News
Fund Review: Supervised High Yield Fund Oct 2014
28 Nov 2014 - Australian Fund Monitors
Supervised High Yield Fund returned 0.41% in October and 6.50% for the prior 12 months compared to the RBA Cash Rate of 2.50% over that period. Volatility over the year was 0.74% and all months recorded positive returns.CPD Points are now available.
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28 Nov 2014 - Fund Review: Supervised High Yield Fund Oct 2014
By: Australian Fund Monitors
Supervised High Yield Fund AFM Review Oct 2014 (pdf format)
SUPERVISED HIGH YIELD FUND
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
We would like to highlight the following aspects of the Fund:
- The Supervised High Yield Fund (SHYF) has a 5 year track record investing in fixed interest investments. The Investment strategy aims to deliver returns with zero correlation to equity markets by investing in debt securities with minimal default probability and offering a premium return above the risk free rate.
- The Fund is managed by Philip Carden whose experience in debt and capital markets spans 32 years, including time with JB Were's Capel Court Securities and Macquarie Bank, where he was the Executive Director responsible for the Debt Markets Division.
- SHYF is an Alternative Income fund which invests in Global and Australian debt markets, with all foreign currency receivables hedged back to Australian dollars.
- The Fund utilises a top down analysis of the economic environment and market to screen and identify debt market opportunities which it believes offer low risk with high yield. The next stage is the development of a risk matrix and investment strategy, following which detailed research is undertaken on specific investment opportunities which meet the pre-defined criteria established in the investment strategy.
- Prior to approving an investment for the Fund each potential investment is subject to two stress tests. The first of these is for credit and default risk, in which the investment is stress-tested to ensure that in a worst case economic environment it can repay 100% of its principal and interest obligations case scenario for the asset by examining the highest margin over the risk rate that the investment has previously experienced in a crisis situation. Any decline in value under the stress test that exceeds 10% of the Fund's value is avoided The second test examines market risk. In this case Carden looks at the worst case scenario for the asset by examining the highest margin over the risk rate that the investment has previously experienced in a crisis situation. Any decline in value under the stress test that exceeds 10% of the Fund's value is avoided.
Research and Database Manager
Australian Fund Monitors
Supervised High Yield Fund AFM Review Oct 2014 (pdf format)
Allard Investment Fund
27 Nov 2014 - Australian Fund Monitors
Allard Investment Fund recorded a performance of 0.60% during October bringing the annual return to 13.30%.
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27 Nov 2014 - Allard Investment Fund
By: Australian Fund Monitors
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| Manager Comments | Since inception in July 2003 the Fund's return is 9.0% p.a. as compared to the MSCI Asia Pacific Index of 10.6% with a lower volatility of 7.9% (Index 13.4%). The Sharpe ratio since inception is 0.57. The Fund's geographic investment break down is Hong Kong 44%, Singapore 11.1% and Korea 7.5%. In terms of industry the largest sector is Financial Services 19.9%, Conglomerates 11.1% and Telco's at 8.5% with Cash and Fixed Income 21.4%. The top 5 stocks are 40.9% of the portfolio. |
| More Information | » View detailed profile of this fund |
Aurora Fortitude Absolute Return Fund
26 Nov 2014 - Australian Fund Monitors
Aurora Fortitude Absolute Return Fund returned -0.29% during October and 2.36% for the previous 12 months with a volatility of 1.09%.
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26 Nov 2014 - 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 | Mergers and Acquisitions was the best performing strategy (+0.28% net return). Wotif.com Holdings Limited produced good returns as a result of receiving both ACCC and shareholders' approval for Expedia to acquire them. The New Zealand Commerce Commission approval was the last remaining condition and this was received shortly after month end with the scheme consideration due to settle in mid‐November. The Funds Options Overlay was the main detractor from performance (‐0.37%). Woodside Petroleum Ltd Woolworths Ltd and National Australia Bank Ltd all suffered losses from both theta; a loss of option value as it approaches expiry, and vega; the change in an option price due to moves in the volatility. This was particularly the case later in the month when implied volatility was sold down as a result of the market recovery. |
| More Information | » View detailed profile of this fund |
Alpha Beta Asian Fund
25 Nov 2014 - Australian Fund Monitors
Alpha Beta Asian Fund returned -0.51% during October with annual performance of 5.21% with a volatility of 4.05%.
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25 Nov 2014 - Alpha Beta Asian Fund
By: Australian Fund Monitors
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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 has recorded 62% positive months since inception and a maximum draw-down of 2.93%. Fund beta is 0.11 mapped to the MSCI Asia Pacific Index with a correlation of 0.20 to the same Index. The Fund generated a return of -0.51% during October, driven largely by the surprise BoJ stimulus move on the last day of the month, prior to which we had been up roughly 50bps. Although we are generally hedged to movements in the Japanese market due to our market neutral bottom up portfolio construction and deployment of index futures hedges, the strong movement hit our quantamental short side significantly on that day. |
| More Information | » View detailed profile of this fund |
Fund Review: Microequities Deep Value Microcap Fund Oct 2014
24 Nov 2014 - Australian Fund Monitors
AFM's updated Fund Review for the Microequities Fund for October 2014. The Fund is characterised by above index returns and a sound Sharpe ratio. The Fund returned 1.66% during October and since inception (March 2009) the Fund has returned 28.4% p.a.
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24 Nov 2014 - Fund Review: Microequities Deep Value Microcap Fund Oct 2014
By: Australian Fund Monitors
Microequities Deep Value Microcap Fund Oct 2014 (pdf format)
MICROEQUITIES DEEP VALUE FUND
Attached is our most recently updated Fund Review on the Microequities Deep Value Fund.
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
We would like to highlight the following aspects of the Fund:
- The Microequities Deep Value Fund has a 5 year track record investing in ASX listed equities. The Fund is a fundamental, research-driven Fund investing in equities with a market cap below $250m. The Fund uses a value philosophy based on the view that microcaps are often under-researched and under-valued.CIO Carlos Gil has over 15 years financial market experience across a broad range of equities.
- The Fund does not short, use derivatives or borrow i.e., it is long only and is concentrated; usually with 15 to 20 companies across industrial sectors.
- Resource stocks are avoided.
If you have any questions in relation to the Fund Review or the CPD points, please do not hesitate to contact us.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Microequities Deep Value Microcap Fund Oct 2014 (pdf format)
Auscap Long Short Australian Equities Fund
24 Nov 2014 - Australian Fund Monitors
Auscap Long Short Australian Equities Fund recorded a return of 2.25% in October with the annual return 29.93% and a volatility of 6.95%.
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24 Nov 2014 - Auscap Long Short Australian Equities Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund focuses on fundamental long and short investments. The Fund may utilise a multi-strategy approach if short term opportunities to increase returns, hedge the portfolio, protect capital or minimise volatility are found. The Fund is a high conviction fund and the combined portfolio will typically have 25-45 positions, investing primarily in stocks in the ASX200. The Fund may be net long, short or neutral depending on the strategies employed at the time. The Fund may hold cash so that it is in a position to take advantage of market volatility and compelling investment opportunities as and when they arise. The Fund may be geared up to 200% gross long or short and up to 150% net long or short. |
| Manager Comments | The Fund's Sharpe ratio is 3.49 (0.41) and the Sortino ratio 10.45 (0.55) over the last 12 months with Up and Down Capture ratios notable at 1.32 and -0.33. Average gross capital employed by the Fund was 169.5% long and 36.3% short. Average net exposure over the month was +133.2%. The Manager's monthly report is entitled 'Why The Big Iron Ore Producers Face The Ultimate Prisoners' Dilemma' and is available on the AFM website at the Fund's Profile. |
| More Information | » View detailed profile of this fund |
Fund Review: Bennelong Alpha 200 Fund Oct 2014
21 Nov 2014 - Australian Fund Monitors
The Alpha 200 Fund primarily invests within the top 200 by market capitalisation, using a similar "pairs trading" approach while remaining broadly market neutral on a cost basis. The Fund returned -2.49% in October and -3.06% since...
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21 Nov 2014 - Fund Review: Bennelong Alpha 200 Fund Oct 2014
By: Australian Fund Monitors
Bennelong Alpha 200 Fund AFM Fund Review Oct 2014 (pdf format)
BENNELONG ALPHA 200 FUND
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
We would like to highlight the following aspects of the Fund:
- The Bennelong Alpha 200 Fund is a new fund opened in December 2013. 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 BLSEM 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.
If you have any questions in relation to the Fund Review, please do not hesitate to contact us.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Bennelong Alpha 200 Fund AFM Fund Review Oct 2014 (pdf format)
Laminar Credit Opportunities Fund
21 Nov 2014 - Australian Fund Monitors
Laminar Credit Opportunities Fund returned 0.51% in October with the 12 month return coming in at 9.28% with a volatility of 0.62%.
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21 Nov 2014 - Laminar Credit Opportunities Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund may also invest in derivatives for hedging purposes. The portfolio of the Fund comprises primarily Investment Grade holding of 75% of the Fund's assets. Benchmark allocations are Australasia 50% to 100%, North America 0% to 50% and Europe 0% to 50%. Currency hedging may take place depending on benefits to the Fund. |
| Manager Comments | The Fund has averaged 20.35% since inception with a volatility of 7.81%, a Sharpe ratio of 1.99% and 93% positive months. At month-end the Fund held 65% RMBS, 6% listed securities, 7% corporate bonds, 20% short-dated loan and 2% cash. |
| More Information | » View detailed profile of this fund |
Bennelong Kardinia Absolute Return Fund
20 Nov 2014 - Australian Fund Monitors
Bennelong Kardinia Absolute Return Fund returned 1.22% during October and 4.31% over the previous 12 months with a volatility of 4.02%.
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20 Nov 2014 - 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 | In October Commonwealth Bank, CSL, Lend Lease and Telstra were all significant contributors to performance, whilst Share Price Index Futures (hedging long positions), Greencross and a short position in Metcash were the major detractors. Net equity market exposure including derivatives was increased to 65.9% (75.1% long and 9.2% short). |
| More Information | » View detailed profile of this fund |
Fund Review: Monash Absolute Investment Fund Oct 2014
20 Nov 2014 - Australian Fund Monitors
Monash Absolute Investment Fund declined 0.30% in October and returned 4.83% for the previous 12 months. The Fund's investment strategy is best described as long biased, equity long-short, with a strong focus on absolute returns rather...
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20 Nov 2014 - Fund Review: Monash Absolute Investment Fund Oct 2014
By: Australian Fund Monitors
MONASH ABSOLUTE INVESTMENT FUND
Attached is our most recently updated Fund Review. You are also able to view the Fund's Profile
CPD Points are now available for all AFM Fund Reviews. Read the review and answer 5 questions to earn half a point toward your continuing professional development.
We would like to highlight the following:
- The Fund is a research driven, active equity long/short strategy investing in listed ASX companies.
- 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.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research Manager
