the documentation that came with the capital return should...

the documentation that came with the capital return should explain the situation, or it not now, the ATO will make a ruling at a later date...
generally, unless it states that xxx amount represents a dividend, which is included as income in your fund tax return, the balance represents a return of capital...
which you apply to reduce the cost base of the shares held

so for example if you receive .40 cents return of capital, this amount is used to reduce your cost base for CGT purposes,which has the same affect as I stated....
I assumed you had sold the shares...
when the company is wound up, if you have not sold in the meantime, the net result is the same...a capital loss

you can only offset the loss against a capital gain

if in the situation above, there was say a .10 cent dividend, then it is included in income the year received, and the balance of .30 cents reduced the cost base of the shares