NEWS
Alpha Beta Asian Fund
25 Nov 2014 - Australian Fund Monitors
Alpha Beta Asian Fund returned -0.51% during October with annual performance of 5.21% with a volatility of 4.05%.
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25 Nov 2014 - Alpha Beta Asian Fund
By: Australian Fund Monitors
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| Fund Overview | The investment objective of the Fund is to produce positive annual returns without excessive risk. This is achieved through the use of a quantitative approach to invest both long and short in large cap companies listed on Asian stock exchanges. The Fund may also use index futures to manage risk. Stock prices and company fundamental data are decomposed into directional and mean reverting components. Each of Alpha Beta's models are based on either of these known behaviours with capital management built into each model. The benefit of a quantitative approach is that it is both repeatable and unemotional, and allows a different source of returns to be extracted from a very noisy market environment. |
| Manager Comments | The has recorded 62% positive months since inception and a maximum draw-down of 2.93%. Fund beta is 0.11 mapped to the MSCI Asia Pacific Index with a correlation of 0.20 to the same Index. The Fund generated a return of -0.51% during October, driven largely by the surprise BoJ stimulus move on the last day of the month, prior to which we had been up roughly 50bps. Although we are generally hedged to movements in the Japanese market due to our market neutral bottom up portfolio construction and deployment of index futures hedges, the strong movement hit our quantamental short side significantly on that day. |
| More Information | » View detailed profile of this fund |
Fund Review: Microequities Deep Value Microcap Fund Oct 2014
24 Nov 2014 - Australian Fund Monitors
AFM's updated Fund Review for the Microequities Fund for October 2014. The Fund is characterised by above index returns and a sound Sharpe ratio. The Fund returned 1.66% during October and since inception (March 2009) the Fund has returned 28.4% p.a.
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24 Nov 2014 - Fund Review: Microequities Deep Value Microcap Fund Oct 2014
By: Australian Fund Monitors
Microequities Deep Value Microcap Fund Oct 2014 (pdf format)
MICROEQUITIES DEEP VALUE FUND
Attached is our most recently updated Fund Review on the Microequities Deep Value 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 Microequities Deep Value Fund has a 5 year track record investing in ASX listed equities. The Fund is a fundamental, research-driven Fund investing in equities with a market cap below $250m. The Fund uses a value philosophy based on the view that microcaps are often under-researched and under-valued.CIO Carlos Gil has over 15 years financial market experience across a broad range of equities.
- The Fund does not short, use derivatives or borrow i.e., it is long only and is concentrated; usually with 15 to 20 companies across industrial sectors.
- Resource stocks are avoided.
If you have any questions in relation to the Fund Review or the CPD points, please do not hesitate to contact us.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Microequities Deep Value Microcap Fund Oct 2014 (pdf format)
Auscap Long Short Australian Equities Fund
24 Nov 2014 - Australian Fund Monitors
Auscap Long Short Australian Equities Fund recorded a return of 2.25% in October with the annual return 29.93% and a volatility of 6.95%.
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24 Nov 2014 - Auscap Long Short Australian Equities Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund focuses on fundamental long and short investments. The Fund may utilise a multi-strategy approach if short term opportunities to increase returns, hedge the portfolio, protect capital or minimise volatility are found. The Fund is a high conviction fund and the combined portfolio will typically have 25-45 positions, investing primarily in stocks in the ASX200. The Fund may be net long, short or neutral depending on the strategies employed at the time. The Fund may hold cash so that it is in a position to take advantage of market volatility and compelling investment opportunities as and when they arise. The Fund may be geared up to 200% gross long or short and up to 150% net long or short. |
| Manager Comments | The Fund's Sharpe ratio is 3.49 (0.41) and the Sortino ratio 10.45 (0.55) over the last 12 months with Up and Down Capture ratios notable at 1.32 and -0.33. Average gross capital employed by the Fund was 169.5% long and 36.3% short. Average net exposure over the month was +133.2%. The Manager's monthly report is entitled 'Why The Big Iron Ore Producers Face The Ultimate Prisoners' Dilemma' and is available on the AFM website at the Fund's Profile. |
| More Information | » View detailed profile of this fund |
Fund Review: Bennelong Alpha 200 Fund Oct 2014
21 Nov 2014 - Australian Fund Monitors
The Alpha 200 Fund primarily invests within the top 200 by market capitalisation, using a similar "pairs trading" approach while remaining broadly market neutral on a cost basis. The Fund returned -2.49% in October and -3.06% since...
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21 Nov 2014 - Fund Review: Bennelong Alpha 200 Fund Oct 2014
By: Australian Fund Monitors
Bennelong Alpha 200 Fund AFM Fund Review Oct 2014 (pdf format)
BENNELONG ALPHA 200 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 Bennelong Alpha 200 Fund is a new fund opened in December 2013. The Fund is broadly modelled on the strategy used for Bennelong's original Equity Long Short Fund which uses a market neutral "pairs trading" approach to invest in Top 100 stocks, and which has been managed by Richard Fish since the inception of BLSEM in 2002.
- The Alpha 200 Fund however primarily invests within the top 200 by market capitalisation, using a similar "pairs trading" approach while remaining broadly market neutral on a cost basis.
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The Fund will hold 70 - 90 stocks comprising 35 to 45 pairs,although it can hold up to 100 stocks and 50 pairs. Each pair contains one
long and one short position each of which is thoroughly researched and,where possible, from the same market sector. The pair positions are dollar neutral at cost, limited in terms of sector exposure, and give theportfolio a target beta of zero over time.
- In addition to Richard Fish, the team is composed of Sam Shepherd who joined BLESM from Credit Suisse, where he ran the Melbourne institutional equities desk. Shepherd's 20 year experience also covers JP Morgan and Norwich Investment Management. Tim Hall recently joined BLSEM as a specialist mid and small-cap portfolio manager to work on the expanded universe of the 200 Alpha Fund. The team is supported by experienced investment analyst, Sam Taylor.
If you have any questions in relation to the Fund Review, please do not hesitate to contact us.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Bennelong Alpha 200 Fund AFM Fund Review Oct 2014 (pdf format)
Laminar Credit Opportunities Fund
21 Nov 2014 - Australian Fund Monitors
Laminar Credit Opportunities Fund returned 0.51% in October with the 12 month return coming in at 9.28% with a volatility of 0.62%.
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21 Nov 2014 - Laminar Credit Opportunities Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund may also invest in derivatives for hedging purposes. The portfolio of the Fund comprises primarily Investment Grade holding of 75% of the Fund's assets. Benchmark allocations are Australasia 50% to 100%, North America 0% to 50% and Europe 0% to 50%. Currency hedging may take place depending on benefits to the Fund. |
| Manager Comments | The Fund has averaged 20.35% since inception with a volatility of 7.81%, a Sharpe ratio of 1.99% and 93% positive months. At month-end the Fund held 65% RMBS, 6% listed securities, 7% corporate bonds, 20% short-dated loan and 2% cash. |
| More Information | » View detailed profile of this fund |
Bennelong Kardinia Absolute Return Fund
20 Nov 2014 - Australian Fund Monitors
Bennelong Kardinia Absolute Return Fund returned 1.22% during October and 4.31% over the previous 12 months with a volatility of 4.02%.
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20 Nov 2014 - 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 | In October Commonwealth Bank, CSL, Lend Lease and Telstra were all significant contributors to performance, whilst Share Price Index Futures (hedging long positions), Greencross and a short position in Metcash were the major detractors. Net equity market exposure including derivatives was increased to 65.9% (75.1% long and 9.2% short). |
| More Information | » View detailed profile of this fund |
Fund Review: Monash Absolute Investment Fund Oct 2014
20 Nov 2014 - Australian Fund Monitors
Monash Absolute Investment Fund declined 0.30% in October and returned 4.83% for the previous 12 months. The Fund's investment strategy is best described as long biased, equity long-short, with a strong focus on absolute returns rather...
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20 Nov 2014 - Fund Review: Monash Absolute Investment Fund Oct 2014
By: Australian Fund Monitors
MONASH ABSOLUTE INVESTMENT 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.
We would like to highlight the following:
- The Fund is a research driven, active equity long/short strategy investing in listed ASX companies.
- The Fund seeks to identify opportunities in the share market to make positive returns (long and short) irrespective of market conditions. It is style agnostic, as compelling investment opportunities exist across all investment styles from time to time. The Fund places a high priority on capital preservation, and has an absolute return focus in accepting market risk.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research Manager
Avenir Value Fund
19 Nov 2014 - Australian Fund Monitors
Avenir Value Fund returned -1.92% during October with annual performance of 18.68% and volatility of 9.00%.
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19 Nov 2014 - Avenir Value Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund will invest in securities where Avenir believes the company is simply mis-priced and deeply undervalued and offers significant potential for revaluation. The Fund will also invest in companies that are subject to specific corporate events such as mergers, acquisitions, restructurings, recapitalisations, spin-offs, demergers, management change, distressed situations, and other sharply delineated corporate events. The Fund will also selectively invest in short positions in companies where Avenir believes the company is significantly overvalued or where the company's business model is broken or structurally challenged. |
| Manager Comments | The Fund's annual Up and Down Capture ratios are notable at 0.41 and -0.92 respectively with the Sharpe ratio 1.69 (Index 0.41). At month-end the Fund's geographic exposure was US 43%, W. Europe 16% Asia 13% Australia 1%, Other 18% with cash at 8%. |
| More Information | » View detailed profile of this fund |
Fund Review: Morphic Global Opportunities Fund October 2014
19 Nov 2014 - Australian Fund Monitors
The October Fund Review shows performance at 1.12% for the Morphic Global Opportunities Fund ahead of the Global Equity Index (0.36%) and a 12 month Sharpe ratio of 1.52. CPD Points available.
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19 Nov 2014 - Fund Review: Morphic Global Opportunities Fund October 2014
By: Australian Fund Monitors
MORPHIC GLOBAL OPPORTUNITIES FUND
Attached is our most recently updated Fund Review on the Morphic Global Opportunities 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 is a global equity long/short manager with a long bias and a macro-economic overlay. The mandate allows the Fund to short sell, use derivatives and invest in assets such as commodities & currencies.
- Morphic's philosophy is that only funds with flexible investment and hedging strategies will be able to deliver acceptable, steady, real, absolute returns over the investment cycle.
- The Fund is an early stage, boutique, Sydney-based fund established in 2012 with experienced CIO's, and an investment team of 6 including a risk manager.
- The Board has a majority of independent members with significant risk and investment experience.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research Manager
Australian Fund Monitors
Totus Alpha Fund
18 Nov 2014 - Australian Fund Monitors
Totus Alpha Fund returned 0.87% during October and 15.65% over the prior 12 months with a volatility 8.94%.
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18 Nov 2014 - Totus Alpha Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund is a long/short investment fund principally investing in listed entities, commodities, futures and options in Australia and internationally. The Fund is not a market neutral fund and accordingly may switch between net long positions and net short positions. The Fund may use short sales and derivatives. Gearing may be used to enhance returns and the Fund may be geared in excess of 100% of the Fund's Net Asset Value. There is a limit to net exposure of 150%. |
| Manager Comments | The Sharpe and Sortino ratios over the last year are 1.40 (0.41) and 2.95 (0.55) respectively with the Up and Down Capture ratios 0.59 and -0.36. At month-end the Fund had a net exposure of 5.9% and a gross exposure of 211%. We discussed the reasons for our cautious portfolio positioning in our last monthly (the end of QE in the USA, pressure on emerging market currency and commodity markets, US $ and Bond market strength) and despite the sharp rebound in some equity markets (particularly the US) many of these conditions are still in place (or intensifying) as we sit here in mid-November. Volumes (and share prices) in the mid cap space appear to be sliding with investors increasingly gravitating to a small number of (extremely expensive) growth stocks while at the large cap end banks and yield plays have been bid back up aggressively. |
| More Information | » View detailed profile of this fund |
