The Aurora Property Buy-Write Income Trust posted its fifth consective month of positive returns, up +0.17% in February.

The Trust, which generates income from writing call options over Australian REITs, recorded this result in a month where REITs underperformed the broader equity index by -11.8%. The manager noted with approval the reduction of target debt levels in the sector, as well as the scaling back of operations to the REITs core businesses (passive rent collecting) and ongoing transparency in reporting.

Another Aurora fund, the Buy-Write Income Trust, gained +1.08% in February. Calls written over Westpac which were exercised during the month produced a positive return, and written calls over Telstra, Newcrest and NAB among others provided additional income. The Trust maintained a high level of cash (ending the month at 76%), and the manager believes the fund will become more invested over the medium term.

The Black Marlin Fund, managed by Shell Cove Capital Management, was down a disappointing -15.61% in February on the back of two mistimed short dated long option volatility positions which were held to expiry. This result brings the Fund's 2009 return to -17.6%, following a positive return in 2008 of +29.15%.

The Fund's US long bond volatility position lost -6.25% during the month, and its resource volatility long position was down -5.93%, which were the main contributors to the overall result. Despite this the manager expressed confidence that their "long volatility strategy will provide positive returns in the future, as it has in the past, although expiry profiles will need to be managed carefully."

Asia Pacific Asset Management's Absolute Equity - Asia Fund, which was consolidated with APAM's Absolute Equity - Australia Fund at the end of January, lost -0.31% in February.

The manager carried out some significant portfolio rebalancing during February as a result of the consolidation. The Fund reduced its exposure to Australian assets, while significantly increasing exposure to Asian hybrids, as well as China-related equity markets. Negative returns came from falls in the markets in Japan and Singapore, although China A-shares gained +4.63%. No specific sector recorded a gain, in fact financials, healthcare, consumer staples and industrials each lost over -10%.

The Commodity Strategies Long Only Fund gained +0.21% in February, and is up +0.74% in 2009, while the Long/Short Fund lost -0.26% but is up +1.20% YTD.

The February return for the Long Only Fund was mainly influenced by returns (positive and negative) in metals - nickel and zinc providing strong gains, offset by losses in platinum, silver (NY) and wheat red (KBOT).

The Long/Short Fund, which is leveraged 1.5 to 1 for long positions and 0.6 to 1 for short positions, made significant losses in zinc and nickel, among other commodities. Positive returns in platinum, cotton and cocoa were not enough to prevent an overall negative return for the month.

Absolute Asset Management's Asian REIT Property Fund lost -9.89% in February on lower global equity markets, outperforming the Bloomberg Asia REIT Index by +6.64%.

Only the Malaysian Amanah Harta Tahah 2 (up over 20%) and the Ascendas India Trust reported gains during the month. The Fund continued to decrease its exposure to Australian REITs, as the sector outlooks remains negative, thus increasing the Fund's cash holdings. The manager however believes the Asian REIT sector remains undervalued, with dividend yields ranging between 10% and 17%, and therefore represents excellent long term value.

Absolute's other funds, the Macro Diversified Fund and Absolute Trading 1 Fund, both performed significantly better in February than the REIT Fund, down -2.43% and up +0.58% respectively.

The Allard Growth Fund lost -6.6% in February, while the Allard Investment Fund was down -7%. As equity long only funds both were badly affected by ongoing weakness in Asian equity markets.

These results bring the 12 month return for the Growth Fund to -34.9%, and the Investment Fund to -11.9%. The manager noted that internet based businesses the Funds were invested in are increasing their market share over their non-internet based rivals, a Korean internet content service operater for example reporting an operating profit up +26%. Another trend has been the increasing pressure on smaller, weaker players in the Hong Kong and Chinese manufacturing industries. The manager will continue to monitor these trends to identify entry points for investment.

The BlackRock Asset Allocation Alpha Fund (Class D) was up +1.85% in February, the seventh consecutive month the Fund has recorded a positive return.

This result brings the Fund's three month return to +4.86% and 12 month return to +29.76%. The main driver of returns was the Fund's equity/cash strategy - short positiions in US, German and Australian equities, while currency strategy (incorporating short positions in AUD and NZD) detracted from performance. The manager continued to favour a risk averse stance, focusing on short equities (48% of portfolio risk), long bonds (33%) and short commodities currency strategies (14%).

The Prime Value Growth Fund lost -2.4% in February, and is down -4.7% over the last three months. The Prime Value Imputation Fund posted a larger loss of -4.1%, and is down -11.8% over three months.

An overweight position in industrial stocks in both funds, including BHP and CSR, weighed on performance. The significant cash holdings in both funds and an underweight positions in financials partially offset this weakness. In more positive news, the manager reported that the Growth Fund continued to enjoy net inflows in February, and both funds' higher than normal cash holdings have put them in a strong position to take advantage of future opportunities.

The Denning Pryce Equity Income Fund lost -3.02% in February, and is down -22.95% for the last 6 months.

Small gains in consumer staples and energy short equity positions were offset by significant losses in long positions in industrials (-1.46%), REITs (-0.67%) and financials ex-property (-0.36%). The Fund however still outperformed its benchmark, the S&P/ASX 50 Accumulation Index, which was down -4.01% in February and lost -30.37% in the past 6 months.

The Blue Sky World Fund recorded an impressive +6.25% gain in February, due to strong returns in its Asian Pacific equities (+5.16%) and index futures (+6.26%) positions.

Negative returns in FX and North American equities partially offset February's return. This result brings the Fund's 2009 return to +3.39%, after it posted a loss of -3.96% in 2008. The Fund ended February with significant short exposures in equities and equity index futures, a small long exposure in commodity futures and no exposure on currency futures.