NEWS
24 Sep 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 | Over the last 12 months the Fund has recorded a Sharpe ratio of 5.40, 100% positive months with Up and Down Capture ratios of 1.73 and -1.00 with the Sharpe ratio since inception (Dec 2012) is 3.39. Average gross capital employed by the Fund was 144.8% long and 22.5% short and average net exposure over the month was +122.3%. At the end of the month the Fund had 37 long positions and 5 short positions. Over the course of the last financial year, the Fund had a large exposure to the consumer discretionary, diversified financials, healthcare, industrials, real estate and telecommunications sectors. These sectors contributed most of the Fund's FY14 returns. The Fund had very little exposure to the two largest sectors in the market, Banks and Materials. |
| More Information | » View detailed profile of this fund |
23 Sep 2014 - AIMA Australia Hedge Fund Forum 2014 News Wrap
AIMA Australia Hedge Fund Forum - 16 September 2014: News Wrap
The AIMA Australia Hedge Fund Forum last week showcased the skill of local managers, their approach to business and their market views to local and international delegates.
Discussion also focused on how the Australian hedge fund industry can better engage with investors, and touched on the regulatory and market forces that are shaping the industry's future. Nearly 300 investors, managers and service providers attended the forum, making it the largest conference of its kind in Australia.
Highlights from the Forum included:
AUSSIES BEST IN LOCAL SHARES
- Australian hedge fund managers are "clearly" skillful in long/short Australian equities and "possibly" skillful in fixed interest but are lagging international managers in global macro, over the past 10 years, according figures produced by Australian Fund Monitors for AIMA Australia. But, over the past five years, Australian global macro managers have performed as well as their international counterparts.
- With the centre of the investing universe shifting away from New York and London and towards China, Australia's distance from the major markets is becoming less of an issue. Being in, or close to, the Asian time zone will increasingly be an advantage.
Read the entire "NewsWrap" here.
AIMA Australia Hedge Fund Forum 2014 (pdf format)
23 Sep 2014 - Fund Review: Monash Absolute Investment Fund August 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.
Monash Absolute Investment Fund Review August (pdf format)
23 Sep 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 | Volatility returned to the markets in August caused by the Ukraine crisis. On the equity side the ASX fell almost 4% from the start of the month, although it did recover to be marginally up 0.3% for the month. Investment grade credit spreads performed better than equities. The Australian iTraxx index widened to 90 basis points within the first week of August before ending the month at 80 basis points, a 7 basis point tightening. |
| More Information | » View detailed profile of this fund |
22 Sep 2014 - KIS Asia Long Short Fund
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| Fund Overview | Whilst the Fund's primary strategy is focused on long/short equities, the ability to retain discretionary powers to allocate across a number of other investment strategies is reserved. These strategies may include, but not be limited to: convertible bond investments, portfolio hedging, equity related arbitrage, special situations (e.g. merger arbitrage, rights offerings, participation in international public offerings and placements, etc.). The Fund's geographic focus is Asia excluding Japan, but including Australia). The Fund may invest outside of this region to the extent that: 1. The investment decision is driven from the Asian region or; 2. The exposure is intended to mitigate risk or enhance return from factors external to the Asian region. |
| Manager Comments | The Sharpe ratio is 2.54 and the Up and Down capture ratios 0.25 and -0.70 respectively. Data is for the last 12 months. Since inception in October 2009 the Sharpe ratio is 2.15, the Sortino ratio of 4.92 with the Fund recording 78% positive months. Long Short: This portfolio lost 20bp. The portfolio as a whole suffered on the short side. The Fund increased its gross book exposures over the month and the short side suffered as the equity markets rallied and ran an average net short exposure of -9% and this suffered as the market rallied in later part of August. The Arbitrage Portfolio Hedge, Convertible Bonds and Special Situations did not make significant contributions over the month. |
| More Information | » View detailed profile of this fund |
19 Sep 2014 - Alpha Beta Asian Fund
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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 | At month-end the Fund had a net exposure of 15% and a gross exposure of 175% and held 401 positions. From an attribution perspective, the Hong Kong Directional (+0.77%) and Australian Directional (0.62%) strategies were strongly positive. The Japanese Mean Reversion (-0.66%) strategy was the largest detractor. From a regional perspective both Australian (+0.76%) and Hong Kong (+0.69%) books performed well. The market neutral behaviour of ABAF is confirmed by the low mapped Beta (+0.08) and low correlation to the Asian equity markets (+0.15). |
| More Information | » View detailed profile of this fund |
19 Sep 2014 - Hedge Clippings
This week saw a return of AIMA Australia's annual hedge fund conference, which under the chairmanship of Paul Chadwick took on the theme of "by the industry for the industry" for the second year in a row, and for the second year in a row saw a packed audience still in attendance well after the designated 5:30 close.
As Paul noted afterwards, the challenge now is how to run the event next year - stick to the winning formula, or try to introduce change?
Winning formulas will work while the quality of the speakers and panels remains, and this year's "fireside chat" (sans flames) with London based Keith Haydon, CIO of $14bn fund of funds FRM will be a hard act to follow next year.
Keith gave an insight into his view of the industry, blending his dry wit with the benefit of experience across a period in which there has been more than a fair share of change and turbulence. In particular his observations on the challenge of balancing manager performance with size was illuminating.
From a performance perspective managers with $500 million to $1bn provide the best returns, while balancing out the business risk of managers with less than $500m. However, according to Haydon this represents only 4% of total industry assets, with over 20% in funds with $1bn to $5bn, and 68% in funds over $5bn.
With close to 90% of FUM allocated to funds with $1 billion or more, the scraps allocated to smaller funds, which dominate the Australian landscape are hard fought for. However, this should be good news for investors in smaller funds, and Australian managers in particular, and no doubt is one of the major factors behind the outperformance of Australian equity long short managers compared with their global counterparts.
AFM's analysis of the 5 and 10 year performance of local long short funds compared with their global peers based on the Eureka Hedge Global Index shows a clear outperformance, totalling 2.54% pa over 5 years, and 2.70%pa over 10.
Statistics as we've often noted can be misleading and there could be other reasons including the dominance of Australian equity strategies amongst local long short managers, currency movements and a myriad of others. However the bottom line is that local managers have outperformed their global peers, and these local managers are predominantly in the under $1,000 billion size range.
With institutions generally unable or unlikely to be able to participate in the sweet spot the beneficiaries are local investors, be they retail, HNW, SMSF's or family offices.
Finally last night saw one of Australia's most successful managers, Regal, take out the Hedge Fund of the Year at the industry's annual awards night for their Atlantic long short fund, and followed this up by their Tasman fund winning the best market neutral fund, with Jenny Harding from Harbridge wining the award for contribution to the industry. Congratulations to all concerned, they are well deserved.
Specific results received this week include the following PERFORMANCE UPDATES:
The Monash Absolute Investment Fund returned 2.30% during August, above the Index return of 0.6%, with an annual return of 21.14% (Index 14.40%).
With overall performance at 25.92% over the last 12 months, the Microequities Deep Value Microcap Fund fell slightly in August.
Bennelong Kardinia Absolute Return Fund returned 0.56% during August bringing 12 month performance to 6.60% with a volatility of 4.27%.
With a very low volatility of 1.71% the Optimal Australia Absolute Trust returned 0.06% during August and 6.29% for the prior 12 months.
The Paragon Fund returned -1.1% during August and 39.83% for the prior twelve months with a volatility of 13.91%.
Aurora Fortitude Absoloute Return Fund returned 0.30% during August and 3.56% over the previous 12 months with a very low volatility of 0.96%.
The Cor Capital Fund returned 0.10 % during August bringing 12 month performance to 1.93 percent with a volatility of 3.62%.
With a volatility of 4.18%, the Alpha Beta Asian Fund returned 0.90% during August and 10.62% over the prior 12 months.
15-17 October Grace Hotel, Sydney - Investment Performance Measurement, Attribution & Risk Management Forum will have leading experts sharing up-to-date, cutting edge ideas and insight on frontiers of recent developments in performance measurement.
21-22 October in Sydney Post-Retirement Australia 2014 conference. Comprehensive two day forum for high profile cross industry participants to provide updates, insights and ongoing discussion into the key issues central to achieving optimal financial outcomes.
Friday 24 October in Sydney Financial and Media Markets Charity Regatta Day out of Middle Harbour Yacht Club. Promises to be a fantastic day.
5-6 November, Grace Hotel, Sydney. Alternative Investments Conference - Investigating the rise of non-traditional high yield and low risk investment products, strategies and allocation in an era of prolonged volatility and low returns.
This week's Now For Something Completely Different, Sunday is Leonard Cohen's birthday. For someone who spent a reasonable part of his mis-spent youth listening to tracks such as "Suzanne" and "Bird on a Wire" I thought you might like to listen to the great man's live recording (and his explanatory preamble) of the Chelsea Hotel.
Best wishes for a happy and healthy weekend,
Chris
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Australian Fund Monitors are helping to raise awareness to support research into prevention and cure for cerebral palsy. For more information visit www.cpresearch.org.au or contact me by email.
18 Sep 2014 - Cor Capital Fund
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| Fund Overview | The Cor Capital Fund is a Multi- Asset Fund which combines a pre-determined strategic asset allocation with active but systemised rebalancing to generate returns and manage volatility whilst maintaining transparency and liquidity. The Fund strategy is not reliant on accurate market predictions, forecasts or timing for success. Returns are generated in a number of ways; 1) by maintaining sufficiently large positions in a diverse group of asset classes, 2) via the 'volatility harvesting' consequences of active rebalancing, and 3) from the offsetting behaviour of certain asset classes under specific conditions. The combined portfolio is expected to exhibit relatively low volatility and low turnover. In the interests of avoiding complexity, maintaining liquidity, and minimising reliance on third parties, the Fund strategy does not employ gearing, derivatives or short-selling. |
| Manager Comments | The main return contribution for August came following another strong month for fixed interest (+0.22%). Equities (+0.09%) and cash (+0.06%) also made positive contributions and precious metals (-0.27%) subtracted from returns. There were no changes to the Fund portfolio during the month as there were no breaches of the Fund's defined asset class limits. |
| More Information | » View detailed profile of this fund |
16 Sep 2014 - Aurora Fortitude Absolute Return Fund
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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 | Reserve Bank Governor, Glenn Stevens, commented during the month that "Volatility in many financial prices is currently unusually low" and this seems to heavily discount any possibility of interest rate rises or "other unforeseen event". This is a thematic that we have commented on a number of times in recent months as we strive to hedge our portfolio consistently using a strategy that relies on a degree of volatility and market uncertainty. We believe that it is the most appropriate strategy for the portfolio over the investment cycle, but particularly in the current environment where, as Governor Stevens highlights, a large portion of investors seem to be comfortable with current risk levels. The Fund returned +0.30%, and as is often the case during reporting season Options Protection delivered the bulk of these returns (0.32%). The most significant contributor was Suncorp Group which surprised the market with a "special dividend" on top of increasing its ordinary dividend payment. Conversely the Fund also benefited from the severe negative reaction to the BHP Limited announcement that it would spin off its mineral diversion but not conduct a buyback or pay a special dividend. |
| More Information | » View detailed profile of this fund |
16 Sep 2014 - AIMA Australia Hedge Fund Forum
AIMA AUSTRALIA HEDGE FUND FORUM
16 September 2014 at the Softiel Sydney Wentworth
The AIMA Australian Hedge Fund Forum is a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and international speakers sharing insights, reflections, war-stories and facts with hedge fund managers and investors.
Register now for the AIMA Australian Hedge Fund Forum - a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and international speakers sharing insights, reflections, war-stories and facts with hedge fund managers and investors, including:
- How can Hedge Funds generate Alpha from Australia?
- Lateral insights into global investment opportunities
- ASIC presentation of survey findings with Q&A
- Family Office Investor Panel - How do Australian Hedge Funds access local & international Family Offices?
- Hedge Fund Investing - current landscape and challenges
- Asset Consultants and Advisors - how do we work with hedge funds?
I look forward to welcoming you to this very important industry event.
For all enquiries, please contact:
Michael Gallagher
General Manager, AIMA Australia
M: +61 (0)412 224 400, E: [email protected], W: www.aima-australia.org
To register for the conference please click here.
AIMA Australia Hedge Fund Forum (jpg format)
