DAC Short Term: $10,000 Growth from Inception $10,900 $10,909 $10,800 $10,700 $10,600 $10,500 $10,400 $10,300 $10,200 $10,100 $10,000 11/2014 02/2015 05/2015 08/2015 11/2015 02/2016 05/2016 08/2016 11/2016 02/2017 05/2017 08/2017 11/2017 02/2018 05/2018 08/2018 1 month 3 month 6 month 1 year Annualised 2 year Annualised 3 year Annualised from DAC portfolio's inception DAC Short Term -0.18% 0.43% 0.50% 1.65% 2.28% 2.36% 2.35%
DAC Short Term : Portfolio Statistics 1 year 2 year 3 year from portfolio inception Annualised Return 1.65 2.28 2.36 2.35 Annualised Standard Deviation 0.58 0.58 0.81 0.97 Annualised Sharpe Ratio 0.27 1.35 0.88 0.60 Annualised Sortino Ratio 0.43 2.39 1.31 0.87 Max Drawdown -0.18-0.18-0.53-1.02
DAC Short Term: Historical Monthly Returns 11/2014 12/2014 01/2015 02/2015 03/2015 04/2015 05/2015 06/2015 07/2015 08/2015 09/2015 10/2015 11/2015 12/2015 01/2016 02/2016 03/2016 04/2016 05/2016 06/2016 07/2016 08/2016 09/2016 10/2016 11/2016 12/2016 01/2017 02/2017 03/2017 04/2017 05/2017 06/2017 07/2017 08/2017 09/2017 10/2017 11/2017 12/2017 01/2018 02/2018 03/2018 04/2018 05/2018 06/2018 07/2018 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% -0.40% 2018 2017 2016 2015 2014 Benchmark DAC Short term All Groups CPI + 2% DAC Short term All Groups CPI + 2% DAC Short term All Groups CPI + 2% DAC Short term All Groups CPI + 2% DAC Short term All Groups CPI + 2% Portfolio Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 0.51% 0.61% 0.31% 0.32% 0.80% 0.15% 0.27% -0.36% -0.07% -0.49% 0.29% -0.12% -0.13% 0.39% -0.51% -0.02% 0.23% 0.21% 0.23% 0.22% 0.23% 0.22% 0.38% 0.38% 0.37% 0.32% 0.31% 0.32% 0.23% 0.19% 0.48% 0.43% 0.40% 0.52% 0.65% 0.41% 0.24% 0.20% -0.17% 0.20% 0.29% 0.27% 0.29% 0.10% 0.11% 0.10% 0.29% 0.29% 0.28% 0.41% 0.40% 0.41% 0.39% 0.41% 0.28% 0.16% 0.35% 0.18% 0.23% 0.07% 0.18% 0.32% 0.28% 0.18% 0.35% 0.32% 0.35% 0.31% 0.32% 0.31% 0.23% 0.23% 0.22% 0.38% 0.36% 0.38% 0.11% 0.05% 0.02% 0.00% 0.16% 0.46% -0.18% 0.38% 0.34% 0.38% 0.31% 0.32% 0.31% 0.29%
DAC Short Term: Risk vs Return Relative to 'Peer' Group since Inception of DAC Portfolio 3.50% 3.00% Average: 2.84% 2.50% Annualised Return 2.00% 1.50% 1.00% 0.50% 0.00% Average: 0.80% 0.00% 0.10% 0.20% 0.30% 0.40% 0.50% 0.60% 0.70% 0.80% 0.90% 1.00% 1.10% 1.20% 1.30% Annualised Standard Deviation Peers Portfolio
DAC Short Term: Risk vs Return of Portfolio and Asset Class Benchmarks since Inception of DAC Portfolio 9.00% BBgBarc Global High Yield TR USD 8.00% 7.00% Annualised Return 6.00% 5.00% FTSE WGBI USD Average: 4.20% 4.00% Bloomberg AusBond Composite 0+Y TR AUD 3.00% RBA Special TD Index 2.00% DAC Short term Average: 3.41% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 4.50% 5.00% 5.50% 6.00% 6.50% 7.00% 7.50% 8.00% 8.50% 9.00% Annualised Standard Deviation Asset class benchmark Portfolio
DAC Short Term: 12 Month Rolling Return 4.00 3.50 3.00 2.50 12m Rolling Return (%) 2.00 1.50 1.86 1.65 1.00 0.50 0.00-0.50 09/2015 11/2015 01/2016 03/2016 05/2016 07/2016 09/2016 11/2016 01/2017 03/2017 05/2017 07/2017 09/2017 11/2017 01/2018 03/2018 05/2018 07/2018
DAC Short Term: 12 Month Rolling Standard Deviation 1.50 1.40 1.30 1.37 1.20 1.10 12m Rolling Standard Deviation (%) 1.00 0.90 0.80 0.70 0.60 0.58 0.50 0.40 0.30 0.20 0.10 0.00 09/2015 11/2015 01/2016 03/2016 05/2016 07/2016 09/2016 11/2016 01/2017 03/2017 05/2017 07/2017 09/2017 11/2017 01/2018 03/2018 05/2018 07/2018
DAC Short Term: 12 Month Rolling Sharpe Ratio 4.50 4.00 3.50 3.00 2.50 12m Rolling Sharpe Ratio 2.00 1.50 1.00 0.50 0.00-0.24 0.27-0.50-1.00-1.50-2.00-2.50 09/2015 11/2015 01/2016 03/2016 05/2016 07/2016 09/2016 11/2016 01/2017 03/2017 05/2017 07/2017 09/2017 11/2017 01/2018 03/2018 05/2018 07/2018
DAC Short Term: 12 Month Rolling Sortino Ratio 30.00 25.00 20.00 12m Rolling Sortino Ratio 15.00 10.00 5.00 0.00-0.34 0.43 09/2015 11/2015 01/2016 03/2016 05/2016 07/2016 09/2016 11/2016 01/2017 03/2017 05/2017 07/2017 09/2017 11/2017 01/2018 03/2018 05/2018 07/2018
DAC Short Term: Historical Asset Allocation (15 Day Rolling Basis) 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 12/2014 03/2015 06/2015 09/2015 12/2015 03/2016 06/2016 09/2016 12/2016 03/2017 06/2017 09/2017 12/2017 03/2018 06/2018 09/2018 Cash Australian Fixed Interest International High Yield Pending Settlement Managed Funds Term Deposit/Money Market International Fixed Interest Alternative Investments
Dynamic Asset Consulting Short Term Portfolio: Asset Allocation Effect Relative to SAA Asset Class 3 month 6 month 1 year 2 year from Inception Term Deposit/Money Market 0.7% 0.7% -0.5% 0.5% Australian Fixed Interest 0.5% -0.3% -0.4% 0.1% International Fixed Interest 0.2% -0.8% -0.8% 0.4% -0.3% International High Yield 0.2% 0.4% 0.3% Alternative Investments 0.1% 0.2% 0.1% Grand Total 0.8% -0.2% -0.2% 0.4% 0.6%
Dynamic Asset Consulting Short Term Portfolio: Manager Selection Effect Relative to Index Asset Class 3 month 6 month 1 year 2 year from Inception Australian Fixed Interest -0.6% -1.1% -0.4% 1.5% -0.4% International Fixed Interest 0.1% -0.1% International High Yield -0.2% 0.1% Alternative Investments -0.1% -0.2% -0.2% Grand Total -0.7% -1.4% -0.8% 1.7% -0.5%
Definition List Standard Deviation Standard deviation is a common measure of the risks involved in an investment. It measures how much the returns vary from the mean, or average return, of that investment. The smaller an investment's standard deviation, the less volatile (and hence risky) it is. The larger the standard deviation, the more dispersed those returns are and thus the riskier the investment is. Standard deviation is also known as volatility. Sharpe Ratio The Sharpe Ratio was introduced in 1966 and has become one of the most commonly quoted measures of risk-adjusted return. It measures portfolio returns per unit of risk, typically after taking into account a risk free rate, such as cash. Example calculation: Investment Return Risk Free Rate Standard Deviation of Returns = Sharpe Ratio A Sharpe ratio of 1.00 represents good compensation for risk, while 2.00 earns a very good rating, and 3.00 or better is outstanding. Sortino Ratio The Sortino ratio expresses returns per unit of downside risk. That is, it uses downside volatility to separate the good volatility from the bad. Sortino ratios are also useful as cross-checks on Sharpe ratio readings. The degree to which a fund's Sortino ratio exceeds its Sharpe ratio indicates the manager's ability to control risk. Conversely, if the Sortino ratio is lower than the Sharpe ratio, the portfolio may be riskier than the Sharpe ratio lets on. Max Drawdown A maximum drawdown is the largest loss from a peak to a trough of a portfolio over a specified time period, before a new peak is attained. I..
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