NEWS
Bennelong Alpha 200 Fund
8 Dec 2014 - Australian Fund Monitors
Bennelong Alpha 200 Fund returned 5.08% during November bringing since inception returns to 2.79%.
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8 Dec 2014 - Bennelong Alpha 200 Fund
By: Australian Fund Monitors
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| Fund Overview | The core investment strategy of the Fund consists of the active selection of a series of paired long/short investments in Australian listed equities based upon the Investment Manager's fundamental research. The strategy seeks to capture stock Alpha whilst limiting portfolio exposure to market risk by adopting a dollar neutral portfolio market exposure position with the tactical capability to take net exposure of up to +/- 20% of gross assets. Stock selection is based on fundamental analysis to derive a view of a pair of individual stocks. The Investment Manager is style neutral in determining the stock's positioning. This primary 'pairs' strategy may be enhanced by other complementary strategies, including event driven, security and takeover arbitrage, thematic and momentum trading. The paired stock positions comprise long and short correlated securities that are in most cases simultaneously opened. A portfolio of approximately 30-100 stocks will be selected and actively managed in 15-50 pairs to comprise the core minimum (60%) of the Gross Asset Value. Up to a maximum of 40% of the portfolio's Gross Asset Value may be invested in uncorrelated securities and/or uncovered (long and/or short) positions. These 'satellite' positions are intended to enhance returns and to balance overall portfolio risk. In this regard, the Investment Manager recognises that it is not always possible to achieve a suitable paired profile within the S&P/ASX 200, and that a high conviction long or short stock idea might not always have a suitable pair. |
| Manager Comments | The Fund was levered 2.5 times at month-end exposures were 52.5% long and 47.5% short. Ex-ASX 100 exposure was 36.9%. Both the long and the short book generated a positive return during the month, with the short book performance exceeding the long book in absolute terms. Returns were positive across all sectors except Financials and Telcos - which were minor negatives. At a pair level the winners were spread broadly across a dozen pairs. |
| More Information | » View detailed profile of this fund |
Supervised High Yield Fund
5 Dec 2014 - Australian Fund Monitors
Supervised High Yield Fund returned 0.41% during October and 6.50% over the prior 12 months with a volatility of 0.74%.
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5 Dec 2014 - Supervised High Yield Fund
By: Australian Fund Monitors
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| Fund Overview | The fund will invest in all forms of marketable floating and fixed income debt securities, such as asset backed debt securities, residential mortgage backed securities, corporate debt, regional and sovereign debt securities, debt/equity hybrid securities, equities and currencies. All these investments will be either listed or traded in a market where prices can be independently verified. The fund may also invest in interest rate swaps, options over authorised investments and exchange traded futures contracts. All these will be either listed or traded in a market where they can be independently valued. |
| Manager Comments | The Fund had 100% positive months over the last year and 99% positive months since inception in April 2009 with the Sharpe ratio notable at 5.17 for the year and 3.13 since inception. The Fund's quarterly report is available on the AFM website. |
| More Information | » View detailed profile of this fund |
Fund Review: Bennelong Long Short Fund AFM Fund Review October 2014
4 Dec 2014 - Australian Fund Monitors
The Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large cap stocks from the ASX/S&P100 Index and has produced an annualised return of 16.96% against the broader ASX200 Accumulation...
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4 Dec 2014 - Fund Review: Bennelong Long Short Fund AFM Fund Review October 2014
By: Australian Fund Monitors
BENNELONG LONG SHORT EQUITY FUND
Attached is our most recently updated Fund Review on the Bennelong Long Short Equity Fund.
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
- The Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large cap stocks from the ASX/S&P100 Index, and has produced an annualised return of 16.96% against the broader ASX200 Accumulation return of 8.33%.
- The consistent returns across the investment history indicates the Fund's ability to provide positive returns in volatile and negative markets and significantly outperform the broader market.
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Fund performance was muted for the month as the market drifted without any strong thematic and investors were subject to merger and acquisition activity/speculation, yield/defensive buying and stock specific issues. Our assessment is that the April factors that negatively impacted fund returns, which were of a more global nature, were persisting early in the period but since have abated. Fund activity was limited in May as our view of market fundamentals have not really changed.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Fund Review: Alpha Beta Asian Fund AFM Fund Review October 2014
3 Dec 2014 - Australian Fund Monitors
Alpha Beta Asian Fund, an Asian Quantitative Fund, returned 5.21% over the 12 months to end-October 2014 with a volatility of 5.20%. The Fund CPD Points available for reading the review.
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3 Dec 2014 - Fund Review: Alpha Beta Asian Fund AFM Fund Review October 2014
By: Australian Fund Monitors
Alpha Beta Asian Fund AFM Fund Review Oct 2014 (pdf format)
ALPHA BETA ASIAN FUND
AFM has updated the Fund Review on the Alpha Beta Asian Fund.
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
Key points include:
- The Fund The Alpha Beta Asian Fund invests in Asian listed equity markets with a focus on liquid companies in Australia, Japan, Hong Kong, Indonesia, Philippines and Thailand. The Fund uses a systematic approach to evaluate macroeconomic, company fundamental and price data, all of which are evaluated through a series of quantitative models.
- Sydney based Alpha Beta Capital was established by Andrew Barry and Ken Lewis in May 2012. Both Barry and Lewis have significant qualifications and international experience in funds management, including working together at Coronation International, a global multi-strategy hedge fund group in London.
- The Strategy relies on a number of core beliefs: Firstly that a well designed systematic investment process, operating within a multi-strategy framework will be able to extract consistent returns, on average, with low volatility. Secondly, by utilising holding periods substantially shorter than the industry-norm, profit opportunities consistently arise. Finally, a strategy that holds a large number of small positions versus a small number of concentrated positions, will remove much of the emotional angst of trading, and the investment process becomes repeatable.
- In keeping with the Manager's overall systematic approach the Risk Management includes real time monitoring of positions and market exposure, and is combined into a proprietary and automated system called PARMS (Portfolio and Risk Management System). PARMS is a centralised and integrated system which provides full functionality including stress testing.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research Manager
Alpha Beta Asian Fund AFM Fund Review Oct 2014 (pdf format)
Fund Review: Optimal Australia Absolute Trust Oct 2014
2 Dec 2014 - Australian Fund Monitors
The Fund has delivered an annalised return of 9.86% since inception in July 2008 as compared to 5.82% for the ASX 200 Accumulation Index. The Fund has a low annual volatility of 3.44% compared to the Index at 14.63% and the Sharpe ratio is 1.72.
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2 Dec 2014 - Fund Review: Optimal Australia Absolute Trust Oct 2014
By: Australian Fund Monitors
OPTIMAL AUSTRALIA ABSOLUTE TRUST
AFM have released the most recently updated Fund Review on the Optimal Australia Absolute Trust.
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
We would like to highlight the following:
- Optimal Australia is a specialist Australian equity investment manager and the Fund has a long/short equity strategy typically with a low but variable net market exposure comprising 40 to 65 stocks broadly selected from within the ASX200.
- The Fund's approach to risk is shown by the Sharpe ratio of 1.72, Sortino ratio of 4.87, both of which are well above the ASX 200 Acc Index, and volatility of 3.44%. The Fund has also recorded 84% positive months.
- The investment team comprising George Colman, Peter Whiting supported by Stephen Nicholls and Justin Hay have over 100 years combined experience in equity markets.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Fund Review: Totus Alpha Fund Oct 2014
1 Dec 2014 - Australian Fund Monitors
Totus Alpha Fund returned 0.87% for October and 25.89% over the last 12 months, read the latest Fund Review with statistics since inception. CPD Points also available.
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1 Dec 2014 - Fund Review: Totus Alpha Fund Oct 2014
By: Australian Fund Monitors
Totus Alpha Fund AFM Review Oct 2014 (pdf format)
TOTUS ALPHA FUND
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
We would like to highlight the following aspects of the Fund;
- Totus Capital is a Sydney based long short fund manager established in 2012 by Ben McGarry which aims to place equal emphasis on performance and capital preservation. The Fund invests mainly in Australia, but also in other developed economies, with a primary exposure to equity markets.
- The Totus Alpha Fund?s investment strategy is to identify structural themes, and then seek to drive performance by investing in securities that have concentrated exposure to those themes. Single stock short positions are used to generate alpha, frequently in under researched parts of the market such as the small and mid-cap space. Index derivatives are used to hedge the portfolio?s market risk.
- McGarry qualified as a Chartered Accountant with PWC in 1999 and has 14 years market experience, commencing his career covering European building materials and construction sectors at Morgan Stanley in London. Previous experience included analytical roles at Ausbil, a Sydney based $10bn+ long-only manager, and sell side emerging companies experience at UBS. McGarry?s emerging company research with UBS included exposure to a range of sectors including energy, materials, industrials, tech, financials, retail and telecommunications.
- The Fund has delivered an annalised return of 25.89% since inception in March 2012 as compared to 14.71% for the ASX 200 Accumulation Index. The standard deviation has been higher than the Index at 13.23% as compared to 11.11% and the Sharpe ratio is 1.60.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Totus Alpha Fund AFM Review Oct 2014 (pdf format)
Fund Review: Bennelong Kardinia Absolute Return Fund Oct 2014
28 Nov 2014 - Australian Fund Monitors
The Bennelong Kardinia Absolute Return Fund returned 1.22% in October and since inception has had an annualised return of 13.02% compared to 5.10% for the ASX200 Accumulation Index. Volatility over the year was 7.52% compared to 14.31% for...
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28 Nov 2014 - Fund Review: Bennelong Kardinia Absolute Return Fund Oct 2014
By: Australian Fund Monitors
BENNELONG KARDINIA ABSOLUTE RETURN FUND
Attached is our most recently updated Fund Review. You are also able to view the Fund's Profile.
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
- The Fund is long biased, research driven, active equity long/short strategy investing in listed ASX companies with an eight year track record.
- The Fund has significantly outperformed the ASX200 Accumulation Index since its inception in April 2006 and also has significantly lower risk KPI's. The Bennelong Kardinia Absolute Return Fund returned 1.22% in October and has volatility of 7.52% pa, compared to the ASX200 Accumulation's 14.31%.
- The Fund also has a strong focus on capital protection in negative markets. Portfolio Managers Mark Burgess and Kristiaan Rehder have significant market experience, while the Bennelong Group provide infrastructure, operational, compliance and distribution capabilities.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research Manager
Fund Review: Supervised High Yield Fund Oct 2014
28 Nov 2014 - Australian Fund Monitors
Supervised High Yield Fund returned 0.41% in October and 6.50% for the prior 12 months compared to the RBA Cash Rate of 2.50% over that period. Volatility over the year was 0.74% and all months recorded positive returns.CPD Points are now available.
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28 Nov 2014 - Fund Review: Supervised High Yield Fund Oct 2014
By: Australian Fund Monitors
Supervised High Yield Fund AFM Review Oct 2014 (pdf format)
SUPERVISED HIGH YIELD FUND
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
We would like to highlight the following aspects of the Fund:
- The Supervised High Yield Fund (SHYF) has a 5 year track record investing in fixed interest investments. The Investment strategy aims to deliver returns with zero correlation to equity markets by investing in debt securities with minimal default probability and offering a premium return above the risk free rate.
- The Fund is managed by Philip Carden whose experience in debt and capital markets spans 32 years, including time with JB Were's Capel Court Securities and Macquarie Bank, where he was the Executive Director responsible for the Debt Markets Division.
- SHYF is an Alternative Income fund which invests in Global and Australian debt markets, with all foreign currency receivables hedged back to Australian dollars.
- The Fund utilises a top down analysis of the economic environment and market to screen and identify debt market opportunities which it believes offer low risk with high yield. The next stage is the development of a risk matrix and investment strategy, following which detailed research is undertaken on specific investment opportunities which meet the pre-defined criteria established in the investment strategy.
- Prior to approving an investment for the Fund each potential investment is subject to two stress tests. The first of these is for credit and default risk, in which the investment is stress-tested to ensure that in a worst case economic environment it can repay 100% of its principal and interest obligations case scenario for the asset by examining the highest margin over the risk rate that the investment has previously experienced in a crisis situation. Any decline in value under the stress test that exceeds 10% of the Fund's value is avoided The second test examines market risk. In this case Carden looks at the worst case scenario for the asset by examining the highest margin over the risk rate that the investment has previously experienced in a crisis situation. Any decline in value under the stress test that exceeds 10% of the Fund's value is avoided.
Research and Database Manager
Australian Fund Monitors
Supervised High Yield Fund AFM Review Oct 2014 (pdf format)
Allard Investment Fund
27 Nov 2014 - Australian Fund Monitors
Allard Investment Fund recorded a performance of 0.60% during October bringing the annual return to 13.30%.
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27 Nov 2014 - Allard Investment Fund
By: Australian Fund Monitors
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| Manager Comments | Since inception in July 2003 the Fund's return is 9.0% p.a. as compared to the MSCI Asia Pacific Index of 10.6% with a lower volatility of 7.9% (Index 13.4%). The Sharpe ratio since inception is 0.57. The Fund's geographic investment break down is Hong Kong 44%, Singapore 11.1% and Korea 7.5%. In terms of industry the largest sector is Financial Services 19.9%, Conglomerates 11.1% and Telco's at 8.5% with Cash and Fixed Income 21.4%. The top 5 stocks are 40.9% of the portfolio. |
| More Information | » View detailed profile of this fund |
Aurora Fortitude Absolute Return Fund
26 Nov 2014 - Australian Fund Monitors
Aurora Fortitude Absolute Return Fund returned -0.29% during October and 2.36% for the previous 12 months with a volatility of 1.09%.
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26 Nov 2014 - Aurora Fortitude Absolute Return Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund aims to produce positive returns irrespective of the direction of the share market. For each investment the manager considers the risk, the timeline of that risk occurring and then the potential return. Low transaction costs and liquidity are other important factors in the success and implementation of the strategies. |
| Manager Comments | Mergers and Acquisitions was the best performing strategy (+0.28% net return). Wotif.com Holdings Limited produced good returns as a result of receiving both ACCC and shareholders' approval for Expedia to acquire them. The New Zealand Commerce Commission approval was the last remaining condition and this was received shortly after month end with the scheme consideration due to settle in mid‐November. The Funds Options Overlay was the main detractor from performance (‐0.37%). Woodside Petroleum Ltd Woolworths Ltd and National Australia Bank Ltd all suffered losses from both theta; a loss of option value as it approaches expiry, and vega; the change in an option price due to moves in the volatility. This was particularly the case later in the month when implied volatility was sold down as a result of the market recovery. |
| More Information | » View detailed profile of this fund |
