NEWS
Aurora Fortitude Absolute Return Fund
12 Sep 2013 - Australian Fund Monitors
Aurora Fortitude Absolute Return Fund returned 0.18% for August bringing the Fund's percentage of positive months to 87% since March 2005.
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12 Sep 2013 - 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 | Sentiment towards China appears to have turned with the materials index posting a solid 3.7% gain for the month. US Macro data continued to impress, however September does bring a large number of Macro risks to the table including the Tapering debate; Fed Chairman continuity; US Debt Ceiling; German Elections and ongoing tensions in Syria. The Convergence book (+0.16%) posted the strongest returns of the strategies for the month. The News Corporation demerger continues to present attractive trading opportunities. The Yield portfolio continues to deliver consistent returns (+0.12%) in high quality short-dated names. |
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Morphic Global Opportunities Fund
11 Sep 2013 - Australian Fund Monitors
Morphic Global Opportunities Fund returned -1.57% over August with net leverage of 88%.
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11 Sep 2013 - Morphic Global Opportunities Fund
By: Australian Fund Monitors
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| Manager Comments | The Fund's lower risk is evidenced by a downside deviation of 1.87% (ASX 200 Accum 5.70%). The Sortino ratio of 14.88% as compared to 3.37% (Index) and the Sharpe ratio of 3.10 compared to 1.87 (Index) demonstrate the Fund's strong risk-adjusted returns. In a weak month, the Fund's top contributors were a few individual stocks in a variety of countries along with some hedges. Offsetting this were givebacks on two of July's main alpha sources: currency and interest rate hedges and the Fund overweight to the US bank sector. The Fund ended the month underweight the US market, and to a lesser degree also underweight Europe and Emerging Markets. It remained overweight Japan, but overall a little less than fully invested. |
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Optimal Australia Absolute Trust
10 Sep 2013 - Australian Fund Monitors
Optimal Australia Absolute Trust returned 0.14% for August with a net risk exposure of 9.2% and gross risk exposure of 61.2%.
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10 Sep 2013 - Optimal Australia Absolute Trust
By: Australian Fund Monitors
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| Fund Overview | The Fund's bias is likely to be net long under normal market conditions, with the core strategy being to construct a portfolio of listed equity securities priced at levels that do not adequately reflect their underlying value. The Fund will seek to boost returns and limit potential market downside by selective short selling of individual stocks which are priced at levels that are viewed as materially above their underlying value. The Fund will also use certain trading strategies both within its core portfolio (through rebalancing stock weights and overall market exposure in response to price movements) and in certain other situations (typically of a shorter-duration and/or opportunistic nature) with the objective of further increasing returns. |
| Manager Comments | The Fund is characterised by low risk with a Sortino Ratio of 5.39 (ASX Accumulation Index 0.06) and high reward-to-risk with a Sharpe Ratio of 1.81 (Index 0.12). All data is since the Fund inception in September 2008. Major contributors to the Fund's return in August were on the Long side (+1.04% attribution) industrials, media, resources, energy and property and on the negative side, food and transport. On the short side (-0.75%) positives were healthcare and on the negative side, energy, healthcare, staples and index futures. In Australia, that second derivative issue has been very relevant, with significant pro-cyclical portfolio positioning through the recent earnings season. The Manager notes that they have a lot of sympathy with a beta tilt, so ridiculous have many defensive yield valuations become. They are still surprised by the extent to which investors have been prepared to 'look across the valley', such that many earnings reports that were very weak in absolute terms, with cautious or no guidance prompting earnings downgrades, have only resulted in stock price strength. |
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Bennelong Kardinia Absolute Return Fund
9 Sep 2013 - Australian Fund Monitors
Bennelong Kardinia Absolute Return Fund returned 0.96% over August with a net equity market exposure of 24.7% (49.2% long and 24.4% short).
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9 Sep 2013 - Bennelong Kardinia Absolute Return Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund consists of a concentrated long/short portfolio typically comprising 30 to 40 ASX300 listed stocks, generally with a long bias aligned to the overall market direction. There is a slight bias to large cap stocks in the long side of the portfolio, although in a rising market the portfolio will tend to hold smaller caps, including resource stocks, more frequently. On the short side, the portfolio is particularly concentrated, with stock selection limited by both liquidity and the difficulty of borrowing stock in smaller cap companies. Short positions are only taken when there is a high conviction view on the specific stock. The Fund uses derivatives in a limited way, mainly selling short dated covered call options to generate additional income. These typically have less than 30 days to expiry, and are usually 10 to 15% out of the money. ASX SPI futures and index put options can be used to hedge the portfolio's overall net position. |
| Manager Comments | The Fund's since inception (May 2006) return is 14.11% pa (ASX Accumulation Index 4.18% pa) with a standard deviation of 7.89% pa (Index 14.86%). The Australian equity market maintained its upward momentum in August with the ASX 300 Accumulation Index closing 2.51% higher. The domestic reporting season was mixed with results broadly meeting expectations. Whilst revenue growth remained subdued, ongoing cost cutting and efficiency improvements remained a consistent theme. Long positions in Fox, Seek, Crown, and Mineral Resources were all meaningful positive contributors. The largest detractors from performance were Share Price Index Futures contracts (hedging long positions), QBE and EBOS (New Zealand listed). |
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Bennelong Long Short Equity Fund
6 Sep 2013 - Australian Fund Monitors
Bennelong Long Short Equity Fund returned 2.27% for August bringing the since inception (January 2003) return to a remarkable 21.18% p.a.
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6 Sep 2013 - Bennelong Long Short Equity Fund
By: Australian Fund Monitors
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| Manager Comments | The domestic full year reporting season was largely as expected with the market (ex resources) delivering +5% earnings growth an improvement from +2% the previous year from continued cost out which offset weak revenues. Dividends were again increased with the ASX200 payout ratio now 70% and close to its' historic peak. Fund performance was reasonably solid for August, with the long portfolio once again exceeding the negative impact from the short portfolio. Intra-month portfolio volatility increased as there was quite a few large share price swings around the release of full year earnings, with some focus on headline results. The vast majority of outlook statements given during the reporting season were relatively cautious. However, most companies felt that a decisive victory in the upcoming federal election would help confidence and stable policy would help accelerate investment. |
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Monash Absolute Investment Fund
4 Sep 2013 - Australian Fund Monitors
Monash Absolute Investment Fund returned 1.40% in August with a gross exposure of 86% and Beta of 0.59.
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4 Sep 2013 - Monash Absolute Investment Fund
By: Australian Fund Monitors
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| Fund Overview | 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. |
| Manager Comments | The Manager notes that the outlook driven stocks reported very strong business growth and outlook statements. These are detailed in the Manager's Monthly Note. During reporting season the Fund was active closing out 2 Pair Trades, 2 Short Sales and 4 other Event Trades. The Fund also participated in 2 IPOs, 2 placement and added 2 more Event Driven stocks to the portfolio. |
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Fund Review: BlackRock Multi Opportunity Fund
3 Sep 2013 - Australian Fund Monitors
AFM's updated Fund Review for BlackRock Multi Opportunity Fund. The current strategy has recorded only two negative months since May 2010.
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3 Sep 2013 - Fund Review: BlackRock Multi Opportunity Fund
By: Australian Fund Monitors
Fund Review: BlackRock Multi Opportunity Fund (pdf format)
BLACKROCK MULTI OPPORTUNITY FUND
Attached is our most recently updated Fund Review on the BlackRock Multi Opportunity Fund.
We would like to highlight the following aspects of the Fund:
- The Fund offers broad diversification across asset classes including equities, fixed income, currencies and commodities with an attractive risk profile, having provided double digit returns since 2009 with low volatility.
- BlackRock's Active Scientific involves extensive research into every aspect of the investment process starting with the identification of fundamental investment insights. These are thoroughly tested to ensure that the outcome consistently adds to performance: Quantitative analysis is also applied to balance both performance and risk ensuring the position is only taken when the potential for reward is adequate. Only insights meeting this multi level process are implemented into portfolios.
- The current strategy has seen the Fund provided double digit returns with only two negative months since May 2010, leading to annualised returns over the past 36 months (to July 2013) of 12.81% and a three year Sharpe Ratio of 4.62, significantly outperforming targeted returns and risk.
Research and Database Manager
Australian Fund Monitors
Fund Review: BlackRock Multi Opportunity Fund (pdf format)
Intelligent Investor Value Fund
2 Sep 2013 - Australian Fund Monitors
Intelligent Investor Value Fund had strong July returning 10.45% (ASX 200 Acc 5.2%), it's best months since inception in October 2009.
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2 Sep 2013 - Intelligent Investor Value Fund
By: Australian Fund Monitors
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| Manager Comments | Notably over the last 12 months the Fund's up-capture ratio has been 0.85 with the down-capture ratio -0.74, while the Sharpe ratio has been 2.65 as compared to 1.64 for the ASX 200 Acc. The Manager notes that gains were wide spread across a number of stocks and that given commodity prices have fallen substantially over the past six months, they had been scouring the market for opportunities in mining and mining services companies. As expected there were a lot of companies with serious problems in this area but amongst the wreckage the Fund had found a few interesting opportunities. Unfortunately the panic was short-lived and some of the stocks the Fund had been trying to buy had already risen significantly off their lows. |
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BlackRock Multi Opportunity Fund
30 Aug 2013 - Australian Fund Monitors
The BlackRock Multi Opportunity Fund returned 0.40% for July and 7.18% for the last 12 months.
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30 Aug 2013 - BlackRock Multi Opportunity Fund
By: Australian Fund Monitors
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| Fund Overview | - Australian and International Equity Long/Short - Global Fixed Income Long/Short - Global Macro - Commodity Alpha - Alpha Transport The Fund's goal is to provide investors with a source of consistent, risk-controlled, absolute returns that are over time, expected to have low correlations with the returns of major asset classes. The Fund aims to achieve a return of 8% p.a. before fees, above the RBA Cash Rate Target over rolling 3 year periods. In order to achieve its expected return objective, the Fund will target a total expected risk of between 4-6% p.a. over the same rolling 3 year period. |
| Manager Comments | The Fund has a remarkably low risk profile and very strong risk-adjusted statistics. The annualised volatility is 1.59% vs 10.99% for the ASX 200 Accumulation Index over the last 12 months and a Sharpe Ratio of 2.50 as compared to 1.74 for the Index over the same time frame. The Fund had only one negative month over the last year with a maximum draw-down of 0.16% as compared to 6.72% for the Index. The Multi Opportunity Fund delivered positive performance in July with Fixed Income Global Alpha, Global Equity Market Neutral, and Australian Equity Market Neutral strategies performing strongly. Detractions from the Global Macro strategy partially offset the positive performance. |
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Auscap Long Short Australian Equities Fund
29 Aug 2013 - Australian Fund Monitors
The Auscap Long Short Australian Equities Fund had strong July returning 4.70% bringing it's six months performance to 22.75%.
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29 Aug 2013 - 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 | In terms of fund characteristics the average gross capital employed by the Fund was 107.1% long and 54.0% short. Average net exposure over the month was +53.1%. At the end of the month the Fund had 22 long positions and 11 short positions. The Fund's largest exposures were spread across the consumer discretionary, telecommunications, healthcare and industrials sectors. |
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