Performance Report - Auscap Long Short Australian Equities

Auscap Long Short Australian Equities

Performance Report

September 30, 2024

Value Added Monthly Index

Monthly Return

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2024	0.61%	6.45%	3.51%	-2.71%	-2.32%	-2.63%	6.49%	-0.69%	3.19%				11.95%
2023	8.22%	-3.93%	-2.57%	4.18%	-4.28%	2.43%	5.85%	5.19%	-5.83%	-6.08%	5.79%	9.93%	18.49%
2022	-7.15%	-3.14%	4.94%	-3.31%	-7.31%	-11.78%	12.65%	4.83%	-8.45%	8.54%	6.25%	-5.85%	-12.41%
2021	-0.15%	3.43%	3.77%	8.25%	1.35%	5.51%	4.09%	3.45%	-3.43%	3.57%	2.78%	4.25%	43.16%
2020	0.42%	-8.18%	-64.92%	87.22%	-23.49%	57.93%	1.53%	-25.01%	45.90%	7.73%	-19.73%	57.34%	10.59%
2019	0.93%	1.19%	3.08%	1.96%	3.82%	-3.20%	5.46%	-3.70%	2.23%	1.13%	2.33%	1.89%	18.09%
2018	-2.50%	-4.31%	-0.56%	1.75%	2.11%	0.40%	1.02%	-0.99%	-2.85%	-7.09%	-2.33%	-4.49%	-18.50%
2017	-1.18%	0.42%	2.51%	-0.80%	-1.53%	1.18%	-0.78%	2.76%	2.52%	6.96%	2.57%	1.55%	17.08%
2016	-3.01%	-3.54%	3.23%	-1.24%	0.96%	-1.22%	8.49%	2.12%	-2.38%	-2.72%	-1.84%	4.00%	2.17%
2015	3.64%	4.91%	3.99%	-1.36%	4.44%	-7.55%	3.45%	1.65%	4.82%	4.65%	4.69%	4.55%	35.96%

Annual Return

Monthly Return

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
Auscap Long Short Australian Equities	3.19%	9.13%	22.27%	8.84%	15.41%	16.04%	20.19%	45.20%	-7.47%	-25.38%	-68.87%
Domestic Equity - Long Short Index	4.40%	8.31%	21.60%	7.25%	11.67%	10.05%	12.55%	13.17%	-3.93%	-13.05%	-29.44%
ASX 200 Index	2.97%	7.79%	21.76%	8.45%	9.71%	10.37%	13.46%	13.47%	-3.78%	-11.90%	-26.75%

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
Auscap Long Short Australian Equities	3.19%	9.13%	22.27%	44.03%	28.94%	93.97%	445.30%
Domestic Equity - Long Short Index	4.40%	8.31%	21.60%	34.13%	23.38%	69.12%	268.99%
ASX 200 Index	2.97%	7.79%	21.76%	38.13%	27.54%	49.49%	199.35%

Rolling Return

12 Month Rolling Return

36 Month Rolling Return

Sharpe Ratio Summary

Rolling Sharpe 12 Months

Rolling Sharpe Time

Regression Summary

Name	Alpha 1y	Beta 1y	R2 1y	Tracking Error 1y	Correl 3y	Alpha 3y	Beta 3y	R2 3y	Tracking Error 3y	Correl Incp	Alpha Incp	Beta Incp	R2 Incp	Tracking Error Incp
Auscap Long Short Australian Equities	NA%	1.406	0.777	8.98%	0.917	NA%	1.476	0.842	10.15%	0.607	NA%	2.083	0.368	38.79%

Capture Ratio

Rolling Beta

Up Capture

Down Capture

Risk/Return

Risk/Return 1 Year

Risk/Return 2 Year

Risk/Return 3 Year

Risk/Return Incp

Drawdown

Excess Return

Tracking Error

Information Ratio

Correlation

Performance Review

Performance Metrics	value
Last Month	3.19%
3 Months Return	9.13%
1 Year Return	22.27%
3 Years Average Return	8.84%
Since Inc. Average Return	15.41%
1 Year Std. Dev. (Annual)	16.04%
3 Year Std. Dev. (Annual)	20.19%
Since Inc Std. Dev. (Annual)	45.20%
1 Year Max Drawdown	-7.47%
3 Year Max Drawdown	-25.38%

Benchmark Comparison

Performance Metrics	value
12 Months Excess Return	0.96%
Excess Return Annualised Since Inception	5.97%
12 Months Alpha	NA%
Alpha Annualised Since Inception	NA%
12 Months Beta	1.41
Beta Annualised Since Inception	2.08
12 Months Tracking Error	8.98%
Tracking Error Since Inception	38.79%
12 Months Correlation	0.88
Correlation Since Inception	0.61

Success Ratios

Performance Metrics	value
Average Winning Month	6.23%
Winning Month (%)	65.49%
Average Losing Month	-5.93%
Best Month	71.52%
Consecutive Winning Month	15
Consecutive Losing Month	5
Losing Months (%)	34.51%
Winning Year (%)	84.62%
Losing Year (%)	15.38%