NEWS
8 Nov 2013 - Bennelong Long Short Equity Fund
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Manager Comments | The long portfolio solidly out-performed the performance detraction from the short book. Intra-month performance was very strong but drifted toward the latter part of the month as markets rallied. Stock specific news centered around the Annual General Meeting updates of company earnings outlook guidance and a few quarterly reports, both of which marginally contributed to portfolio performance. Global equity markets continue to experience strong momentum. The prevalence of low interest rates is buoying sentiment with a strong pipeline of IPO's as well as capital management initiatives. This is also beginning to flow through to 'Main Street' with house prices both in Australia and in the U.S. rising. Domestically there has been a strong focus on costs as top line growth has been elusive. |
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7 Nov 2013 - Morphic Global Opportunities Fund
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Manager Comments | Morphic's performance report for the month noted that once again the market mood was dictated by activities in the US. This month the concern was whether the House of Representatives would approve an increase in the total amount of debt the government could issue, and pass resolutions allowing a new budget for the year. Amid intense brinkmanship, global equity markets sold off, followed by a sharp rally when President Obama stared down the House, and the spectre of a US default on its debt faded. The Fund started the month with hedges in place for a worst case outcome on the US budget face-off. As it became clear the market was mispricing the prospect of a last minute deal, the Manager bought call options on US markets, which soared when the President prevailed. The Fund ended the period still underweight the US and overweight Japan, Europe and Emerging Market - and fully invested, but not without some caution after the strong returns of global markets year to date and with some signs of frothiness in valuations now appearing. The most likely trigger for a sell-off would seem to be a resurgence of anxiety about US monetary policy. To mitigate this risk the Manager has established a number of short term positions over US fixed income futures. As any tightening in US monetary policy will probably see the US dollar rise, the Manager has hedged part of the Fund's European exposure back in US dollars. The Fund's largest equity exposure by sector is to Financials, and geographically to North America, followed by Western Europe and Asia. At month end there was no active commodity exposure, and no active credit positions. |
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6 Nov 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 October was another interesting month. There was no slackening in the number of placements and IPOs, which are taking advantage of improving investor confidence. Evidence of a recovering risk appetite is also shown by global fund flow data. After 5 years of strong flows into cash and bond funds and outflows from equity funds the trend has now reversed. |
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5 Nov 2013 - Fund Review: BlackRock Multi Opportunity Fund
BLACKROCK MULTI OPPORTUNITY FUND
Attached is our most recently updated Fund Review on the BlackRock Multi Opportunity Fund.
We would like to highlight the following aspects of the Fund:
- The Fund offers broad diversification across asset classes including equities, fixed income, currencies and commodities with an attractive risk profile, having provided double digit returns in 2009 through 2012 with low volatility of 2.10% over the last 48 months.
- The current strategy has seen the Fund record only three negative months since May 2010, leading to annualised returns over the past 48 months (to September 2013) of 11.68% and an annualised volatility of 2.10% pa. The four year Sharpe Ratio is 3.60, indicating an excellent reward-to-risk ratio.
- BlackRock's Active Scientific involves extensive research into every aspect of the investment process starting with the identification of fundamental investment insights. These are thoroughly tested to ensure that the outcome consistently adds to performance: Quantitative analysis is also applied to balance both performance and risk ensuring the position is only taken when the potential for reward is adequate. Only insights meeting this multi level process are implemented into portfolios.
Research and Database Manager
Australian Fund Monitors
4 Nov 2013 - Fund Review: Aurora Fortitude Absolute Return Fund
ASX listed Aurora Funds Limited was established on the merger of three existing fund management businesses, managing approx. $480m on behalf of more than 2,500 retail and wholesale investors.CIO John Corr has over 20 years financial market experience with a strong focus on risk.
Research and Database Manager
Australian Fund Monitors

1 Nov 2013 - Hedge Clippings
With equity markets continuing to power ahead, as shown by the ASX200 adding 3.97% in October, and 25.5% over the past 12 months, and the S&P500 doing even better at 4.6% and 27.2% respectively, there is no surprise that, even before we see fund performances for October appearing, equity-based strategies, and particularly 130/30 and equity long, have been significant beneficiaries.
The S&P 500 of course is at all-time highs, whereas the ASX 200, although at post 2007 highs, still has some way to go. The challenge for markets from here will be for actual 2014 earnings to match the forward earnings estimates and of course to survive the effects of QE tapering when that eventually takes place.
Meanwhile there were some notable awards for Australian fund managers at the recent AsiaHedge Awards held in Hong Kong last week. Platinum Asset Management took out the 2013 Management Firm of the Year award, while PM Capital's Absolute Performance Fund won the Global Equity category, and LHC Capital's Australian High Conviction Fund won the Single Country award.
For the record PM Capital's Absolute Performance Fund returned 59.94% for the 12 months to the end of September with a Sharpe ratio of 3.22, while the LHC Capital High Conviction Fund returned 45.03% with a Sharpe ratio of 3.66%.
Platinum's funds have been no less impressive. For example the Platinum Japan Fund provided twelve-month returns of 69%, while their flagship Platinum International Fund which has $8.7 billion in FUM rose 40.21% over the same period.
Congratulations to all concerned!
Specific results received this week include the following PERFORMANCE and NEWS UPDATES:
The Totus Alpha Fund returned 6.48% during September bringing the annual performance to 32.2% (ASX 200 Accum 24.2%). The Fund had a significant positive contribution from a small cap long position in the mobile payments space that was up strongly during September. The Manager trimmed the position slightly for risk management purposes but remain upbeat about the company's prospects over the medium term. There have been a number of notable success stories in this space in the USA and the investment is an early mover in the Australian market.
Since inception in July 2004 the BlackRock Multi Opportunity Fund has returned 8.65% pa with low volatility of 4.18%. The comparative numbers for the ASX 200 Accumulation Index are 9.07% and 14.01% indicating the Fund's risk controls. During September the Fund returned -0.17%. The Fund's absolute return mandate is shown by the maximum draw-down of 9.45% and 80 % positive months as compared to the Index of draw-down of 47.19% and 65% positive months.
The Aurora Fortitude Absolute Return Fund recorded 6.28% over the last 12 months with a volatility of only 1.82%. During September the Fund returned 0.53%. Within the Fund, the Convergence strategy was the largest positive contributor for the month +0.26%. The main driver was the Wesfarmers Partially Protected shares against the underlying Wesfarmers shares. The Long / Short strategy, whilst not generally a large part of the Fund's exposure, was profitable (+0.12%) while the Mergers and Acquisitions strategy also performed well (+0.19%). The Options portfolio was a large drawdown on the monthly return (-0.20%) as realisable volatility remained low despite the potential political and global macro catalysts.
Pengana's Australian Equities Market Neutral Fund has returned 9.4% pa (ASX 200 Acc 5.00% pa) since inception (Sept 2008) with an annualised standard deviation of 7.97% pa (15.37%). The Fund recorded -0.2% in September. The Fund's lower risk is indicated by a downside deviation of 4.96% and largest draw-down of 13.47% as compared to 11.57% and 33.11% for the Index respectively.
The Cor Capital Fund has returned 6.00% pa since inception (August 2012) with a volatility of 6.64%. The September return was -1.49%. Over the last quarter all the Fund's asset classes of equities, gold, fixed interest and cash delivered positive returns for total return of 5.36%.
The Manager notes that the Fund is currently earning about 4 per cent on portfolio cash. The Fund's fixed interest investments were slightly positive on a total return basis over the quarter as US long-term bond yields moved higher. Whether that continues due to a possible 'tapering' of Fed buying or because investors are becoming concerned about the absolute size of buying (government borrowing) will become clearer over time.
Allard's Investment Fund has returned 8.8% pa over the last five years with a volatility of 9.09% as compared to the ASX 200 Accumulation comparative data of 7.29% and 14.78%. The September return was -0.1%. The Fund's low risk exposure to Asia equities is shown by the largest draw-down of -18.29% and a downside deviation of 5.5% with the Index comparative data of -47.19% and 9.97%.
At end-September the geographic breakdown was HK/China 32.6%, Singapore 13.3% and Korea 9.2%. Cash and Fixed Income holdings were 31.5%. The industry breakdown was Financial Services 13.8%, Conglomerates 12.4% and Telco's at 8.7%.
Hedgeopolis New York is being held on 4 November at the Metropolitan Club. Use AFM's discount code "fundmo" to obtain a discount, or contact Adriana Costov for additional information.
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, at the Renaissance Hotel in Hong Kong - the Art of Asset Management - free for senior asset management professionals from both global and local asset management firms. View the agenda here.
We lost another great rocker this week, so we tribue this week's "and now for something completely different" to Lou Reed and Take a walk on the wild side, this particular clip from Farm Aid 1985.
On that note, enjoy the week-end!
Regards,
Chris
CEO, AUSTRALIAN FUND MONITORS
1 Nov 2013 - Allard Investment Fund
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Manager Comments | The Fund's low risk exposure to Asia equities is shown by the largest draw-down of -18.29% and a downside deviation of 5.5% with the Index comparative data of -47.19% and 9.97%. At end-September the geographic breakdown was HK/China 32.6%, Singapore 13.3% and Korea 9.2%. Cash and Fixed Income holdings were 31.5%. The industry breakdown was Financial Services 13.8%, Conglomerates 12.4% and Telco's at 8.7%. The portfolio concentration was 40.8% for the Top 5 holdings and 15.9% for the next 5 holdings. |
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31 Oct 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 | The Fund's absolute return mandate is shown by the maximum draw-down of 9.45% and 80 % positive months as compared to the Index of draw-down of 47.19% and 65% positive months. The Multi Opportunity Fund delivered positive performance in the third quarter, despite under-performing the cash benchmark. The Global equity long/short and Australian Equity long/short strategies added value while our Fixed Income Global Alpha strategy was flat. Both the Global Macro strategy and International Alpha Transport detracted. The fund returned 0.25% for the quarter versus the RBA cash benchmark return of 0.66%, delivering an excess return of -0.41%. The Australian equity selection strategy outperformed the market in the third quarter due to strong performance in July. This early performance was on the back of geo-political tensions lifting the oil price and a rally in domestic cyclicals. In September the strategy under-performed the market. The rally of domestic cyclicals rally following the reporting season impacted our positioning negatively, with the primary detractors being building materials. |
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31 Oct 2013 - CorCapital 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 | Over the last quarter all the Fund's asset classes of equities, gold, fixed interest and cash delivered positive returns for total return of 5.36%. The Manager notes that the Fund is currently earning about 4 per cent on portfolio cash. The Fund's fixed interest investments were slightly positive on a total return basis over the quarter as US long-term bond yields moved higher. Whether that continues due to a possible 'tapering' of Fed buying or because investors are becoming concerned about the absolute size of buying (government borrowing) will become clearer over time. Gold contributed nearly as much as equities over the quarter but continues to come under selling pressure which we discuss further below. Due to the re-balancing discipline the Fund is always in a position to capitalise on volatility by buying low and selling high and did so again during the quarter in the gold market. |
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30 Oct 2013 - 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 | Within the Fund, the Convergence strategy was the largest positive contributor for the month +0.26%. The main driver was the Wesfarmers Partially Protected shares against the underlying Wesfarmers shares. The Long/Short strategy whilst not generally a large part of the Fund's exposure was profitable (+0.12%) relative to the weighting while the Mergers and Acquisitions strategy also performed well (+0.19%). The Yield portfolio (+0.16%) saw the redemption of the Westpac Preferred Security in line with the Fund's timetable. The Options portfolio was a large drawdown on the monthly return (-0.20%) as realisable volatility remained low despite the potential political and global macro catalysts. |
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