September 2017

Alpha Hedge

Growth of $10,000

Net Monthly Returns

Past performance is no guarantee or reliable indication of future results. Performance data is collated from back-tested data and real-time trading accounts where possible. Because these strategies are run as individual portfolios and individual clients’ holdings, performance can differ from one client to another. This can be due to differing start dates, available liquidity or risk profiles, etc. To assess the validity of the strategies’, extensive Monte Carlo testing has been carried out, enabling us to generate a statistically significant sample size of possible returns. All performance shown fits comfortably into this matrices. Performance data is net of all trading charges. No dividends or interest on cash holdings have been accounted for.

Investment Summary:

Inception DateJan 2014
Minimum Investment25,000 AUD (notional funding: 0%)
Performance Fee25%
Annual Management Fee2%
Brokerage Fee0.5%

Return Statistics:

Last Month 0.81
3 Months Rate of Return 4.01
Year To Date 6.47
12 Months Rate of Return 8.82
36 Months Rate of Return 187.30
Average Rate of Return 41.88
Winning Months (%) 80.00
Average Winning Month 4.07
Total Return 271.30

Corporate Overview:

CompanyHarbourSide Capital Pty. Ltd.
AFS Representative Number' 448907
LocationSydney, Australia
Phone+61 (02) 9432 7850
Emailinfo@hscapital.com.au
Skype
YTD 3 Months Rate of Return 12 Months Rate of Return 36 Months Rate of Return Since Inception
Alpha Hedge 6.47 4.01 8.82 187.30 271.30
September 2017

Alpha Hedge

Strategy Summary:

The strategy has been specially designed with a focus to providing uncorrelated returns from equity markets.  Alpha Hedge uses mathematical models to quantify the relative value of ETF products based on the CBOE S&P500 Volatility Index (VIX) and create a positive-alpha long/short volatility portfolio. The strategy is designed to perform robustly during extreme market conditions, by utilizing the positive convexity of the underlying ETF assets. It does not rely on volatility term structure (“carry”), or statistical correlations, but generates a return derived from the ETF pricing methodology. The net volatility exposure of the portfolio may be long, short or neutral, according to market conditions. Portfolio holdings are implemented daily using execution algorithms that minimize market impact to achieve the best available market prices.

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Risk & Performance Metrics:

Sharpe Ratio (3 Month T-Bill) 1.89
Sharpe Ratio (10 Year T-Note) -
Sortino Ratio (3 Month T-Bill) 16.65
Sortino Ratio (10 Year T-Note) 14.14
Compound ROR 2.96
Average Winning Month 4.07
Average Losing Month -1.02
Max Gain 21.28
Largest Monthly Loss -2.45
Maximum Drawdown -2.45

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Year
2014 -0.31 2.43 -0.05 0.13 2.14 8.84 -2.45 14.15 2.16 4.66 1.42 7.10 46.92
2015 1.95 3.13 2.04 4.41 1.89 -0.13 21.28 -2.33 10.44 14.40 7.01 1.30 84.92
2016 3.96 1.97 6.25 -0.41 2.43 3.59 3.99 1.16 0.30 -0.59 2.64 0.17 28.36
2017 0.89 1.16 -2.08 0.66 1.24 0.51 4.01 -0.80 0.81 6.47
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
There is a substantial risk of loss in trading commodity futures, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
1 -2.45 1 1 07/2014 08/2014
2 -2.33 1 1 08/2015 09/2015
3 -2.08 1 3 03/2017 06/2017
4 -0.80 1 1 08/2017 09/2017
5 -0.59 1 1 10/2016 11/2016

Return Report

Period LastBestWorstAverageMedianWinning %
1 Month 0.8121.28-2.453.051.9580.00
3 Months 4.0135.20-0.299.828.3993.02
6 Months 6.5462.232.0221.9520.33100.00
1 Year 8.8295.518.2752.8255.09100.00
2 Years 69.48203.4369.48148.16152.27100.00
3 Years 187.30252.93187.30230.29240.86100.00
5 Years ------
September 2017

Alpha Hedge

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Average ROR2.969.5220.9849.95144.74229.46
% Positive80.0093.02100.00100.00100.00100.00
Avg. Pos. Period4.0710.5721.9552.82148.16230.29
Avg. Neg. Period-1.02-0.19 - - - -
Sharpe2.284.004.776.1912.5233.06
Sortino16.66592.980.000.000.000.00
Std. Deviation4.648.5115.9429.5541.0024.13
Down. Deviation0.620.060.000.000.000.00

Fee Schedule:

Performance Fee25%
Brokerage Fee0.5%
Minimum Investment25,000 AUD (notional funding: 0%)

About HarbourSide Capital

HarbourSide Capital is an Australian based boutique investment company licensed to provide Managed Discretionary Account services to clients. A Managed Account (MA) is an investment portfolio that is managed for a client by a professional manager who makes and actions investment decisions based on the client’s stated investment strategy and/or objectives. Unlike managed fund investors, the portfolios of HarbourSide Capital’s MA clients are not pooled with the money of other clients, they always remain separate. Recognising that everyone has different goals, objectives and risk tolerance, we work in close partnership with each client to create investment strategies truly tailored to meet individual client objectives. 

Why Diversify via Alternative Asset Classes

Investing in alternative asset classes can provide significant benefits to your overall investment portfolio. Firstly the potential of uncorrelated returns to more traditional assets such as equities, real estate and bonds can give great diversification to your investment portfolio and provide significant protection in times of crisis. This reduction in risk through portfolio diversification coupled with the ability of alternative investments to provide absolute returns in virtually any market environment make HarbourSide’s range of Alternative Investment MDAs something that all investment portfolios could benefit from exposure too.

Unique Proposition

Typically investment into these asset classes has been via Hedge Funds and only for the extremely wealthy or professional investor. Our MDAs bring these asset classes to the retail client and allow them to not only benefit from the increased returns and decreased risk that these investments can bring but also means that unlike a hedge fund your investment always remains under your name. We strongly believe that clients’ funds should never be held by any party with a vested interest and ensure that all our clients’ monies are held and maintained with third-party custodians. This arm’s length approach ensures that the highest standards of integrity are met.

 

The  Alpha Hedge Portfolio is managed by HarbourSide Capital. The fact sheet contains general information only and does not take into account individual financial circumstances. Investors should consider the Information Memorandum and seek independent advice to decide if the Portfolio is appropriate to their circumstances. Past performance is not a guide to future performance. Whilst every effort is taken to ensure the information in this document is accurate, its accuracy, reliability or completeness is not guaranteed. To the extent permitted by law, HarbourSide Capital accepts no liability and accepts no responsibility for any loss, liability, damage or expense which results from any act or ommission of any person relying on the information provided in this document.

Risk Warning HarbourSide Capital Pty Ltd (ACN 166 765 537) is a Corporate Authorised Representative (AR Number 448 907) of HLK Gro up Pty Ltd (ACN 161 284 500) which holds an Australian Financial Services Licence (AFSL 435746). This material is general in nature and should not be considered by the recipient as a recommendation relating to the acquisition or disposal of investments. This material does not contain suffi cient information to support an investment decision and investors should ensure that they obtain all available relevant information, including the Investment Memorandum, before making an investment. Any advice provided previous to a Statement of Advice (SOA) is general advice only and is based solely on consideration of the investment or trading merits of the fi nancial products alone, without taking into account the investment objectives, fi nancial situation and particular needs (i.e. fi nancial circumstances) of any particular person. The Financial Services Guide should be considered before deciding to deal with Harbourside Capital Pty Ltd. Before acting on any information on this website, you should consider the appropriateness of it (and any relevant product)having regard to your circumstances and you should carefully read and review the PDS of the relevant fi nancial product as provided before acquiring the product.
All securities and fi nancial products or instruments transactions involve risks. Please remember that the past performance results are not necessarily indicative of future results. Trading derivatives carries a high level of risk to your capital and you should only trade with money you can afford to lose. Trading derivatives may not be suitable for all investors, so please ensure that you fully understand the risks involved, and seek independent advice if necessary. The information on this site may be accessed worldwide however it is not directed at residents in any country or jurisdiction where such distribution or use would be contrary to local law or regulation.