News
Pengana Absolute Return Asia Pacific Fund
23 Sep 2015 - Australian Fund Monitors
The Pengana Absolute Return Asia Pacific finished -4.98%, compared to the HFR Event Driven Index, which closed -2.9%.
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23 Sep 2015 - Pengana Absolute Return Asia Pacific Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund will usually hold 40 to 80 positions and will be well diversified across the various event strategies. In keeping with the absolute return focus the Manager will eliminate market risk where appropriate by hedging market and foreign currency risks. Since inception the Fund has averaged a net equity market exposure of ~10%. Sizing of an investment position will depend on the expected risk adjusted returns while taking account the liquidity and volatility of the stock. In addition, the maximum potential loss on any one position should be greater than 0.5% of the NAV and the position should not exceed 30% participation of stressed volume assuming a $200m NAV. Other criteria considered are ability to hedge and the availability of pair candidates as well as the average bid-ask size. For M&A strategies average long position is 3 to 5.5% and average short position 2 to 5%. |
| Manager Comments | The overall negative return attribution for the M&A sub-strategy was -2.8%, which was a result of dislocation in the US ADR spreads during the month. Average spreads during the month continued to fluctuate around volatility in the Chinese markets. The volatility stems from the uncertainty on whether these deals will proceed. The Index Futures and Options/FWDs strategies contributed positively to the month's performance. However, Capital Management and M&A strategies were biggest detractors of the month. On average, the Fund's net and gross exposures were 7% and 228% respectively. Click below to read the complete Fund Manager's Report. |
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Fund Review: Aurora Fortitude Absolute Return Fund August 2015
23 Sep 2015 - Australian Fund Monitors
Latest fund review now available on the Aurora Fortitude Absolute Return Fund, which has one of the most risk averse Key Performance Statistics of any fund in AFM's database.
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23 Sep 2015 - Fund Review: Aurora Fortitude Absolute Return Fund August 2015
By: Australian Fund Monitors
AURORA FORTITUDE ABSOLUTE RETURN FUND
We would like to highlight the following aspects of the Fund;
- The Aurora Fortitude Absolute Return Fund (AFARF) has a 10 year track record investing in ASX listed equities. A Market Neutral overlay is used across a multi strategy approach which allows for flexible asset allocation to maximise returns and minimise risk under a variety of market conditions and cycles.CIO John Corr has over 20 years financial market experience with a strong focus on risk.
- Significant use of low risk "long" derivatives and option overlays has provided positive returns with low volatility during periods of market dislocation. Risk statistics are impressive and shows the Funds risk philosophy; over 86% of monthly performances have been positive with no losing months in 2008, the Fund's largest drawdown is -2.09% and the Sharpe ratio 1.10.
- ASX listed Aurora Funds Limited was established on the merger of three existing fund management businesses, managing approx. $230m on behalf of more than 2,500 retail and wholesale investors.
Fund Review: Aurora Fortitude Absolute Return Fund August 2015QATO Capital Market Neutral Long/Short Fund
22 Sep 2015 - Australian Fund Monitors
QATO Capital Market Neutral Long/Short Fund returned -2.22% in August, to significantly outperform the
S&P/ASX-100 which fell -8.81%, the largest monthly fall since October 2008.
S&P/ASX-100 which fell -8.81%, the largest monthly fall since October 2008.
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22 Sep 2015 - QATO Capital Market Neutral Long/Short Fund
By: Australian Fund Monitors
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| Fund Overview | The fund targets a net market exposure of 0% to hedge broader market risks through 30 S&P/ASX-100 positions (15 long and 15 short equally weighted positions). The turnover is generally averaged around 30% of the total portfolio each month. The process is entirely systematic - stock selection and risk management are all employed in a rules based approach. The Market Neutral Long/Short Fund employs no financial leverage, no derivatives and no financial products to imitate leverage. The Investment Manager's three principal investment goals for the Fund are: 1. Market neutral long/short portfolio management with little correlation to equity markets; 2. Over a 3-5 year period, seeking to target annualised volatility of 15% per annum and annualised returns of 15-30% per annum above the Benchmark; Sharpe Ratio 1.0-2.0 and a negative beta to ASX listed equities; and 3. To provide investors with a co-investment opportunity alongside the founding members' investments in the Investment Manager's strategy. |
| Manager Comments | One of the highlights from the Fund's long portfolio came from Asciano, which contributed +4.52% and produced significant alpha for the Fund. The Fund also benefited from it's short positions in Seek, Crown & Worley, which fell -19.57%, -15.24% & -12.90% respectively for the month. Click below to read in more detail the Fund's latest Performance Report . |
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Fund Review: Morphic Global Opportunities Fund August 2015
22 Sep 2015 - Australian Fund Monitors
Read latest August Fund Review on Morphic Global Opportunities Fund.
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22 Sep 2015 - Fund Review: Morphic Global Opportunities Fund August 2015
By: Australian Fund Monitors
MORPHIC GLOBAL OPPORTUNITIES FUND
Attached is our most recently updated Fund Review on the Morphic Global Opportunities Fund.
Key points include:
- The Fund is a global equity long/short manager with a long bias and a macro-economic overlay. The mandate allows the Fund to short sell, use derivatives and invest in assets such as commodities & currencies.
- Morphic's philosophy is that only funds with flexible investment and hedging strategies will be able to deliver acceptable, steady, real, absolute returns over the investment cycle.
- The Fund is an early stage, boutique, Sydney-based fund established in 2012 with experienced CIO's, and an investment team of 6 including a risk manager.
- The Board has a majority of independent members with significant risk and investment experience.
For further details on the Fund, please do not hesitate to contact us.
Signature Quantitative Fund
21 Sep 2015 - Australian Fund Monitors
Signature Quantitative Fund returned -0.40% for the month of August, to outperform the ASX200 Accumulation Index by 7.39%.
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21 Sep 2015 - Signature Quantitative Fund
By: Australian Fund Monitors
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| Fund Overview | SQF has been established to profit from anomalies surrounding event driven, behavioural & factor based structural market inefficiencies which generate significant profits and are uncorrelated & persistent over time. Specific strategies such as dividend arbitrage, index addition and deletion, tax year end, capital raisings, among other strategies are used by the Fund. The Fund's initial focus is on investing in Australian and New Zealand markets. |
| Manager Comments | The performance of SQF this month was mainly driven by the Dividend Arbitrage strategy, which despite the 40% market exposure, only slightly under-performed. Alpha Capture was a positive contributor for the month as earnings revisions and analyst sentiment indicators paid off during the earnings announcement season. Index Rebalance and Capital Raisings Strategies were flat for the month. Click the link below to view the latest Monthly Report. |
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Fund Review: Bennelong Kardinia Absolute Return Fund August 2015
21 Sep 2015 - Australian Fund Monitors
Latest Fund Review now available on Bennelong Kardinia Absolute Return Fund, which has over 9 years of positive track record.
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21 Sep 2015 - Fund Review: Bennelong Kardinia Absolute Return Fund August 2015
By: Australian Fund Monitors
BENNELONG KARDINIA ABSOLUTE RETURN FUND
Attached is our most recently updated Fund Review. You are also able to view the Fund's Profile.
- The Fund is long biased, research driven, active equity long/short strategy investing in listed ASX companies with an nine year track record.
- The Fund has significantly outperformed the ASX200 Accumulation Index since its inception in May 2006 and also has significantly lower risk KPI's. The Fund has an annualised return of 12.44% p.a. with a volatility of 7.34%, compared to the ASX200 Accumulation's return of 4.41% p.a. with volatility of 14.38%.
- The Fund also has a strong focus on capital protection in negative markets. Portfolio Managers Mark Burgess and Kristiaan Rehder have significant market experience, while Bennelong Funds Management provide infrastructure, operational, compliance and distribution capabilities.
For further details on the Fund, please do not hesitate to contact us.
Aurora Fortitude Absolute Return Fund
18 Sep 2015 - Australian Fund Monitors
In August, the Aurora Fortitude Absolute Return Fund rose 1.44%, outperforming the ASX200 Accumulation Index by 9.23%.
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18 Sep 2015 - Aurora Fortitude Absolute Return Fund
By: Australian Fund Monitors
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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 | In this volatile environment, it was the Options Strategy (+1.9%) that contributed most to the performance. The Fund's bought put options over the Share Price Index was the most profitable position. Positions in all the major banks were profitable reflecting strong demand for downside protection following capital raisings. The Yield Strategy (-0.5%) was the biggest distractor from the performance. Click below to read more on the Fund's performance. |
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Bennelong Kardinia Absolute Return Fund
18 Sep 2015 - Australian Fund Monitors
The Bennelong Kardinia Absolute Return Fund fell
2.27% in August. Since inception in May 2006, the Fund has an annualised performance of 12.44% p.a.
2.27% in August. Since inception in May 2006, the Fund has an annualised performance of 12.44% p.a.
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18 Sep 2015 - Bennelong Kardinia Absolute Return Fund
By: Australian Fund Monitors
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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 | A short position in Share Price Index Futures contracts (hedging longs), as well as long positions in Australian Careers Network, Adherium and Blackmores were the largest positive contributors, whilst Westpac, National Australia Bank and Telstra were the largest detractors from performance. Net equity market exposure (including derivatives) fell to 50.2% at month end (70.9% long and 20.8% short). Click below to read the August 2015 Fund Report. |
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Fund Review: Bennelong Long Short Equity Fund August 2015
17 Sep 2015 - Australian Fund Monitors
August Fund Review now available on Bennelong Long Short Equity Fund which has over 13 years track record & annualised returns of 17.79%.
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17 Sep 2015 - Fund Review: Bennelong Long Short Equity Fund August 2015
By: Australian Fund Monitors
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 over thirteen year track record and annualised returns of 17.79%.
- 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. The Fund's Sharpe Ratio and Sortino Ratio are 1.08 (Index 0.29) and 1.83 (Index 0.31) respectively.
For further details on the Fund, please do not hesitate to contact us.
Morphic Global Opportunities Fund
17 Sep 2015 - Australian Fund Monitors
Morphic Global Opportunities Fund fell 3.52% in August. Since inception, the Fund is up 25.52%, annualised and net of all fees, against the benchmark (MSCI AC World Total Return in Australian
Dollars) returns 24.96%.
Dollars) returns 24.96%.
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17 Sep 2015 - Morphic Global Opportunities Fund
By: Australian Fund Monitors
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| Manager Comments | The biggest contribution to performance came from the Japanese property developer Open House and the US home-builder related stocks. The biggest intra-month volatility came from Bank of Internet due to its long awaited merger that had been approved by regulators, only to fall sharply into month end, giving back most of its out-performance. India was the largest detractor and the Fund has exited all their holdings. For the month, the Fund had over 58% of their equity exposure in the North American region and over 21% in the Financials Sector. Click below to read the Fund Manager's monthly report and their September outlook of the market. |
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