NEWS
Performance Report: Loftus Peak Global Disruption Fund
13 Mar 2020 - Australian Fund Monitors
The Loftus Peak Global Disruption Fund returned -1.05% in February, outperforming AFM's Global Equity Index by +4.52% and taking annualised performance since inception in November 2016 to +22.48% versus the Index's +14.39%.
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13 Mar 2020 - Performance Report: Loftus Peak Global Disruption Fund
By: Australian Fund Monitors
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| Fund Overview | The investment process involves a combination of top-down analysis with fundamental bottom-up qualitative and quantitative research to derive a risk-adjusted discounted cash flow (DCF) valuation of companies in the target universe. The investment team will generally buy stocks from the pool of securities that are trading below Loftus Peaks' valuation and sell them when they are trading above Loftus Peak's valuation. The approach allows for both fundamental accounting information as well as market-oriented inputs to be factored into the portfolio construction process. Loftus Peak's model typically does not rely on leverage to deliver investment returns and specifically takes into account risk in the valuation process. Capital preservation can be managed by holding up to 50% cash. Index and currency options and futures may also be used to manage risk. |
| Manager Comments | Loftus Peak noted the sell-down towards the end of the month was not pointed directly at the Fund's investee companies, given many of them are the solution for conducting commerce (and living life) at a distance from others while still being connected. Examples given include Microsoft, Amazon, Alibaba, Tencent and Netflix. Top contributors in February included Netflix, Tencent, Alibaba and Tesla. Key detractors included Apple, Qualcomm, Alphabet and Nutanix. The Australian dollar depreciated -4.2% over the month against the US dollar which meant the value of the Fund's US dollar positions increased. As at 28 February 2020, the Fund carried a foreign currency exposure of 92%. |
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Fund Review: Bennelong Long Short Equity Fund February 2020
12 Mar 2020 - Australian Fund Monitors
Latest Fund Review for the Bennelong Long Short Equity Fund is now available. The Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large-caps from the ASX/S&P100 Index...
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12 Mar 2020 - Fund Review: Bennelong Long Short Equity Fund February 2020
By: Australian Fund Monitors
AFM Fund Review - February 2020 (pdf format)
BENNELONG LONG SHORT EQUITY FUND
Attached is our most recently updated Fund Review on the Bennelong Long Short Equity Fund.
- The Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large-caps from the ASX/S&P100 Index, with over 16-years' track record and an annualised returns of 15.86%.
- The consistent returns across the investment history highlight the Fund's ability to provide positive returns in volatile and negative markets and significantly outperform the broader market. The Fund's Sharpe Ratio and Sortino Ratio are 0.96 and 1.60 respectively.
For further details on the Fund, please do not hesitate to contact us.
AFM Fund Review - February 2020 (pdf format)
Performance Report: Bennelong Kardinia Absolute Return Fund
11 Mar 2020 - Australian Fund Monitors
The Bennelong Kardinia Absolute Return Fund returned -0.86% in February, outperforming the ASX200 Accumulation Index by +6.83% and taking annualised performance since inception in May 2006 to +8.98% with an annualised volatility of 7.12%.
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11 Mar 2020 - Performance Report: Bennelong Kardinia Absolute Return Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund's discretionary investment strategy commences with a macro view of the economy and direction to establish the portfolio's desired market exposure. Following this detailed sector and company research is gathered from knowledge of the individual stocks in the Fund's universe, with widespread use of broker research. Company visits, presentations and discussions with management at CEO and CFO level are used wherever possible to assess management quality across a range of criteria. Detailed analysis of company valuations using financial statements and forecasts, particularly focusing on free cash flow, is conducted. Technical analysis is used to validate the Manager's fundamental research and valuations and to manage market timing. A significant portion of the Fund's overall performance can be attributed to the attention and importance given to the macro economic outlook and the ability and willingness to adjust the Fund's market risk. |
| Manager Comments | The Bennelong Kardinia Absolute Return Fund returned -0.86% in February, outperforming the ASX200 Accumulation Index by +6.83% and taking annualised performance since inception in May 2006 to +8.98% with an annualised volatility of 7.12%. By contrast, the Index has returned +6.02% p.a. with an annualised volatility of 13.22% over the same period. The Fund's Sortino ratio of 1.34 versus the Index's 0.26 and down-capture ratio of 43.20% for performance since inception highlight the Fund's capacity to protect investor capital in falling markets. The Fund's focus on avoiding the market's downside is discussed in more detail in the latest report. Key contributors during the month included West African Resources, Imdex, Goodman Group and National Australia Bank. Detractors included James Hardie, BHP, Aristocrat, Rio Tinto and Coles. The Short Book contributed +400 basis points to performance, protecting the portfolio from the market's significant decline. Kardinia reduced the Fund's net equity market exposure from 30.9% to -5.6% (34.2% long and 39.8% short), with the key changes being lower weightings across the board in the Fund's Long Book (particularly James Hardie, Commonwealth Bank, National Australia Bank, Goodman Group, Coles and Macquarie), 7 new short positions and the sale of Santos, Woodside Petroleum, EML Payments, Independence Group, Altium and Bravura Solutions. |
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Performance Report: Insync Global Capital Aware Fund
10 Mar 2020 - Australian Fund Monitors
The Insync Global Capital Aware Fund returned -0.79% in February, outperforming AFM's Global Equity Benchmark by +4.78% and highlighting the benefits of having additional downside protection in place. Since inception in October 2009, the...
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10 Mar 2020 - Performance Report: Insync Global Capital Aware Fund
By: Australian Fund Monitors
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| Fund Overview | Insync employs four simple screens to narrow the universe of over 40,000 listed companies globally to a focus group of high quality companies that it believes have the potential to consistently grow their profits and dividends. These screens are size of the company, balance sheet performance, valuation and dividend quality. Companies that pass this due diligence process are then valued using dividend discount models, free cash flow yield and proprietary implied growth and expected return models. The end result is a high conviction portfolio of typically 15-30 stocks. The principal investments will be in shares of companies listed on international stock exchanges (including the US, Europe and Asia). The Fund may also hold cash, derivatives (for example futures, options and swaps), currency contracts, American Depository Receipts and Global Depository Receipts. The Fund may also invest in various types of international pooled investment vehicles. At times, Insync may consider holding higher levels of cash if valuations are full and it is difficult to find attractive investment opportunities. When Insync believes markets to be overvalued, it may hold part of its resources in cash, or use derivatives as a way of reducing its equity exposure. Insync may use options, futures and other derivatives to reduce risk or gain exposure to underlying physical investments. The Fund may purchase put options on market indices or specific stocks to hedge against losses caused by declines in the prices of stocks in its portfolio. |
| Manager Comments | Positive contributors during the month included Adobe, Dominos Pizza Inc, Nvidia and Ross Stores. Detractors included Accenture, Apple, Amadeus IT and Walt Disney. The Fund continues to have no currency hedging in place as Insync consider the main risks to the Australian dollar to be skewed to the downside. Insync's core view is that the prevailing low growth and low inflation environment is unlikely to change in the medium term with the recent data only re-enforcing their base case. |
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Performance Report: Bennelong Long Short Equity Fund
9 Mar 2020 - Australian Fund Monitors
The Bennelong Long Short Equity Fund rose +0.97% in February, outperforming the ASX200 Accumulation Index by +8.66% and taking 12-month performance to +29.42% versus the Index's +8.64%. Since inception in February 2002, the Fund has...
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9 Mar 2020 - Performance Report: Bennelong Long Short Equity Fund
By: Australian Fund Monitors
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| 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 split of winning and losing pairs in February was 50/50. The portfolio was well positioned for reporting season with many positive results evenly distributed in both the long and short portfolios. Top pairs included long Challenger (CGF) / short IOOF (IFL) / AMP (AMP), long Worley (WOR) / short Downer EDI (DOW), long TPG Telecom (TPM) / short Telstra (TLS). The worst performing pair for the month was long Ramsay Health Care (RHC) / short Healius (HLS). The Fund is exposed in both long and short portfolios. BLSEM noted they are net long the US economy and net short the Australian and Asian economies, which is an outcome of the stocks BLSEM prefer rather than the strategy. |
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Performance Report: Gyrostat Absolute Return Income Equity Fund
6 Mar 2020 - Australian Fund Monitors
The Gyrostat Absolute Return Income Fund rose +3.27% in February, outperforming the ASX200 Accumulation Index by +10.96%. The Fund's February return highlights the Fund's focus on providing superior returns during periods of heightened...
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6 Mar 2020 - Performance Report: Gyrostat Absolute Return Income Equity Fund
By: Australian Fund Monitors
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| Fund Overview | The investment objective is to deliver regular and stable income stream (from ASX20 dividends) in a low interest rate environment with capital security - an 'alternative - defensive' asset class. Gyrostat has for 34 consecutive quarters operated within a 'hard' defined risk parameter (no more than 3% capital at risk with our maximum draw-down 2.2% in any circumstances) always in place, delivered regular income at a minimum BBSW90 + 3% by passing through ASX-20 dividends, and met returns guidance based upon market conditions (demonstrating increasing returns with market volatility). The fund buys and holds ASX-20 shares with lowest cost protection always in place with upside. It is an 'alternative - defensive' conservative asset allocation. Advances in investment risk management enable cost-effective protection to always be in place for a 'hard' defined risk parameter (say no more than 3% capital at risk). Returns are designed to increase as volatility levels increase, as this provides more opportunities to lower protection costs. Investment Objectives: - Returns: 6% - 8% pa in trending markets, greater than 8% pa in volatile markets, BBSW90 + 3% in stable markets - Income: Minimum cash rate + 3% paid semi-annually (currently 4.2% p.a.) from dividends and franking credits - Protection: No quarterly NAV draw-downs exceeding 3% Also includes a 'tail hedge' for gains on large market falls |
| Manager Comments | The Fund is a solution for falling interest rates. It has a 'conservative' asset allocation and operates with a 'hard' defined risk parameter (no quarterly NAV drawdowns exceeding 3%), delivered regular equity income (by passing through ASX20 dividends), and, as mentioned above, has provided superior returns during periods of heightened market volatility due to the Fund's tail hedge on large gains for large market falls. Gyrostat anticipate increasing levels of 'late cycle' market volatility with geopolitical tensions elevated, historically high debt levels and elevated valuations. |
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Performance Report: Ark Global Fund - Class B AUD Hedged
4 Mar 2020 - Australian Fund Monitors
The Ark Global Fund (Hedged) returned +1.57% in January. Since inception in September 2019, the Fund has returned +9.87% p.a. with an annualised volatility of 8.61%.
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4 Mar 2020 - Performance Report: Ark Global Fund - Class B AUD Hedged
By: Australian Fund Monitors
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| Fund Overview | The investment objective of the Fund is to achieve long-term capital appreciation with low correlation to global equity markets through investment in the Underlying Fund. Fund One is a global macro fund that utilises quantitative research including machine learning techniques and fully automated trading algorithms which will aim to generate positive uncorrelated returns relative to any significant equity benchmark. The traded instruments are either major FX pairs or the most liquid exchange traded stock index, bond, and commodity futures across North America, Europe and Asia Pacific. The algorithm backtests over 10 years of tick data and in order to do so effectively requires machine learning to filter noise and identify meaningful signals, which results in statistically significant prediction of price movements. In production this processing is done in real time and the portfolio reacts to asset movements by rebalancing automatically to the desired risk exposure through the market impact optimised execution logic. Risk management layers built into the algorithm have been developed using the experience the team has gained from their decades in highly liquid fast-moving markets in the proprietary High Frequency Trading world. This allows the system to trade autonomously but safely to all trading opportunities and potential system issues, and to alert the team to any behaviour outside of strictly controlled bounds. The Fund is a 'feeder fund' which indirectly gains exposure to the underlying assets by investing all or substantially all of its assets in the Underlying Fund. The Fund may retain a certain amount of cash from the investment in the Fund for the purpose of payment of costs, fees, hedging and expenses. |
| Manager Comments | The best performing assets for the month were: Gold (+2.16% of NAV), Topix (+2.13% of NAV), and 10 Year Government of Canada Bond (+1.68% of NAV). The worst performing assets for the month were: E-mini S&P500 (-1.90% of NAV), Silver (-1.89% of NAV), and Copper (-1.73% of NAV). |
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Performance Report: Datt Capital Absolute Return Fund
4 Mar 2020 - Australian Fund Monitors
The Datt Capital Absolute Return Fund returned +2.02% in January. Since inception in August 2018, the Fund has returned +10.58% p.a. with an annualised volatility of 9.92%.
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4 Mar 2020 - Performance Report: Datt Capital Absolute Return Fund
By: Australian Fund Monitors
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| Fund Overview | Our investment objectives are: 1) To minimise the risk of permanent capital loss 2) Generate a net return of 10% through the economic cycle An unconstrained, concentrated approach focused on superior risk-adjusted returns. The investment strategy: - targets long-term capital growth in a prudent manner, with an emphasis on capital preservation and low volatility in returns - aims to outperform in markets where equities are down - diversifies investments across asset classes and duration to reduce risk while maintaining relatively concentrated exposure to attractive investment opportunities - is an application of the Manager's investment process, that has no institutional constraints and is completely benchmark unaware |
| Manager Comments | During January the Fund evaluated one debt deal and made no new investments. Datt Capital continue to monitor a number of fixed income instruments in the distressed and special situation space. The Fund's equity exposure increased with a new position being taken in Alkane Resources. The Fund's current exposures include: Afterpay, Adriatic Metals, Alice Queen, Alkane Resources, Argonaut Resources, Valmec, Whitehaven Coal and Yandal Resources. Datt Capital believe the portfolio is well positioned and exposed to a number of positions with near term catalysts. They noted they have a full pipeline of potential investment opportunities which they consider materially undervalued and will carefully consider for inclusion into the portfolio at the appropriate time. |
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Performance Report: Insync Global Quality Equity Fund
3 Mar 2020 - Australian Fund Monitors
The Insync Global Quality Equity Fund returned +5.23% in January, outperforming AFM's Global Equity Benchmark by +1.5% and taking 12-month performance to +38.03%. Since inception in October 2009, the Fund has returned +14.18% versus the...
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3 Mar 2020 - Performance Report: Insync Global Quality Equity Fund
By: Australian Fund Monitors
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| Fund Overview | Insync employs four simple screens to narrow the universe of over 40,000 listed companies globally to a focus group of high-quality companies that it believes have the potential to consistently grow their profits and dividends. These screens are: size of the company, balance sheet performance, valuation and dividend quality. Companies that pass this due diligence process are then valued using dividend discount models, free cash flow yield and proprietary implied growth and expected return models. The end result is a high conviction portfolio typically of 15-30 stocks. The principal investments will be in shares of companies listed on international stock exchanges (including the US, Europe and Asia). The Fund may also hold cash, derivatives (for example futures, options and swaps), currency contracts, American Depository Receipts and Global Depository Receipts. The Fund may also invest in various types of international pooled investment vehicles. |
| Manager Comments | Positive contributors in January included Intuit, Visa, Adobe, S&P Global, and PayPal. Detractors were Bookings.com, Treasury Wine Estates, Boston Scientific, Walt Disney and Estee Lauder. The Fund continues to have no currency hedging in place as Insync consider the main risks to the AUD to be skewed to the downside. Insync believe the prevailing low growth and low inflation environment is unlikely to change in the medium term. |
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Performance Report: Touchstone Index Unaware Fund
3 Mar 2020 - Australian Fund Monitors
The Touchstone Index Unaware Fund returned +2.70% in January, taking 12-month performance to +21.59%. Since inception in April 2016, the Fund has returned +12.06% p.a. with an annualised volatility of 9.81%.
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3 Mar 2020 - Performance Report: Touchstone Index Unaware Fund
By: Australian Fund Monitors
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| Fund Overview | The portfolio is constructed using Touchstone's Quality-At-a-Reasonable-Price ('QARP') investment process. QARP is a fundamental bottom-up process, however, it also incorporates a top-down risk management framework designed to successfully manage the portfolio during varying market conditions and economic cycles. The Touchstone Fund is concentrated, typically holding between 15-20 stocks. No individual stock will ever make up more than 10% of the portfolio at any one time. The Investment Manager may temporarily exceed the exposure limits of the Fund occasionally, particularly during periods of market volatility, to allow for holdings in excess of this 10% limit where the increase in value of the underlying security is due to market movement. The Fund may also hold between 0-50% of the portfolio in cash. The Fund has a high level of associated risk, therefore, the minimum suggested investment time-frame is 5 years. |
| Manager Comments | As at the end of January, the Fund held 21 positions with a median position size of 4.5%. The portfolio's holdings had an average forward year price/earnings of 17.6, forward-year EPS growth of 7.1%, forward-year tangible ROE of 22.5% and forward-year dividend yield of 3.8%. The Fund's cash weighting was decreased to 8.4% from 9.3% as at the end of December. |
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