NEWS
Optimal Australia Absolute Trust
10 Oct 2014 - Australian Fund Monitors
Optimal Australia Absolute Trust returned 0.64% during September, a very difficult month in which the ASX 200 fell -5.38%, with the 12 month return at 6.51%.
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10 Oct 2014 - 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 has a Sharpe ratio of 2.26 (Index 0.38) and Sortino of 5.08 (Index 0.48) with the Up and Down Capture ratio of 0.27 and -0.12 respectively. Interestingly, since inception, the Fund was up in 79% of months that the ASX recorded a negative return. Our long portfolio performed better than the market, with negative attribution of -2.35% on average long market exposure at 46.6% of fund NAV. Our short positions did well, with positive attribution of +3.2% on average short exposure at 59% of NAV. Our short portfolio included a number of financial and defensive yield stocks which, difficult as these positions have been to put on in the face of financial repression and the associated over-reach for coupon income, proved highly effective in hedging market risk. |
| More Information | » View detailed profile of this fund |
Bennelong Alpha 200 Fund
9 Oct 2014 - Australian Fund Monitors
Bennelong Alpha 200 Fund returned 0.56% during September, a very weak month for domestic equities with the ASX 200 Accum Index down 5.38%.
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9 Oct 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 | At month-end the Fund was levered 2.6 times with long/short exposure at 51.6/48.4% respectively. The Fund just managed to keep its head above water due to the contribution from the short book. Among the best contributor's two stocks; Isentia and Austal, delivered good financial results towards the end of reporting season leading to upgrades and relatively strong performance in September. |
| More Information | » View detailed profile of this fund |
Fund Review: Totus Alpha Fund August 2014
8 Oct 2014 - Australian Fund Monitors
Totus Alpha Fund returned 2.02% performance for August, read the latest Fund Review with statistics since inception. CPD Points also available.
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8 Oct 2014 - Fund Review: Totus Alpha Fund August 2014
By: Australian Fund Monitors
Totus Alpha Fund AFM Report August 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;
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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.
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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.
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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.
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The Fund has delivered an annalised return of 26.92% since inception in March 2012 as compared to 16.37% for the ASX 200 Accumulation Index. The standard deviation has been higher than the Index at 13.64% as compared to 10.47% and the Sharpe ratio is 1.62.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Totus Alpha Fund AFM Report August 2014 (pdf format)
Fund Review: Morphic Global Opportunities Fund August 2014
8 Oct 2014 - Australian Fund Monitors
August Fund Review shows performance at 1.28% for the Morphic Global Opportunities Fund. CPD Points available.
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8 Oct 2014 - Fund Review: Morphic Global Opportunities Fund August 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
Fund Review: Aurora Fortitude Absolute Return Fund August 2014
8 Oct 2014 - Australian Fund Monitors
Latest fund review now available for the Aurora Fortitude Absolute Return Fund, which has one of the most risk averse Key Performance Statistics of any fund in AFM's database. CPD Points available.
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8 Oct 2014 - Fund Review: Aurora Fortitude Absolute Return Fund August 2014
By: Australian Fund Monitors
AURORA FORTITUDE ABSOLUTE RETURN 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 Aurora Fortitude Absolute Return Fund (AFARF) has a 8 year track record investing in ASX listed equities. A Market Neutral overlay is used across a multi strategy approach which allows for flexible asset allocation to maximise returns and minimise risk under a variety of market conditions and cycles.CIO John Corr has over 20 years financial market experience with a strong focus on risk.
- Significant use of low risk "long" derivatives and option overlays has provided positive returns with low volatility during periods of market dislocation. Risk statistics are impressive and shows the Funds risk philosophy; over 88% of monthly performances have been positive with no losing months in 2008, the Fund's largest drawdown is -2.09% and the Sharpe ratio 1.16.
- ASX listed Aurora Funds Limited was established on the merger of three existing fund management businesses, managing approx. $230m on behalf of more than 2,500 retail and wholesale investors.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Supervised High Yield Fund
7 Oct 2014 - Australian Fund Monitors
Supervised High Yield Fund returned 0.54% during August and 6.95% for the year (RBA Cash Rate ave 2.5%) with a volatility of 0.70%.
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7 Oct 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 Sharpe ratio was 6.08% with 100% positive months when the market was negative. |
| More Information | » View detailed profile of this fund |
Nanuk Global Alpha Fund
7 Oct 2014 - Australian Fund Monitors
Nanuk Global Alpha Fund returned 0.52% during August and 16.39% for the prior year with a volatility of 8.98%.
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7 Oct 2014 - Nanuk Global Alpha Fund
By: Australian Fund Monitors
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| Fund Overview | In 2013 Nanuk started to expand the focus of the fund away from just energy and include other industries related to the overarching theme of environmental sustainability, specifically water, waste, recycling, pollution control and agriculture. Nanuk is now investing across a universe in excess of 600 stocks and an aggregate market capitalisation over US$2 trillion. This was a logical move because, while the industries themselves are different, their characteristics and long term drivers are very similar. Nanuk has identified a large, diverse global universe of companies positively exposed to these shifts. Nanuk combines deep fundamental research into these companies with detailed analysis of technological development, policy direction and related economics within each of the relevant sectors to identify profitable trends and opportunities suitable for inclusion in the Fund. Nanuk's principal strategy is to invest, long and short, in securities that are mis-priced on an absolute or relative basis. The Fund aims to achieve long term capital appreciation while reducing volatility of returns and risk of capital loss through appropriate hedging and risk management strategies. |
| Manager Comments | The Fund was 43% long and 39% short at month-end with 83 positions and the top 5 long positions comprising 12 % of the portfolio. The Fund was up 0.5% with the long book contributing positively and the short book flat for the month. The major contributors to performance were long positions in US listed Chinese solar companies Canadian Solar and JinkoSolar, and Taiwanese LED stock Lextar Electronics, all positions that the Fund has held for most of this year in anticipation of improving financial performance in the second half of the year. |
| More Information | » View detailed profile of this fund |
Fund Review: Supervised High Yield Fund August 2014
6 Oct 2014 - Australian Fund Monitors
Supervised High Yield Fund returned 0.54% in August.
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.
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.
Read more...
6 Oct 2014 - Fund Review: Supervised High Yield Fund August 2014
By: Australian Fund Monitors
Supervised High Yield Fund Review August 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 Review August 2014 (pdf format)
Bennelong Long Short Equity Fund
6 Oct 2014 - Australian Fund Monitors
Bennelong Long Short Equity Fund returned -1.56% over August and -1.11% over the prior twelve months with a volatility of
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6 Oct 2014 - Bennelong Long Short Equity Fund
By: Australian Fund Monitors
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| Fund Overview | In a typical environment the Fund will hold around 70 stocks comprising 35 pairs. Each pair contains one long and one short position each of which will have been thoroughly researched and are selected from the same market sector. Whilst in an ideal environment each stock's position will make a positive return, it is the relative performance of the pair that is important. As a result the Fund can make positive returns when each stock moves in the same direction provided the long position outperforms the short one in relative terms. However, if neither side of the trade is profitable, strict controls are required to ensure losses are limited. The Fund uses no derivatives and has no currency exposure. The Fund has no hard stop loss limits, instead relying on the small average position size per stock (1.5%) and per pair (3%) to limit exposure. Where practical pairs are always held within the same sector to limit cross sector risk, and positions can be held for months or years. |
| Manager Comments | Overall our long book contribution to return was outweighed by a negative contribution from our short book. The fund experienced a strong contribution from healthcare but this was overshadowed by a larger negative contribution from financials. Other sector exposure returns largely balanced each other. Within financials, the trend to increase payout ratios and dividends with reported results was a major negative factor in two of our short positions (Suncorp +8.0% and AMP +7.1%) which re-rated substantially more than their respective paired longs (QBE +4.7% and Henderson -9.2%). Fund activity was limited for the month; we participated in two placements in existing long positions and adjusted weightings in some pairs but did not add new positions or close any existing holdings. |
| More Information | » View detailed profile of this fund |
Fund Review: Bennelong Kardinia Absolute Return Fund August 2014
3 Oct 2014 - Australian Fund Monitors
The Bennelong Kardinia Absolute Return Fund rose
0.56% in August. Net equity market exposure (including derivatives) averaged around 55% during the month, but was reduced to 36% at month end. CPD Points are now available
0.56% in August. Net equity market exposure (including derivatives) averaged around 55% during the month, but was reduced to 36% at month end. CPD Points are now available
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3 Oct 2014 - Fund Review: Bennelong Kardinia Absolute Return Fund August 2014
By: Australian Fund Monitors
Bennelong Kardinia Fund Review August 2014 (pdf format)
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 Bennelong Kardinia Absolute Return Fund rose 0.56% in August. Long positions in Ardent Leisure, CSL, Ramsay Health Care and Amcor were the largest positive contributors, whilst BHP Billiton, Bank of Queensland and Henderson Group were the largest detractors from performance. Net equity market exposure (including derivatives) averaged around 55% during the month, but was reduced to 36% at month end (65.2% long and 29.1% short) in anticipation of some seasonal weakness in September.
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
Bennelong Kardinia Fund Review August 2014 (pdf format)
