NEWS
24 Nov 2014 - Auscap Long Short Australian Equities Fund
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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 |
21 Nov 2014 - Fund Review: Bennelong Alpha 200 Fund Oct 2014
BENNELONG ALPHA 200 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.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Bennelong Alpha 200 Fund AFM Fund Review Oct 2014 (pdf format)
21 Nov 2014 - Laminar Credit Opportunities Fund
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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 |
21 Nov 2014 - Hedge Clippings
In this week's Clippings: FoFA, the Senate circus, and budget deficits as far as the eye can see.
Irrespective of the rights or wrongs of either side's opinions and arguments over the Government's Future of Financial Advice (FoFA) reforms, this week's about-face in the Senate seems to confirm a number of thoughts:
Firstly that the government has done a pretty average job of selling their proposed changes to the original legislation. Secondly, the Senate, which had seemed to be much like a circus looking for some new clowns, appeared to have found them; and thirdly that the level of uncertainty created as a result is simply unacceptable.
As far as the government's sales job goes this is hardly surprising given the success of their other PR and communication efforts over the past six months. What is surprising is that many commentators still seem to think that commissions for dodgy financial advice were still on the table. As far as we could see the new legislation made it absolutely clear that this was not the case.
That's not to say that everything in the government's changes were perfect, but it was pretty plain that financial advisers had to act in their client's best interests, and that conflicted remuneration had been banned. However given the various misdemeanours in the financial services industry, large and small, over the past few years most minds had a really been made up, irrespective of the facts.
As for the Senate, it is somewhat ironic that Clive Palmer, who has been known to do the odd ungainly reverse somersault in the past, found himself subject to some of his own behaviour.
What will be interesting will be to see what compromises are made between now and June next year, because undoubtedly compromise will be required. But the really important part is the confusion created both within the industry, and presumably in the minds of the average investor, the very people who the legislation is designed to protect. Uncertainty benefits nobody.
Changing subjects, Hedge Clippings attended the Ernst & Young (EY) Global Hedge Fund Symposium this week for a presentation on the findings of their 2014 Hedge Fund and Investor Survey. Apart from a presentation on the results of the survey, which were of significant interest to the industry, there was an excellent keynote speech made by John Daley, the CEO of the Grattan Institute.
This was fascinating stuff, and entertainingly presented, even if the overall impression was that State and Federal budget deficits are likely to remain a serious problem for the foreseeable future irrespective of which political party is in power, and in spite of their rhetoric about fixing the problem.
The bottom line seem to be that in order to fix the problem issues such as the taxation of superannuation, GST, and negative gearing all need to be raised as potential solutions. With all of these there is likely to be significant pain not only for the current beneficiaries, but also for the politicians who try to implement them.
Specific results received this week include the following PERFORMANCE UPDATES:
The Paragon Fund returned -2.50% (ASX 200 Accum 4.43%) during October with annual returns at 23.80% (Index 6.39%) with a volatility 14.39% (Index 10.33%).
Totus Alpha Fund returned 0.87% during October and 15.65% over the prior 12 months with a volatility 8.94%.
The Avenir Value Fund returned -1.92% during October with annual performance of 18.68% and volatility of 9.00%.
Bennelong Kardinia Absolute Return Fund returned 1.22% during October and 4.31% over the previous 12 months with a volatility of 4.02%.
The 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%.
FUND REVIEWS released this week, all with the potential for earning CPD points:
Morphic Global Opportunities Fund; Monash Absolute Investment Fund; Bennelong Alpha 200 Fund
Best wishes for a happy and healthy weekend,
Chris
CEO, AUSTRALIAN FUND MONITORS
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20 Nov 2014 - Bennelong Kardinia Absolute Return Fund
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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 |
20 Nov 2014 - Fund Review: Monash Absolute Investment Fund Oct 2014
MONASH ABSOLUTE INVESTMENT FUND
Attached is our most recently updated Fund Review. You are also able to view the Fund's Profile
- 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.
19 Nov 2014 - Avenir Value Fund
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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 |
19 Nov 2014 - Fund Review: Morphic Global Opportunities Fund October 2014
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
18 Nov 2014 - Totus Alpha Fund
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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 |
17 Nov 2014 - The Paragon Fund
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| Fund Overview | Paragon accepts that markets are not always efficient in pricing information into securities and that no one investment style works in every stage of the investment cycle. Subsequently Paragon adopts a top down thematic led approach to identify companies exhibiting sustainable or improving returns on capital driven by volume growth, pricing power and competitive advantages. Paragon utilises both quantitative analysis to provide probability weighted high/low/base case valuations and qualitative analysis in assessing management, the business model and likely direction of returns. Paragon will allocate assets to each investment opportunity based on a risk/reward profile. Positions have defined investment parameters and risk limits, which are then monitored on an ongoing basis. |
| Manager Comments | The since inception (Feb 2013) Up and Down Capture ratios are notable at 0.82 and -0.65. Key drivers of the Paragon Fund performance for October included solid returns from Regis Healthcare and our short position in Syrah Resources, offset by falls in LNG Ltd, TFS Corp and our short position in Transfield Services. At the end of October the fund had 26 long positions and 5 short positions with a net exposure of 72.8% and a gross exposure 91.8%. |
| More Information | » View detailed profile of this fund |
