Fund Performance and Metrics


The Algonquin Debt Strategies Fund LP was launched on February 2, 2015. Monthly returns shown are based on ‘Series 1 X Founder’s Class’ NAV as calculated by SGGG Fund Services Inc. and are shown in Canadian dollars, net of all fees and expenses.

Year Jun YTD
2017 0.53% 4.91%
2016 0.54% 23.15%
2015 0.25% 15.86%
Since Inception: 49.68%, Standard Deviation: 3.93%, Sharpe Ratio: 4.17, Sortino Ratio: 22.75

Past performance is not indicative of future results. There can be no assurance that the results achieved for past investments will be achieved by the fund in the future.

Sector Breakdown

The breakdown below illustrates how much of the Fund’s credit exposure is attributable to each market sector. It is based on positions held in the portfolio at month end.

Sector Jun May
Communications 16% 11%
Consumer, Cyclical 17% 16%
Consumer, Non-cyclical 8% 8%
Energy 13% 17%
Banks 19% 20%
Insurance 5% 6%
REITs 14% 14%
Diversified Finan Serv 4% 3%
Diversified 2% 2%
Utilities 2% 2%
Provincial/Agencies 0% 1%

Term Breakdown

The term breakdown below illustrates how much of the Fund’s total credit exposure is attributable to each maturity basket. It is based on positions held in the portfolio at month end.

Term Rating Jun May
2yr 75% 71%
5Yr 15% 20%
7Yr 6% 7%
10Yr 2% 1%
30Yr 1% 0%
Preferred 1% 1%

Credit Exposure (CR01)

CR01 is presented on a daily basis since fund inception. CR01 represents the estimated impact on Net Asset Value expressed in basis points for one basis point change in credit spread on all credit positions.

Leverage

Total Leverage is presented on a daily basis since fund inception. Total Leverage is calculated as total exposure of the Fund divided by estimated Net Asset Value. For month end dates, the actual Net Asset Value as calculated by SGGG Fund Services is used.

Correlation

Index S&P500 TSX XBB
Correlation 49% 59% -3.6%
Upside capture 67% 96% 214%
Downside capture -51% -63% -201%

Calculation Methodology

Performance Summary


For ‘Series 1 Y Founder’s Class’ and ‘F Class’ performance metrics, Click Here