8.25%	7.20%	8.68%	7.27%	6.91%	6.33%	-4.95%	-5.45%	-5.45%
Ellerston Australian Absolute Return	2.85%	7.76%	11.84%	-4.00%	6.33%	6.40%	8.66%	9.53%	-2.93%	-23.05%	-23.05%

Total Return Summary

Name	Total Return 1m	Total Return 3m	Total Return 12m	Total Return 2y	Total Return 3y	Total Return 5y	Total Return Incp
Alternatives - Market Neutral Index	-0.99%	-0.98%	0.26%	-1.76%	6.03%	17.27%	-2.13%
Aurora Fortitude Absolute Return	0.00%	0.00%	1.31%	9.30%	8.77%	-3.97%	-58.90%
CC Sage Capital Absolute Return	1.74%	0.16%	8.25%	8.00%	23.20%	54.72%	53.71%
Ellerston Australian Absolute Return	2.85%	7.76%	11.84%	1.08%	-11.52%	20.59%	100.46%

Rolling Return

12 Month Rolling Return

36 Month Rolling Return

Sharpe Ratio Summary

Name	12m	2y	3y	5y	Incp
Alternatives - Market Neutral Index	-1.07	-0.84	0.07	0.36	-0.19
Aurora Fortitude Absolute Return	-1.18	0.43	0.26	-0.23	-0.62
CC Sage Capital Absolute Return
Ellerston Australian Absolute Return

Rolling Sharpe Time

Risk/Return

Risk/Return 1 Year

Risk/Return 2 Year

Risk/Return 3 Year

Risk/Return Incp

Drawdown

Correlation

	Alternatives - Market Neutral Index	Aurora Fortitude Absolute Return	CC Sage Capital Absolute Return	Ellerston Australian Absolute Return
Alternatives - Market Neutral Index	1.00	0.31	0.31	0.77
Aurora Fortitude Absolute Return	0.31	1.00	0.14	-0.18
CC Sage Capital Absolute Return	0.31	0.14	1.00	-0.23
Ellerston Australian Absolute Return	0.77	-0.18	-0.23	1.00

Performance Review

Performance Metrics	value
Last Month	-0.99%
3 Months Return	-0.98%
1 Year Return	0.26%
3 Years Average Return	1.97%
Since Inc. Average Return	-0.20%
1 Year Std. Dev. (Annual)	3.33%
3 Year Std. Dev. (Annual)	3.77%
Since Inc Std. Dev. (Annual)	8.02%
1 Year Max Drawdown	-2.87%
3 Year Max Drawdown	-5.22%

Success Ratios

Performance Metrics	value
Average Winning Month	1.09%
Winning Month (%)	62.2%
Average Losing Month	-1.76%
Best Month	19.02%
Consecutive Winning Month	11
Consecutive Losing Month	8
Losing Months (%)	37.8%
Winning Year (%)	63.64%
Losing Year (%)	36.36%