NEWS
23 Jul 2014 - Fund Review: Bennelong Alpha 200 Fund June 2014
- The Bennelong Alpha 200 Fund is a new fund with a 6 month track record. 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 BLESM 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.
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Sean Webster
Research and Database Manager

22 Jul 2014 - Fund Review: Bennelong Kardinia Absolute Return Fund June 2014

22 Jul 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 | The Sharpe and Sortino ratios were 2.07 and 5.17 respectively. Downside deviation was 1.78. At month-end the Fund's larger geographic exposures were Australia at 11% and Japan at 2% on a net basis, with the Fund's total net exposure 18% and gross exposure 167%. Total number of positions was 413. Major contributors to June's returns were Hong Kong directional at 51 basis points and Australia mean reversion at 45 basis points. |
More Information | » View detailed profile of this fund |
21 Jul 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 | Top contributors to performance in June were long our positions in Intueri Education +0.79% (scarce growth) and Burson +0.32% (scarce growth) and a short position in Monadelphous +0.35% (mining capex bubble). Biggest detractors from performance were our long positions in Flight Centre -1.24% (scarce growth) and Tiger Resources -0.76% (scarcity) and a short position in Liquefied Natural Gas-1.10% (promoter). The ASX300 Accumulation Index is now up just 2.86% for the first half of the 2014 calendar year, making the stellar returns of 2013 harder to come by. However, we view this as a healthy period of market consolidation and remain cautiously optimistic for an improved second half. |
More Information | » View detailed profile of this fund |
18 Jul 2014 - Hedge Clippings
This week's release of the interim report of David Murray's Financial System Inquiry (FSI) was a mixture - part interim report, and part seeking further feedback and comment from interested parties. At 460 pages it has, or will, take some time to go through the complete document, but our initial impression is that the final report will be a major influence on the direction of the financial system, including superannuation for some time to come.
Courtesy of modern technology and the Internet (which the report itself focused on) the presentation and ease of understanding the report was a breath of fresh air. While not everyone might agree with all the directions it is going in, one has to be impressed by the quality of its scope, coverage, and production.
Distilling all 460 pages (even if I had read them all) is not the purpose of Hedge Clippings, so we will just focus on some specific areas of interest. The main one to us is Australia's superannuation system, currently around $1.8 trillion and forecast to grow to 7 or $8 trillion by 2030 according to a recent report from Deloitte. The FSI interim report inevitably spent some considerable effort on superannuation, partly in the area of fees, and also flagging that the final report will have a fair amount to say about superannuation's retirement phase, as opposed to the accumulation phase which seems to be the focus of so much attention.
Firstly the fees. The FSI points out that while the total superannuation pool has grown dramatically over the past 20 years, partly as a result of time, and partly as a result of the SGL levy rising from 3% to 9%, fees as a percentage of total funds has hardly budged. The interim report estimates that whilst one of the largest superannuation systems in the world, it is also one of the most expensive by a factor of two or three times, and that a reduction of around 0.4% in fees would save superannuation members a total of $7 billion a year at current levels.
Given Deloitte's forecast, a simple calculation suggests that figure will be closer to $30 billion a year by 2030 unless competitive pressures (or legislation?) come to bear.
As we are normally at pains to point out, fees are one thing, but net performance drives the bottom line return. Whether net performance, or choice and a preference for being in control of one's own retirement destiny is the cause for SMSF's to be 35% of the total superannuation pool is debatable, but self-managed super funds, while not impervious to fees, would from our experience seem to be far less fee focused than their institutional counterparts.
The FSI also put considerable focus on potential changes or implications to the retirement phase of superannuation. At the current time, and in fact since inception, the pointy end of superannuation has been contributions, returns, and fees in the accumulation phase covering the time up until retirement. David Murray's interim report suggests, correctly in our view, that as the objective of superannuation is to provide for the retirement phase, there should be a greater focus on how the retiree's final superannuation balance is handled.
Given increasing longevity and an ageing population it would seem illogical to force people to save for 40 or 45 years of their working lives, only to allow them to take a lump sum in the hope of carrying them through the next 20 or so years of retirement. We are obviously not aware of how the final report will come down on this, but it would seem that the recommendation might fall somewhere between incentive (the carrot) and legislation (the stick) to increase the focus on annuity style incomes over the longer term.
While they're at it they may want to consider either a carrot or stick approach to encouraging an increased allocation of the superannuation pool to infrastructure assets. Both have a long term timespan of 30 to 40 years, and infrastructure should be able to provide the necessary steady returns without the volatility of equities and other financial markets.
Our focus on the superannuation aspects of the FSI are not meant to diminish the importance of other areas the report, including the quality of financial advice, and Australia's dependence on overseas capital. We'll leave that to others, or another day.
Specific results received this week include the following PERFORMANCE and NEWS UPDATES:
The Nanuk Global Alpha Fund returned 1.16% during June, with 12 month performance coming in at 14.83%.
Pengana Australian Equities Market Neutral Fund returned 1.8% during June.
Performance for the Aurora Fortitude Absolute Return Fund was -0.31% during June, its first negative month since January 2013.
Avenir Value Fund returned 0.22% during June, a month in which the Global Equity Index fell -0.76%. The Fund's financial year performance was 30.04% (Index 17.87%)..
Performance for the Insync Global Titans Fund over the 2014 financial year closed at 10.70%.
14-15 August in Sydney: Alternative Investments Conference - Investigating the rise and rise of non-traditional high yield and low risk investment products, strategies and allocation in an era of prolonged volatility and low returns.
If you would like your Event listed in our calendar, please contact us.
And so to something completely different: on what would have been his birthday today here are 7 things we can learn from Nelson Mandela's life. Seven pretty important principles but in my world there's one that rises above them all: Happy Wife, Happy Life!
On that note, I hope you have a safe and happy weekend.
Best wishes,
Chris
CEO, AUSTRALIAN FUND MONITORS
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18 Jul 2014 - Insync Global Titans Fund
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Manager Comments | The Fun'd's geographic composition was North America 44.0%, UK 24.7%, Cash and Puts 16.8% and Europe 14.8%. Average market cap of portfolio equities is $A81.3 and weighted average dividend yield is 2.60% The Fund's unit price decreased by 0.7% in June. Key positive contributors for the month came from our holdings in BNY Mellon, Discover Financial Services, BSkyB, St Jude Medical and TE Connectivity. The main negative contributors were Coach, Express Scripts, Oracle, British American Tobacco and Baxter International. The Fund continues to have no foreign currency hedging in place as Insync consider the main risks to the Australian dollar to be on the downside. |
More Information | » View detailed profile of this fund |
17 Jul 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 Sharpe and Sortino ratios are 1.43 and 2.50 respectively since inception in August 2011. Also notable are the Up and Down capture ratios at 0.56 and -0.3 respectively. At month-end the Fund's geographical disposition was 31% US, 14% Asia, 12% Western Europe with 2% Australia, 23% other and 18% cash. The top 10 holdings were 56% of NAV. |
More Information | » View detailed profile of this fund |
16 Jul 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 | Lack of volatility remains a feature of most global markets and this continues to be a drain on the Protective Option Strategy (-0.51%). Woodside Petroleum was the most significant draw-down. The Fund took the opportunity through the Shell Energy sell down of 13.6% of the company to establish a position to benefit from a possible re-rating ahead of August profit and dividend announcements whilst still maintaining downside protection. In the current low volatility environment it is not surprising that the Yield Strategy was again the most positive performing section of the portfolio (+0.28%) and that all positions produced positive returns for the month. |
More Information | » View detailed profile of this fund |
15 Jul 2014 - Pengana Australian Equities Market Neutral Fund
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Fund Overview | The manager's investment approach is premised on the belief that fundamental factors (such as earnings, cash flow and profit growth) affect stock prices, but that the adoption of quantitative techniques (i.e. computer based models) provides an advantage in assimilating and analysing this information, and building an efficient portfolio. The Fund's portfolio is constructed to be 'Market Neutral' i.e. it aims to have little or no overall exposure to movements in the equity market. The aim of low exposure to market movements is to enhance the consistency of the portfolio's performance and to provide diversification from other market oriented investments. |
Manager Comments | The Fund had a next exposure to the market of 0.5% at month-end with correlation and beta to the market of 0.0 since inception. The return to underlying company fundamentals in June with positive contributions across our main investment factors was not enough to offset a poor quarter. Risk appetite fell over the period as lower risk yield stocks remain in favour, while value was largely ignored with prices being driven up by the chase for quality. Falling market volatility and trade volumes combined with a compression in returns across the 20 underlying alphametrics in the model provided little opportunity for our broader factors to gain any meaningful traction over the quarter. |
More Information | » View detailed profile of this fund |
14 Jul 2014 - Nanuk Global Alpha Fund
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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 reported profits coming primarily from long positions in solar and LED stocks which continued to recover from a period of under-performance earlier in the year. At the end of June the Fund's five largest long positions were a Chinese battery manufacturer, a Taiwanese LED chip manufacturer, a Chinese solar cell and module manufacturer and two European lighting equipment business. The fund's five largest short positions included a European wind turbine manufacturer, a US meter manufacturer, a European insulation manufacturer, a European enzyme manufacturer and US electricity utility. |
More Information | » View detailed profile of this fund |