NEWS
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
Prism Active Equity Fund August 2013 (pdf format)
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
4 Oct 2013 - Bennelong Long Short Equity Fund
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| Manager Comments | The Manager notes that the fund performance was slightly positive during the month with contributions from the long portfolio marginally outperforming detractions from the short book. The Fund has a month-end leverage of 4.9 times. |
| More Information | » View detailed profile of this fund |
3 Oct 2013 - 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. |
| Manager Comments | 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. |
| More Information | » View detailed profile of this fund |
2 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 Manager notes that the portfolio lost value in August, due mainly to short positions in sectors related to the resources rally, and in Mining Services and Oil & Gas in particular. Signal performance was led by Market signals, particularly the liquidity provision signals, and Earnings Quality signals. |
| More Information | » View detailed profile of this fund |
1 Oct 2013 - LHC Capital Australia High Conviction Fund
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| Fund Overview | LHC Capital will also seek to identify or encourage events that may act as a catalyst for valuations to converge towards their intrinsic value. The emergence of catalyst events will also have an impact on how LHC Capital allocates the Fund's capital between competing investment opportunities. |
| Manager Comments | The Fund returned 0.64% over August and 38.9% over the last 12 months. Month-end exposures were 93% long, 17% short, 110% gross and 76% net with the most profitable holdings over August being Peet, eMerchants and Academies Australia. |
| More Information | » View detailed profile of this fund |
30 Sep 2013 - BlackRock Multi Opportunity Fund
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| Fund Overview | - Australian and International Equity Long/Short - Global Fixed Income Long/Short - Global Macro - Commodity Alpha - Alpha Transport The Fund's goal is to provide investors with a source of consistent, risk-controlled, absolute returns that are over time, expected to have low correlations with the returns of major asset classes. The Fund aims to achieve a return of 8% p.a. before fees, above the RBA Cash Rate Target over rolling 3 year periods. In order to achieve its expected return objective, the Fund will target a total expected risk of between 4-6% p.a. over the same rolling 3 year period. |
| Manager Comments | Notable over this period was the Fund's largest drawdown of 2.61% as compared to the Index's largest drawdown of 25.8%. The Multi Opportunity Fund underperformed in August with detractions across equity market neutral and Fixed Income Global Alpha strategies. Global Macro and Commodity strategies added value helping to offset these detractions. The fund returned -0.18% gross of fees versus the RBA cash benchmark return of 0.21%. Year to date, the Fund has returned 5.50% gross of fees. The Australian equity selection strategy had small negative performance in August. This was attributed mainly to underweight positioning in sectors related to the resources rally, in particular Mining Services and Oil / Gas. Signal performance was led by our market signals, particularly the liquidity provision signals, and our earnings quality signals. Earnings direction insights tended to detract value, especially those based on analyst sentiment. |
| More Information | » View detailed profile of this fund |
27 Sep 2013 - Hedge Clippings
Just as markets in the USA had readjusted to Ben Bernanke's new "no taper" policy update, along come negotiations between Democrats and Republicans over budget negotiations with the potential for the US government to run out of funding by mid October. This would force government employees to face taking temporary unpaid leave, delaying payments to the military, and closure of some administrative departments. Naturally members of Congress would continue to be paid as usual.
At stake it would seem is the passage of the Affordable Care Act, or "Obamacare" as it has become known. Presuming that no-one wants to be responsible for the political fallout of the budget not being passed, the focus will then fall on the so called debt ceiling. This currently sits at just under $17 billion or $53,500 per US citizen, and by mid October there will only be $30 billion to meet commitments which includes a $60 billion social security payment due at the beginning of November.
If you want to look at a neat graphic calculator of the actual numbers involved, click here. The Australian version can be seen here.
There's an element of deja vu in this as the same concerns spooked markets two years ago. However it highlights two other over-riding issues that seem to dominate markets and economies post 2008. The first is that there aren't too many governments around the world that aren't facing increasing outlays, but are not prepared to increase taxation to balance the books.
The second seems to be that politics and politicians are driving markets as much as, or more than fundamentals. This is not only in the US, but also across Europe. The same might be said of China, except there the politicians are expected to control the outcome, at least have a longer time horizon, and don't have to concern themselves over pesky elections to the same degree.
Australia has the same problem as the US and Europe: Everyone seems to want more welfare and lower taxation - but no-one's prepared to pay for it or give up what they already have. And no-one wants to factor in an increase in the GST.
Specific results received this week include the following PERFORMANCE and NEWS UPDATES:
Pengana Australian Equities Market Neutral Fund completed its fifth year of operation recording an annualised return of 9.60% pa compared to the benchmark (ASX 200 Acc Index) return of 4.63%. Since inception the Fund has an annualised standard deviation of 8.02% compared to 15.48% (Index) and the risk-reward and risk statistics are sound with a Sharpe ratio of 0.7 (0.12 Index) and a Sortino Ratio of 1.06 (0.06 Index).
The Totus Alpha Fund rose 2.1% during August with net exposure of 41%. Since inception in April 2012 the Fund has returned 29.1% (24.2% ASX 200 Acc Index) with a Sharpe Ratio of 1.41, Sortino Ratio of 3.14 and a down capture ratio of -0.84. The Fund also has a negative correlation of -0.209 to the Index.
Allard Investment Fund returned -1.0% during August with an allocation of 67.1% equity and 32.9% cash and fixed income. In terms of geographic allocation the Fund's major allocations are 32.1% HK/China and 13.1% Singapore and in terms of industry the biggest exposure is financial services at 14.5% and conglomerates, 12.2%.
The Intelligent Investor Value Fund returned 1.13% in August and 40.05% over the 12 previous months. The Fund has a since inception (November 2009) annualised return of 14.05% pa as compared to the ASX 200 Accumulation Index of 7.32% return over the same time frame. The Fund's value strategy is shown by the Sharpe Ratio of 0.73 as compared to the Index Sharpe Ratio of 0.32 (since inception).
Updated AFM Fund Reviews were also completed on the following funds this week:
The Insync Global Titans Fund invests in a concentrated portfolio of 15-25 stocks, targeting exceptional, large cap global companies with a strong focus on dividend growth and downside protection. Portfolio selection is driven by a core strategy of investing in companies with sustainable growth in dividends, high returns on capital, positive free cash flows and strong balance sheets. The investment strategy has delivered above MSCI ($A) benchmark performance over the medium and longer terms with limited draw-downs and excellent risk statistics. The Sharpe ratio is 0.67 (ASX 200 Acc 0.26) and Sortino ratio 1.17 (ASX 200 Acc 0.28) and are well above those of the ASX with downside deviation approximately one-half of the same Index since inception.
Next Tuesday, 1 October 2013 at 5.30pm sees one of the newer Sydney fund managers, Auscap Asset Management heading to Brisbane to present their current perspective on equities. Tickets are limited, but if interested contact [email protected].
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.
In the last few week's "Clippings" we have mentioned some notable anniversaries - the collapse of LTCM and Lehman Brothers in particular. This week's "and now for something different" remembers Australia 11 winning the America's Cup, coincidentally in the same week 30 years later as the Americans boat (skippered by an Aussie I might add) won it back from our New Zealand cousins. At a lunch to remember the time 30 years ago that the then Prime Minister Bob Hawke donned his famous jacket, he wore it again to take the stage and tell this joke. Take it away Bob ...
On that note, enjoy the week-end!
Regards,
Chris
CEO, AUSTRALIAN FUND MONITORS
great way to end each year.
27 Sep 2013 - AVCJ Private Equity Forum
AVCJ Private Equity Forum
12-14 November 2013 - Four Seasons Hotel, Hong Kong
AVCJ is delighted to be hosting the 26th annual AVCJ Private Equity & Venture Forum in Hong Kong this November.
What's new in 2013?
- Emerging market focus groups
- Technical workshops
- Women in private equity roundtable
- Sector focus - energy and real estate
- Meet the managing partners breakfast
- Spotlight on family offices
Meet 1,000+ global PE professionals; Network with more than 250 LPs; Hear from 170+ industry leading speakers.
PACKAGES
Diamond (fees include three-day Investment summit on 12-14 November, PE leaders - Summit and VC Summit, refreshments, luncheons, evening receptions and dinner as per the programme; and all conference documents) US$3,895/HK$31,160 each
Platinum (fees include two-day Investment summit on 13-14 November, refreshments, luncheons, evening receptions and dinner as per the programme; and all conference documents) US$3,295/HK$27,260 each
Please feel free to contact Sally from AVCJ at the numbers below:
Sally Au | Sales Executive, Asia Pacific | Incisive Media
T: + 852 3411 4856 | F: + 852 3411 4811
AVCJ Private Equity Forum (pdf format)
