NEWS
15 Dec 2014 - Bennelong Long Short Equity Fund November 2014
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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 | Long term performance remains sound with since inception (Jan 2003) returns at 17.12% pa (Index 7.99%) and a volatility of 11.94% (Index 12.91%). Sharpe and Sortino ratios are well ahead of the Index at 1.01 and 1.68 respectively. In November the fund performance stabilised with key pairs making solid contributions. Stock positions in Quantas and Challenger slightly offset these returns. At the industry level, Consumer Staples short, Health Care long and Consumer Discretionary short were outperformers whilst our Industrials long positions underperformed. We were relatively active during the month, taking advantage of price movements to adjust weightings in several pairs and we also introduced one new pair. |
| More Information | » View detailed profile of this fund |
12 Dec 2014 - Hedge Clippings
12 months ago the Reserve Bank Govenor Glenn Stevens was trying to talk the Aussie dollar down to US$0.85, and whilst it held stubbornly above that for some time, it looks like he's got his wish. Not content with that however he has now lowered his target to US $0.75 as he looks forward to 2015.
To be fair there has been a significant deterioration to commodity prices, particularly iron ore and coal, on the back of the outlook for Chinese growth, and is difficult to see any rapid rebound in these, certainly not back to the halcyon days of 24 months ago.
More recently of course the oil price has plunged, although driven by a different set of circumstances with the Saudis seemingly intent on spoiling the energy industry in the United States, while at the same time, intentionally or otherwise, putting even further pressure on Vladimir Putin.
It seems pretty obvious that the RBA would rather let commodities, along with some tough talking, push the Aussie dollar down to even more competitive levels rather than cut interest rates further and risk pushing property further upwards as a result. Having said that anecdotal evidence suggests that with Christmas just around the corner a fair amount of the exuberance in certain parts of the property market has already been taken care of.
None of this will necessarily help the Treasurer Joe Hockey as he wrestles with trying to get his May 2014 budget approved through the Senate before he needs to start drafting the next one. It's looking as if there are going to be some significant budget deficits for some time to come, with some forecasters thinking five years or more. Having lost a fair amount of political capital in the last 12 months, the available options, including taking a look at GST and negative gearing, would seem to be diminishing.
What will also be interesting to us next year will be the governments reaction, or at least their resolve, to do anything about David Murray's FSI released last Sunday. In our opinion we couldn't find much wrong with the 44 recommendations in the report, but as we have mentioned before recommendations are easy, implementation is another matter.
Meanwhile a reminder that next year on Thursday February 12th we are holding a lunchtime seminar for investors and advisers in conjunction with Deloitte entitled "Looking Forward, Looking Back" featuring the opinions and experience of some of Australia's best fund managers, including Simon Shields of Monash Investors, and George Colman from Optimal Australia. Save the date, and reserve your place here.
Next Friday will see the last edition of Hedge Clippings for 2014, and we will then be taking a short break over Christmas and the summer holidays for some welcome R&R. In case you're going away yourself before then, best wishes for a happy festive season, and we look forward to touching base again in 2015.
Specific results received this week include the following PERFORMANCE UPDATES:
November performance brings the Monash Absolute Investment Fund annual return to 4.08% with a volatility of 8.14%.
The Morphic Global Opportunities Fund returned 5.24%, bringing the annual return to 15.35% with a volatility of 8.85%.
Bennelong Kardinia Absolute Return Fund returned 1.31% during November and 5.33% over the previous 12 months with a volatility of 4.08%.
The Paragon Fund performance is in for November with annual returns at 16.72% (Index 4.30%) with a volatility 15.11% (Index 10.84%). .
18 February 2015 in Sydney - Efficiency in a Regulated World
25-27 March 2015 - Digital Marketing for Banking and Financial Services Summit.
For this week's "and now for something completely different", we aren't sure how much of this is live footage and how much is CGI but it's a great use of unbrellas and very clever.
Best wishes for a happy and healthy weekend,
Chris
CEO, AUSTRALIAN FUND MONITORS
Connect with me on LinkedIn Twitter Facebook
| Registration to AFM is free and provides general information and performance data on Absolute Return, Hedge Funds and Alternative Investments. | Fund Managers and paid Subscribers have access to details on Individual Managers and Funds, with historical results, key performance indicators, latest news and performance reports. | Prism Select provides self-directed investors and their advisors with factual information, performance data and opportunity to apply for funds online using OLIVIA123. | Tune into Sky Business on Foxtel every week on Monday at 2:15 pm for AFM's weekly comment. |
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.
12 Dec 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 | Key drivers of the Paragon Fund performance for November included solid returns from long positions in Qantas and Henderson Group and short positions in Woodside and Computershare, offset by falls in G8 Education, TFS Corp, Donaco and our resource holdings generally. At the end of November the fund had 29 long positions and 10 short positions. |
| More Information | » View detailed profile of this fund |
11 Dec 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 November, short positions in Share Price Index Futures contracts (hedging market risk), National Australia Bank and UGL as well as long positions in Amcor and Dulux were the major positive contributors to performance. Qube Holdings, Oil Search, Simonds Group and Challenger were the largest detractors from performance. Equity market exposure was actively managed throughout the month with a month-end net (including derivatives) of 58.1% (66.5% long and 8.3% short). |
| More Information | » View detailed profile of this fund |
10 Dec 2014 - Morphic Global Opportunities Fund
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| Manager Comments | The Fund's since inception (Aug 2012) Sharpe and Sortino ratios are 2.47 and 7.95 with 79% positive months. The Fund's largest gains came from two US Gaming Equipment stocks which were under takeover. All three stocks in the UK water utilities basket also did well. The Fund's US bank basket also made a modest contribution, as did a new basket of Japanese car makers comprising Mazda and Mitsubishi Motors, identified for their own strengths and their improved prospects under a weaker yen regime. The Fund closed the month fully invested and remains positioned for a continuing bull market, with an increased exposure to China, the main change over the month from a top down perspective. All currency hedges had been cut at month end, and the Fund had positioned itself for interest rates to fall in Australia, but rise in the US. |
| More Information | » View detailed profile of this fund |
9 Dec 2014 - Monash Absolute Investment Fund
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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. The Manager's experience across value, growth and discounted cash flow styles allows them to use a comprehensive approach to investment decisions that applies all three. They also have the patience to seek out only compelling opportunities, rather than settling for relative value. The portfolio is somewhat concentrated, looking to diversify across industries and themes, rather than by trying to stay near an index. The portfolio may at times have a large amount of cash or other protection. However once investments are made turnover may be relatively high in order to lock in gains and avoid losses. |
| Manager Comments | The Manager notes that while November was a poor result, it was significantly better than the market which deteriorated badly towards the end of the month. We were helped by not owning resources and by shorting a couple of mining services stocks. The portfolio was very active during November, as we closed/opened Event Driven opportunities and added to some of our Outlook Driven stocks in weakness. The most significant trade of the month was exiting Technology One, one of our Outlook Driven stocks, which had gone up 113% over the 20 months that we owned it. |
| More Information | » View detailed profile of this fund |
8 Dec 2014 - Bennelong Alpha 200 Fund
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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 proļ¬le 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 | The Fund was levered 2.5 times at month-end exposures were 52.5% long and 47.5% short. Ex-ASX 100 exposure was 36.9%. Both the long and the short book generated a positive return during the month, with the short book performance exceeding the long book in absolute terms. Returns were positive across all sectors except Financials and Telcos - which were minor negatives. At a pair level the winners were spread broadly across a dozen pairs. |
| More Information | » View detailed profile of this fund |
5 Dec 2014 - Hedge Clippings
Hedge Clippings is in part concerned, and in part excited by the fact that after today there are only two more Fridays before Christmas. On the one hand there seems an awful lot to do in a short space of time, while on the other a welcome break beckons. Maybe even a chance return of a good old-fashioned Friday lunch, which sadly (or gladly) are not as frequent as they once were.
We are however looking forward to 2015 and all it has to offer, and take this opportunity of giving you a heads up regarding an event we have scheduled in Sydney at midday on Thursday the 12th of February in conjunction with Deloitte to kick the new year off. The theme will be "Looking Forward, Looking Back" and will feature an expert panel of fund managers, each covering different strategies and geographies, who will provide the audience with their collective wisdom on the economic and market outlook for 2015.
If you want to register your interest in receiving an invitation to the event please click here.
Others who might be looking forward to a welcome break will no doubt include the Prime Minister and his Treasurer, both of whom have endured what could be best described as a 'difficult year', or at least a particularly difficult six or seven months since the budget was announced last May. The fact that there seem to be so many issues still open to resolution in the Senate will not only be causing the government some headaches over the holidays, but will also have some negative effect on consumer confidence, and the very economy the Treasurer is trying to manage.
With the potential, and in some quarters expectations, of a further cut by the RBA to interest rates, there is a strong indication that the economy is not the greatest of shapes. Certainly the commodities boom, while possibly not bust, is not what it was, and only the largest and lowest cost iron ore producers are likely to be operating profitably. None of this is helping the Aussie dollar, but Hedge Clippings has felt for some time that it has been stubbornly overpriced, with probably some further room to fall. No doubt that prediction will be enough to kick some life back into it!
Prior to that David Murray will finally announce the findings of his Financial System Inquiry. All will be revealed this Sunday (you can register for access to the report here), with significant expectations that the Inquiry's recommendations will be wide ranging, and in some cases controversial. As we've mentioned before, previous inquiries such as the Henry Tax Review, and Mark Johnson's 2009 report on the financial sector created plenty of stir, but not much action once the politicians of the day had finished with them.
And on that note, enjoy the weekend, and if you have nothing better to do on Sunday than download the FSI report, Happy Reading!
Specific results received this week include the following PERFORMANCE UPDATES:
It's early days for November results, but those received so far include the Bennelong Long Short Equity Market Neutral Fund, which bounced back with a return of 3.12%, whilst the Bennelong Alpha 200 Fund returned 5.08%.
Supervised High Yield Fund returned 0.41% during October and 6.50% over the prior 12 months with a volatility of 0.74%.
FUND REVIEWS released this week, all with the potential for earning CPD points:
Alpha Beta Asian Fund; Optimal Australia Absolute Trust; Totus Alpha Fund
Tuesday 9 December 2014 - ARRIA Round Table in Brisbane. Hosted by Pengana Capital.
18 February 2015 in Sydney - Efficiency in a Regulated World
25-27 March 2015 - Digital Marketing for Banking and Financial Services Summit.
For this week's "and now for something completely different", is a good reminder never to rely on, or take the stage with an animal. They will invariably show you up!
Best wishes for a happy and healthy weekend,
Chris
CEO, AUSTRALIAN FUND MONITORS
Connect with me on LinkedIn Twitter Facebook
| Registration to AFM is free and provides general information and performance data on Absolute Return, Hedge Funds and Alternative Investments. | Fund Managers and paid Subscribers have access to details on Individual Managers and Funds, with historical results, key performance indicators, latest news and performance reports. | Prism Select provides self-directed investors and their advisors with factual information, performance data and opportunity to apply for funds online using OLIVIA123. | Tune into Sky Business on Foxtel every week on Monday at 2:15 pm for AFM's weekly comment. |
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.
5 Dec 2014 - Supervised High Yield Fund
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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 Fund had 100% positive months over the last year and 99% positive months since inception in April 2009 with the Sharpe ratio notable at 5.17 for the year and 3.13 since inception. The Fund's quarterly report is available on the AFM website. |
| More Information | » View detailed profile of this fund |
4 Dec 2014 - Fund Review: Bennelong Long Short Fund AFM Fund Review October 2014
BENNELONG LONG SHORT EQUITY FUND
Attached is our most recently updated Fund Review on the Bennelong Long Short Equity 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.
- The Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large cap stocks from the ASX/S&P100 Index, and has produced an annualised return of 16.96% against the broader ASX200 Accumulation return of 8.33%.
- The consistent returns across the investment history indicates the Fund's ability to provide positive returns in volatile and negative markets and significantly outperform the broader market.
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Fund performance was muted for the month as the market drifted without any strong thematic and investors were subject to merger and acquisition activity/speculation, yield/defensive buying and stock specific issues. Our assessment is that the April factors that negatively impacted fund returns, which were of a more global nature, were persisting early in the period but since have abated. Fund activity was limited in May as our view of market fundamentals have not really changed.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Bennelong Long Short Equity Fund AFM Review - Oct 2014 