Non-Correlated Capital

Alternative Diversification Fund (ADF)

March

2024

Cumulative Monthly Returns

Monthly Performance

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year
2024	0.43	-3.72	0.98										-2.36
2023	-0.41	-1.22	-0.18	1.10	1.02	0.26	-0.01	1.69	-2.60	-3.60	0.76	-0.60	-3.85
2022	-7.19	-1.77	1.32	-1.73	1.74	0.59	3.49	2.21	0.23	4.93	-0.10	-4.12	-1.02
2021	3.03	1.83	3.06	3.29	-0.52	-0.85	-0.12	5.05	-5.41	-2.29	-3.05	0.87	4.47
2020	1.55	2.10	11.44	-3.79	-2.26	0.87	-2.45	-0.11	0.51	1.02	3.94	1.48	14.37
2019	12.75	4.21	5.69	1.92	-1.63	7.26	2.70	2.67	-0.57	0.55	1.56	0.07	43.07
2018	-0.46	-8.71	-2.14	-5.84	2.04	-6.46	8.42	1.53	1.03	-5.21	1.92	-0.17	-14.28
2017	0.96	0.89	0.99	2.78	0.96	-0.73	-3.79	3.52	0.68	1.58	1.94	-2.12	7.69
2016	-4.61	2.24	3.09	0.30	1.19	0.44	0.27	0.18	-0.44	0.84	-0.54	1.35	4.19
2015	-0.80	1.05	0.05	1.91	0.85	2.29	-0.96	-2.84	1.21	0.22	0.27	0.78	3.99
2014	1.21	0.40	0.44	0.76	1.74	-0.30	0.19	2.22	0.97	-3.52	-1.93	-2.43	-0.42
2013	1.63	0.81	1.00	-3.11	3.99	-1.33	-3.99	-3.80	1.82	2.56	0.83	0.63	0.68
2012	4.32	1.79	1.51	3.70	0.43	-1.81	2.04	3.28	1.99	2.35	2.79	1.64	26.69
2011	-5.11	-5.50	3.68	3.67	-6.88	1.75	1.87	-0.90	4.21	6.26	5.37	2.93	10.72
2010	10.43	9.38	9.51	3.74	-10.11	8.63	4.66	-4.16	12.11	2.27	-0.81	2.44	56.58
2009	20.39	-2.13	4.63	15.45	-11.42	8.91	12.05	6.37	12.50	11.19	11.51	17.12	167.35
2008	-14.19	2.12	4.92	2.71	3.35	2.47	9.20	8.40	-5.58	-5.22	18.10	-16.15	4.91
2007											2.80	2.70	5.58

Return and Risk Report

	Last Month	3M Return	1 Yr Return	5 Yrs. Ave. Return	Since Inc. Ave. Return	1 Yr Std. Dev. (annual)	5 Yrs Std. Dev. (annual)	Since Inc. Std. Dev. (annual)	1 Yr Max Drawdown	5 Yrs Ave. Max Drawdown	Since Inc. Max Drawdown
Alternative Diversification Fund (ADF)	0.98%	-2.36%	-4.40%	5.05%	15.31%	6.26%	10.15%	16.97%	-9.06%	-17.96%	-21.77%
Multi-Asset - 81-100% Diversified Index	3.34%	8.29%	16.40%	9.13%	6.12%	7.26%	10.90%	9.98%	-4.85%	-17.80%	-35.44%
Multi-Asset - Real Return Index	1.82%	3.41%	7.62%	4.13%	3.69%	4.82%	5.31%	6.30%	-3.03%	-8.14%	-31.30%
S&P/ASX 200 TR	3.27%	5.32%	14.44%	9.15%	5.38%	10.87%	16.28%	14.56%	-7.20%	-26.75%	-47.19%
Credit Suisse AllHedge Global Macro Index	-0.63%	3.01%	-3.66%	5.79%	1.32%	9.20%	13.64%	10.65%	-11.46%	-22.28%	-30.07%
MSCI World GR	3.02%	13.88%	28.43%	13.99%	8.79%	8.70%	12.03%	11.69%	-4.96%	-15.96%	-34.40%
MSCI World Ex Australia GR	3.08%	14.18%	29.36%	14.68%	9.49%	8.76%	12.04%	11.80%	-4.88%	-15.89%	-33.66%
DJ/CS HF Index	1.74%	5.30%	11.25%	6.35%	3.67%	2.59%	5.71%	5.62%	-0.18%	-9.13%	-19.67%

Return Summary

Total Return Cumulative	1 Month	3 Months	6 Months	1 Year	2 Years	3 Years	5 Years	Inception
Alternative Diversification Fund (ADF)	0.98%	-2.36%	-5.72%	-4.40%	0.60%	-10.21%	27.93%	936.19%
Multi-Asset - 81-100% Diversified Index	3.34%	8.29%	13.42%	16.40%	19.31%	30.81%	54.81%	165.10%
Multi-Asset - Real Return Index	1.82%	3.41%	7.74%	7.62%	8.05%	11.56%	22.43%	81.35%
S&P/ASX 200 TR	3.27%	5.32%	14.17%	14.44%	14.57%	31.71%	54.92%	136.52%
Credit Suisse AllHedge Global Macro Index	-0.63%	3.01%	4.27%	-3.66%	7.26%	31.39%	32.52%	23.34%
MSCI World GR	3.02%	13.88%	20.00%	28.43%	33.87%	49.53%	92.47%	298.97%
MSCI World Ex Australia GR	3.08%	14.18%	20.37%	29.36%	35.64%	52.07%	98.32%	343.05%
DJ/CS HF Index	1.74%	5.30%	7.45%	11.25%	10.26%	18.50%	36.08%	80.61%

Summary of Total Return Cumulative
Min	-0.63	-2.36	-5.72	-4.40	0.60	-10.21	22.43	23.34
25th Percentile	3.27	13.88	20.00	28.43	33.87	49.53	92.47	343.05
Median	3.02	5.32	13.42	14.44	14.57	31.39	54.81	165.10
Average	2.08	6.38	10.21	12.43	16.20	26.92	52.43	258.14
75th Percentile	1.74	3.41	7.45	7.62	8.05	18.50	32.52	81.35
Max	3.34	14.18	20.37	29.36	35.64	52.07	98.32	936.19

Sharpe Ratio Summary

Sharpe Ratio AUD	1 Month	3 Months	6 Months	1 Year	2 Years	3 Years	5 Years	Inception
Alternative Diversification Fund (ADF)	0.00	-1.41	-1.83	-0.84	-0.06	-0.46	0.44	0.87
Multi-Asset - 81-100% Diversified Index	0.00	14.27	3.64	2.00	0.85	0.95	0.77	0.55
Multi-Asset - Real Return Index	0.00	6.55	2.75	1.35	0.57	0.59	0.60	0.45
S&P/ASX 200 TR	0.00	5.31	2.19	1.21	0.48	0.68	0.56	0.37
Credit Suisse AllHedge Global Macro Index	0.00	2.73	0.90	-0.47	0.27	0.76	0.41	0.08
MSCI World GR	0.00	13.18	4.74	2.83	1.17	1.12	1.07	0.70
MSCI World Ex Australia GR	0.00	13.09	4.77	2.90	1.22	1.16	1.12	0.75
DJ/CS HF Index	0.00	21.58	5.36	3.76	1.16	1.22	0.94	0.49

Summary of Sharpe Ratio AUD
Min	0.00	-1.41	-1.83	-0.84	-0.06	-0.46	0.41	0.08
25th Percentile	0.00	14.27	4.77	2.90	1.17	1.16	1.07	0.75
Median	0.00	13.09	3.64	2.00	0.85	0.95	0.77	0.55
Average	0.00	9.41	2.82	1.59	0.71	0.75	0.74	0.53
75th Percentile	0.00	5.31	2.19	1.21	0.48	0.68	0.56	0.45
Max	0.00	21.58	5.36	3.76	1.22	1.22	1.12	0.87

Drawdown

Drawdown Report -

No.	Depth (%)	Length (Months)	Recovery (Months)	Start date	End date	Alternative Diversification Fund (ADF)	Multi-Asset - Real Return Index	S&P/ASX 200 TR	Credit Suisse AllHedge Global Macro Index	MSCI World GR
Fund	Index	Fund	Index	Fund	Index	Fund	Index	Fund	Index
1	-35.44%	-	16	-	51	-	11/2007	-	05/2013	-	578.11	7.24	- 5.98	1.13	- 4.1
2	-17.80%	-	2	-	11	-	02/2020	-	02/2021	-	18.17	1.47	- 1.71	- 4.13	2.37
3	-10.79%	-	6	-	10	-	01/2022	-	04/2023	-	- 1.73	- 1.32	4.25	1.63	- 1.29
4	-8.70%	-	4	-	4	-	09/2018	-	04/2019	-	23.33	2.05	2.85	0.4	4.19
5	-7.30%	-	7	-	3	-	08/2015	-	05/2016	-	1.62	- 0.45	- 1.25	- 8.07	- 2.1

Drawdown Report

No.	Depth (%)	Length (Months)	Recovery (Months)	Start date	End date
Fund	Index	Fund	Index	Fund	Index	Fund	Index	Fund	Index
1	-21.77%	-	7	-	9	-	12/2017	-	03/2019	-
2	-17.96%	-	8	-	0	-	09/2021	-	-	-
3	-16.15%	-	1	-	1	-	12/2008	-	01/2009	-
4	-14.19%	-	1	-	5	-	01/2008	-	06/2008	-
5	-11.42%	-	1	-	2	-	05/2009	-	07/2009	-

12 Month Rolling ROR

36 MONTH ROLLING ROR

Sharpe Ratio (12 Months Rolling)

Sharpe Ratio (36 Months Rolling)

SHARPE RATIO - Multiple Rolling Periods

Distribution of Monthly Returns

Up Capture vs. Multi-Asset - 81-100% Diversified Index

Down Capture vs. Multi-Asset - 81-100% Diversified Index

Annual Performance

Monthly Returns

Correlations (36 MONTH ROLLING) - Alternative Diversification Fund (ADF)

Correlations (12M Month Rolling) - Alternative Diversification Fund (ADF)

Correlations Since Inception

	Alternative Diversification Fund (ADF)	Multi-Asset - 81-100% Diversified Index	Multi-Asset - Real Return Index	S&P/ASX 200 TR	Credit Suisse AllHedge Global Macro Index	MSCI World GR	MSCI World Ex Australia GR	DJ/CS HF Index
Alternative Diversification Fund (ADF)	-	0.14	0.23	0.14	0.04	0.14	0.14	0.16
Multi-Asset - 81-100% Diversified Index	0.14	-	0.91	0.90	0.30	0.86	0.84	0.63
Multi-Asset - Real Return Index	0.23	0.91	-	0.85	0.35	0.79	0.77	0.71
S&P/ASX 200 TR	0.14	0.90	0.85	-	0.40	0.61	0.58	0.68
Credit Suisse AllHedge Global Macro Index	0.04	0.30	0.35	0.40	-	0.15	0.14	0.74
MSCI World GR	0.14	0.86	0.79	0.61	0.15	-	1.00	0.45
MSCI World Ex Australia GR	0.14	0.84	0.77	0.58	0.14	1.00	-	0.43
DJ/CS HF Index	0.16	0.63	0.71	0.68	0.74	0.45	0.43	-

Downside Correlations Since Inception

	Alternative Diversification Fund (ADF)	Multi-Asset - 81-100% Diversified Index	Multi-Asset - Real Return Index	S&P/ASX 200 TR	Credit Suisse AllHedge Global Macro Index	MSCI World GR	MSCI World Ex Australia GR	DJ/CS HF Index
Alternative Diversification Fund (ADF)	-	0.41	0.45	0.41	0.33	0.45	0.44	0.43
Multi-Asset - 81-100% Diversified Index	0.41	-	0.90	0.91	0.59	0.89	0.88	0.72
Multi-Asset - Real Return Index	0.45	0.90	-	0.89	0.65	0.82	0.81	0.80
S&P/ASX 200 TR	0.41	0.91	0.89	-	0.69	0.72	0.70	0.80
Credit Suisse AllHedge Global Macro Index	0.33	0.59	0.65	0.69	-	0.46	0.45	0.85
MSCI World GR	0.45	0.89	0.82	0.72	0.46	-	1.00	0.58
MSCI World Ex Australia GR	0.44	0.88	0.81	0.70	0.45	1.00	-	0.57
DJ/CS HF Index	0.43	0.72	0.80	0.80	0.85	0.58	0.57	-

Excess Returns Multi-Asset - 81-100% Diversified Index

Distribution Of Monthly Excess - Multi-Asset - 81-100% Diversified Index

Excess Returns (12 Months Rolling) - Alternative Diversification Fund (ADF)

Monthly Excess

	Last Month	3M Return	6M Return	1 Yr Return	2 Yrs. Ave. Return	3 Yrs Ave. Return	Since Inc. Ave. Return
Multi-Asset - 81-100% Diversified Index	-2.36%	-10.10%	-17.29%	-18.37%	-8.86%	-12.22%	7.93%
Multi-Asset - Real Return Index	-0.83%	-5.64%	-12.66%	-11.34%	-3.68%	-7.05%	11.08%
S&P/ASX 200 TR	-2.29%	-7.40%	-18.17%	-17.42%	-7.92%	-13.15%	7.60%
Credit Suisse AllHedge Global Macro Index	-	-7.35%	-7.67%	-5.26%	-8.16%	-8.39%	13.22%
MSCI World GR	-2.04%	-14.95%	-22.22%	-26.49%	-14.44%	-16.57%	4.91%
MSCI World Ex Australia GR	-2.10%	-15.21%	-22.49%	-27.05%	-15.03%	-17.07%	4.21%
DJ/CS HF Index	-0.76%	-7.41%	-12.40%	-14.24%	-4.62%	-8.92%	11.09%
Total	-	-68.07	-112.90	-120.17	-62.70	-83.37	60.02
Average	-	-9.72	-16.13	-17.17	-8.96	-11.91	8.57

Time Window Analysis - Multi-Asset - 81-100% Diversified Index

	1 Month	3 Months	6 Months	1 Year	3 Years	5 Years	Inception
Alpha Monthly	0.00%	0.39%	-2.22%	-0.76%	-0.66%	0.47%	1.18%
Beta	0.00	-0.43	0.59	0.31	0.50	-0.02	0.24
Correlation	0.00	-0.13	0.58	0.36	0.49	-0.02	0.14
Monthly Information Ratio	-	-0.69	-0.79	-0.57	-0.37	-0.07	0.13
Total Return	0.98%	-2.36%	-5.72%	-4.40%	-10.21%	27.93%	936.19%
Tracking Error	-	17.56%	13.58%	10.01%	9.85%	15.18%	18.65%

Tracking Error (12 Months Rolling) - Alternative Diversification Fund (ADF)

Information Ratio (12 Months Rolling) - Alternative Diversification Fund (ADF)

Beta (12 Months Rolling) - Alternative Diversification Fund (ADF)

Alpha (12 Months Rolling) - Alternative Diversification Fund (ADF)

Risk/Return - Inception

Risk/Return - 1 Year

Risk/Return - 2 Years

Risk/Return - 3 Years

Statistics

Last Month	0.98%
3 Month ROR	-2.36%
Year To Date	-2.36%
12 Months ROR	-4.40%
36 Month ROR	-10.21%
Total Return Annualized	15.31%
Average Winning Month	3.47%
Winning Months (%)	68.02%
Average Losing Month	-3.28%
Total Return Cumulative	936.19%
Best Month	20.39%
Max Gain Year	167.35%
Consecutive Winning Months	11
Consecutive Winning Years	7
Consecutive Losing Months	5
Consecutive Losing Years	3
Worst Month	-16.15%
Worst Year	-14.28%
Winning Years (%)	72.22%
Losing Months (%)	31.98%
Losing Years (%)	27.78%
Average Losing Year	-4.38%

Statistics

Sharpe Ratio (1%)	0.87
Sortino Ratio	1.57
Sterling Ratio	-0.17
Calmar Ratio	-0.20
Skewness	0.53
Kurtosis	3.20
Max Drawdown (Monthly)	-21.77%
Standard Deviation Monthly	4.90%
Average Losing Month	-3.28%
Correlation vs S&P 500	0.18
Correlation vs DJ/CS MF	-0.05
Correlation vs SG CTA	-0.04
Losing Streak	-16.01
Conditional Variance	-9.25
Jarque Bera	9.62
Modified Variance	-5.66
Rachev Ratio	-0.57
STARR Performance	-0.64
Expected Tail Return	5.29
Standard Deviation Annualized	16.97%
Sortino Ratio Monthly	0.45
Sharpe Ratio Monthly	0.27

Statistics

Information Ratio	0.49
Active Premium	9.19
Down Capture Ratio	-31.11%
Up Capture Ratio	50.85%
Gain Deviation	13.72
Annualized Loss Deviation	11.45%
Alpha Annualized	15.12%
Jensen Alpha Annualized	14.83
Standard Deviation 3M	2.10
Sharpe Ratio 24M Annualized	0.08
Sortino Ratio 24M Annualized	0.06
Downside Deviation 3M	2.15
Downside Deviation 36M	2.08

Important Information

FOR AUSTRALIAN WHOLESALE INVESTORS ONLY
This publication has been prepared on behalf of and issued by Non Correlated Capital Pty Ltd. This is not an offer to deal in any financial product. This information is general in nature and is presented without regard to any investor’s individual objectives, financial situation or needs. It is not specific advice for any particular investor. Before making any decision about the information provided, you must consider the appropriateness of the information in this document, having regard to your objectives, financial situation and needs and consult your adviser. Performance information presented above represents the performance of unit holders interests purchased at the inception of the Fund. The monthly performance indicates actual returns net of fees in the fund. All fees have been deducted in the below schedule;
1. Prior to July 2010, Rate of Return is net of pro-forma fees of a 2% management fee and 20% quarterly performance fees.
2. After July 2010 to June 2016, Rate of Return is net of fees of a 2% management fee and 20% quarterly performance fees.
3. After July 2016 to June 2018, Rate of Return is net of fees of a 1.25% management fee and 10% quarterly performance fees.
4. After July 2018 to present, rate Rate of Return is net of fees of a 0.65% management fee and 0% quarterly performance fees. The value of investments and any income generated may go down as well as up and is not guaranteed. Past performance is not necessarily a guide to future performance. Changes in rates of exchange may have an adverse effect on the value, price or income of investments. Investors should be aware of local laws governing investments and should read all the relevant documents.
Please visit www.noncorrelatedcapital.com and fill out a contact form to gain further information.