NEWS
18 Oct 2013 - BlackRock Australian Equity Market Neutral Fund
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Fund Overview | The Fund's portfolio primarily consists of long and short Australian equity positions. The Fund may also invest in other funds managed by BlackRock. Derivative securities, such as futures, forwards, swaps and options, can be used to manage risk and return Key insights into the investment process include: Analyst Expectations, Relative Valuation, Earnings Quality, Market Signals and Timing. Short-Term return enhancing opportunities including: Dividend reinvestment plans, Manging index changes, Managing cash flows and Arbitrage, Initial public offerings and Seasoned Equity Offerings and Off Market Buybacks. |
Manager Comments | The Fund had little net exposure to the global risk sentiment effects, with offsetting long mining and short mining services positions. Stock picking within the domestic sectors added value, especially during the lead up to the August reporting season, when many companies made pre-emptive announcements to foreshadow poor results. Themes of new media versus old media, and online retail versus department stores, added value here. The out-performance of domestic cyclicals post the results season was a net negative for the Fund, with the primary detractors being building materials. |
More Information | » View detailed profile of this fund |
17 Oct 2013 - Morphic Global Opportunities Fund
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Manager Comments | The Fund ended the month underweight the US and overweight Japan, Europe and Emerging Markets; reflecting the view that a trend that began in April of industrial and cyclical stocks outperforming more defensive equities is set to continue. Accelerating global demand and ample liquidity should be a potent mix for shares and the Fund is therefore fully invested. Forward indicators for growth across many countries are accelerating at rates not seen for more than two years and Chinese 'hard landing' fears have receded. The biggest single risk is the US budgetary battle. While the Manager's core view is that this will be resolved, the implications of protracted negotiations could be material. The Manager has therefore established a number of hedges to protect from short term volatility and the tail risks associated with a US technical default on its obligations. |
More Information | » View detailed profile of this fund |
16 Oct 2013 - Insync Global Titans Fund
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Manager Comments | The main detractors for the month were GlaxoSmithKline, General Mills and SAP. The largest positive contributions came from our holdings in Reckitt Benckiser, British Sky Broadcasting, Safran and Nestle. Safran has more than a 75% market share in narrow-body aircraft engines, an industry with very high barriers to entry. |
More Information | » View detailed profile of this fund |
15 Oct 2013 - Optimal Australia Absolute Trust
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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 Manager notes that at a market level, there has still been little change in the pattern of leadership. Despite very rich valuations, defensive yield and financials still seem to attract the majority of fresh money flows in our market, and the Fed's recent actions may continue to limit the perceived utility of valuation for a while longer, dangerous as that is. In this environment, hedging risk has been a frustrating and expensive exercise, although in the Manager's view, an increasingly essential one. Risk still strikes the Manager as being asymmetrically priced, with only low single-digit returns on offer from equity and debt securities if things hold together, and the prospect of much more substantial losses if they do not. |
More Information | » View detailed profile of this fund |
11 Oct 2013 - Fund Review: BlackRock Australian Equity Market Neutral Fund
BLACKROCK AUSTRALIAN EQUITY MARKET NEUTRAL FUND
Attached is our most recently updated Fund Review on the BlackRock Australian Equity Market Neutral Fund.
We would highlight the following:
- The Fund's portfolio generally consists of approx. 180 stocks in equally weighted long and short portfolios to maximise potential returns while minimising market volatility.
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The strategy has recorded a return of 12.14% since inception (Sept 2001) as compared to the ASX 200 Accumulation Index return of 8.37% and with a volatility less than one-half that of the Index at 5.7% pa as compared to 13.23% pa.
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The Fund has also recorded a maximum drawdown of 12.41% as compared to 47.19% for the Index and has had 78% positive months since inception.
- BlackRock is the world's largest fund management group. Since being established in 1988 it has grown organically and by acquisition to manage US$3.93 trillion as of March 2013.
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Operations cover 27 countries including Australia (where BlackRock has A$48.6 billion in FUM - March 2013) managing a broad range of strategies across a variety of asset classes.
Research and Database Manager
Australian Fund Monitors
11 Oct 2013 - Hedge Clippings
Rally on what?
The overnight rally on Wall Street, and the follow on today from the ASX200 would indicate that the "market" is confident that the political stalemate in the US is going to be resolved without, or before, the US defaults on its debt at the end of next week.
While most people would desire that to be the outcome, it would seem to stem more from hope than certainty. The two sides appear to be coming from the opposite ends of the spectrum, and there seems little goodwill between them. If anything, toes have been dug in on both sides, and talk of a six week debt extension to the ceiling wouldn't seem to justify the market's overnight rally.
Maybe the confirmation of Janet Yellen's appointment had something to do with it, but following Larry Summers's previous withdrawal that was a forgone conclusion anyway. Yellen's more likely to extend QE than start any early move to taper, but that would still not justify the extent of the Dow's overnight movement.
Meanwhile at home there seems to be improved confidence at the big end of town that is yet to filter down to small business and consumers. As yet there's no clarity on where earnings improvements are going to come from to replace the mining capex and investment boom, and no clarity on how the government will manage its minority in the Senate. What does seem clear is that the Palmer United Party, now with an effective four senators from next July, will have significant influence on any outcomes.
Equally clear is that Palmer himself will certainly liven things up. Hopefully both he and his senators will be more constructive and flexible than the members of the Tea Party within the Republicans in the US.
Specific results received this week include the following PERFORMANCE and NEWS UPDATES:
The Insync Global Titans Fund has just completed it's fourth year with a return of 9.26% (ASX 200 Accumulation 7.03%) and annualised volatility of 8.34% (index 12.35%) since inception.
Bennelong Kardinia Absolute Return Fund returned 0.93% for September bringing it's since inception (May 2006) return to 14.08% pa as compared to the ASX 200 Accumulation return of 4.44% pa. The Fund's annualised volatility is 7.85% which is low compared to the Index?s volatility of 14.79%, over the same time frame.
Updated FUND REVIEWS this week included the following Fund Managers:
The AFM Prism Active Equity Fund comprises a portfolio of 5 to 10 underlying Australian absolute return managers each investing in ASX listed equities with the objective of achieving double-digit annualised returns with significantly lower volatility than the underlying equity markets, and a focus on capital protection. To date the Fund has delivered 5.59% and, in keeping with the low volatility mandate, has an annualised standard deviation of 2.48% (since inception in October 2012). The Fund's maximum drawdown is 1.42% as compared to 6.72% for the ASX 200 Acc Index.
Bennelong Long Short Equity Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large cap stocks from the ASX/S&P100 Index, with a ten year track record and annualised net returns of over 20%. The Fund has had positive annual returns each year, including an 11.95% return in 2008 and 20.6% in 2011, both of which were negative years for the ASX200. The Fund's risk statistics are also sound with maximum drawdown of 12.22% and 71% positive months. Both the Sharpe Ratio at 1.27 and the Sortino ratio at 2.21, indicate a high reward-to-risk ratio.
The BlackRock Australian Equity Market Neutral Fund portfolio consists of approx. 180 stocks in equally weighted long and short portfolios to maximise potential returns while minimising market volatility. The strategy has recorded a return of 12.14% since inception (Sept 2001) as compared to the ASX 200 Accumulation Index return of 8.37% and with a volatility less than one-half that of the Index at 5.7% pa as compared to 13.23% pa. The Fund has also recorded a maximum drawdown of 12.41% as compared to 47.19% for the Index and has had 78% positive months since inception.
An upcoming event that may be of interest for Superannuation member administration and investment operation service providers is the Superannuation Fund Back Office conference coming up on 21-22 October. Visit the International Business Review Conferences website for more details.
If you are visiting Hong Kong, the UCITS Asia 2013 Conference is on 9-10 October. AFM have a 10% discount coupon available, more details here.
The Asset Allocation Conference is also coming up from 30th October to 1 November 2013 at the Grace Hotel in Sydney. Details are here.
Back in Hong Kong, the 26th Annual AVCJ Private Equity and Venture Form is at the Four Seasons Hotel from 12-14 November 2013.
IPARM Australia 2013 is being held in Sydney on 18-19 November on Investment Performance Measurement Attribution and Risk. Speakers include Dr Thomas Gillespie from Aurora Funds Management.
Also on 19 November, is the Art of Asset Management industry event for the asset management community, being held in Hong Kong, more here.
On that note, enjoy the week-end!
Regards,
Chris
CEO, AUSTRALIAN FUND MONITORS
10 Oct 2013 - Fund Review: Bennelong Long Short Equity Fund
BENNELONG LONG SHORT EQUITY FUND
Attached is our most recently updated Fund Review on the Bennelong Long Short Equity Fund.
- 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, with a ten year track record and annualised net returns of over 20%.
- Since inception in January 2002 the Fund has had positive annual returns each year, including an 11.95% return in 2008 and 20.6% in 2011, both of which were negative years for the ASX200.
- The Fund's risk statistics are also sound with maximum drawdown of 12.22% and 71% positive months. Both the Sharpe Ratio at 1.27 and the Sortino ratio at 2.21, indicate a high reward-to-risk ratio.
- 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.
Research and Database Manager
Australian Fund Monitors
9 Oct 2013 - Fund Review: Prism Active Equity Fund
AFM PRISM ACTIVE EQUITY FUND
Attached is our most recently updated Fund Review on the AFM Prism Active Equity Fund.
Attached is our most recent update of the Fund:
- The Prism Active Equity Fund ("Fund") comprises a portfolio of 5 to 10 underlying Australian absolute return managers each investing in ASX listed equities.
- The Fund's objective is to achieve double-digit annualised returns with significantly lower volatility than the underlying equity markets, with a focus on capital protection.
- To date the Fund has delivered 5.59% and, in keeping with it's low volatility mandate, has an annualised standard deviation of 2.48% (since inception in October 2012). The Fund's maximum drawdown is 1.42% as compared to 6.72% for the ASX 200 Accum Index
- Fund selection is made based on a combination of quantitative analysis of past performance and risk, coupled with extensive analysis and due diligence of the underlying manager's processes and pedigree.
Research and Database Manager
Australian Fund Monitors
8 Oct 2013 - Bennelong Kardinia Absolute Return Fund
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Fund Overview | The Fund consists of a concentrated long/short portfolio typically comprising 30 to 40 ASX300 listed stocks, generally with a long bias aligned to the overall market direction. There is a slight bias to large cap stocks in the long side of the portfolio, although in a rising market the portfolio will tend to hold smaller caps, including resource stocks, more frequently. On the short side, the portfolio is particularly concentrated, with stock selection limited by both liquidity and the difficulty of borrowing stock in smaller cap companies. Short positions are only taken when there is a high conviction view on the specific stock. The Fund uses derivatives in a limited way, mainly selling short dated covered call options to generate additional income. These typically have less than 30 days to expiry, and are usually 5% to 10% out of the money. ASX SPI futures and index put options can be used to hedge the portfolio's overall net position. |
Manager Comments | Long positions in Bank of Queensland, Seek and JB Hi-Fi were all meaningful positive contributors. The largest detractors from performance were Share Price Index Futures contracts (hedging long positions), CSL and BHP. Net equity market exposure including derivatives was increased slightly to 29.6% (67.7% long and 38.1% short). |
More Information | » View detailed profile of this fund |
4 Oct 2013 - Hedge Clippings
September performance:
Based on very early indications, with just over 6% of equity fund's performances received to date, September looks to have been a positive month for the industry, with an average return of 4.4% against the ASX200 Accumulation index which rose 2.19%.
The major caveat to the results to date is the very small sample - 6% - while it is also worth remembering that the ASX200 fell by over 1% on the last day in September. I have no doubt that as other results come to hand the headline number will fall somewhat, but in the meantime the 2013 YTD figure for equity funds is 17.41% (vs ASX200 at 16.15%) and 22.74% on a rolling 12 month basis, vs the ASX200 at 24.21%.
It is also worth remembering that these figures are not adjusted or weighted to funds under management, but rather are a simple average by fund, with the bulk of funds being equity long/short.
ASIC's new disclosure regime:
Yesterday ASIC released its updated Regulatory Guide 240 entitled Hedge funds: Improving disclosure. Previously ASIC's definition of a hedge fund was governed either by the rather obvious definition that it called itself one, or it had two or more of one of the following five characteristics: A complex investment strategy, use of short selling, use of leverage, use of derivatives, and finally charged a performance fee.
We have always supported this, albeit that frequently just one of the five ASIC criteria (particularly short selling) would have triggered the definition in our opinion. In any event the key changes would seem to be in the push for increased transparency in a fund's offer documents, which in turn should enable a greater understanding by investors and their advisors. We wholeheartedly support the thrust of this also.
ASIC's RG240 is focused on retail investors, whereas sophisticated or institutional investors are considered to have sufficient knowledge or expertise, or should be able to afford to hire it. Much of ASIC's thrust seems to come from the Trio experience which cost investors over $100 million and while not criticising ASIC in any way, the reality is that a lack of disclosure was not the issue in that failure. Trio's losses were firstly the result of deliberate fraud on behalf of the management and those close to them, and secondly from the failure by those that should have asked the right questions (mainly the research houses but also those close enough to management who should have known what was going on) not doing so.
While the new RG240 increases the detail and complexity of the definition of a hedge fund, the vast majority already comply with the new increased disclosure regime, or will have little difficulty in doing so. Those that are uncomfortable about the increased transparency will no doubt focus on the institutional investor where ASIC's new regulations won't apply.
Specific results received this week include the following PERFORMANCE and NEWS UPDATES:
The BlackRock Multi Opportunity Fund has a five year track record of 9.00% pa as compared to the ASX 200 Acc Index return of 4.63% and the RBA Cash Rate return of 3.96%. The Fund recorded this return with an annualised standard deviation of 4.44% as compared to the Index number of 15.48% pa. For the month of August the Fund returned -0.28% and the 12 month return is 6.24%.
LHC Capital High Conviction Fund has returned 2.77 times the ASX 200 Accumulation Index since inception in May 2011. The Fund's annualised return is 21.37% pa as compared to the Index with 7.69% pa. This return was achieved with approximately three-quarters of the volatility recorded by the Index.
The BlackRock Australian Equity Market Neutral Fund returned -0.04% during August with a five year annualised return twice that of the ASX 200 Acc Index (9.73% as compared to 4.73% respectively) and less than half the volatility (6.65% compared to 15.48%).
Monash Absolute Investment Fund returned 7.15% during September (ASX 200 Acc 2.19%) with a net exposure of 81% and gross exposure of 91%. The sound risk- reward of the Fund is indicated by the since inception (June 2012) Sharpe Ratio of 2.82 and the largest draw-down of -1.35% as compared to the Index of -6.72%. The Manager notes that the portfolio more than kept up with the broader market this month despite action taken to protect returns by: trimming some holdings; increasing cash, and; adding to the short positions.
The Bennelong Long Short Equity Fund has a five year performance record of 16.85% vs 4.63% for the ASX200 and an annualised standard deviation of 12.63% compared to 15.48%.
An upcoming event that may be of interest for Superannuation member administration and investment operation service providers is the Superannuation Fund Back Office conference coming up on 21-22 October. Visit the International Business Review Conferences website for more details.
If you are visiting Hong Kong, the UCITS Asia 2013 Conference is on 9-10 October. AFM have a 10% discount coupon available, more details here.
The Asset Allocation Conference is also coming up from 30th October to 1 November 2013 at the Grace Hotel in Sydney. Details are here.
Back in Hong Kong, the 26th Annual AVCJ Private Equity and Venture Form is at the Four Seasons Hotel from 12-14 November 2013.
IPARM Australia 2013 is being held in Sydney on 18-19 November on Investment Performance Measurement Attribution and Risk. Speakers include Dr Thomas Gillespie from Aurora Funds Management.
And now for something completely different, if only I could get my wife's pug Harry to be as well trained as this.
On that note, enjoy the week-end!
Regards,
Chris
CEO, AUSTRALIAN FUND MONITORS