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| Manager | |
| Fund Name | |
| Strategy | |
| Latest Return Date | |
| Latest Return | |
| Latest 6 Months | |
| Latest 12 Months | |
| Latest 24 Months (pa) | |
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| Inception Date | |
| FUM (millions) | |
| Fund Overview | In a typical environment the Fund will hold around 70 stocks comprising 35 pairs. Each pair contains one long and one short position each of which will have been thoroughly researched and are selected from the same market sector. Whilst in an ideal environment each stock's position will make a positive return, it is the relative performance of the pair that is important. As a result the Fund can make positive returns when each stock moves in the same direction provided the long position outperforms the short one in relative terms. However, if neither side of the trade is profitable, strict controls are required to ensure losses are limited. The Fund uses no derivatives and has no currency exposure. The Fund has no hard stop loss limits, instead relying on the small average position size per stock (1.5%) and per pair (3%) to limit exposure. Where practical pairs are always held within the same sector to limit cross sector risk, and positions can be held for months or years. The Bennelong Market Neutral Fund, with same strategy and liquidity is available for retail investors as a Listed Investment Company (LIC) on the ASX. |
| Manager Comments | The Fund's Sharpe and Sortino ratios (since inception) of 0.83 and 1.31 respectively, by contrast with the Index's Sharpe of 0.39 and Sortino of 0.43, highlight its capacity to achieve superior risk-adjusted returns while avoiding the market's downside volatility. The Fund's significant outperformance in falling markets is demonstrated by the following statistics (since inception): worst month of -10.11% vs the Index's -20.65%, maximum drawdown of -23.77% vs the Index's -47.19%, and down-capture ratio of -162%. The Fund's down-capture ratio indicates that, on average, it has risen during the market's negative months. Bennelong noted the rotation into leveraged cyclicals which hit the Fund in February continued into the first half of March. The portfolio stabilised in the second half of March, ending the month down -5.95%. Contribution was spread across half a dozen sectors with none standing out. Contribution from the top and bottom pairs was similar in magnitude. |
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