
News
30 Oct 2014 - Fund Review: Alpha Beta Asian Fund AFM Fund Review September 2014
ALPHA BETA ASIAN FUND
AFM has updated the Fund Review on the Alpha Beta Asian 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.
Key points include:
- The Fund The Alpha Beta Asian Fund invests in Asian listed equity markets with a focus on liquid companies in Australia, Japan, Hong Kong, Indonesia, Philippines and Thailand. The Fund uses a systematic approach to evaluate macroeconomic, company fundamental and price data, all of which are evaluated through a series of quantitative models.
- Sydney based Alpha Beta Capital was established by Andrew Barry and Ken Lewis in May 2012. Both Barry and Lewis have significant qualifications and international experience in funds management, including working together at Coronation International, a global multi-strategy hedge fund group in London.
- The Strategy relies on a number of core beliefs: Firstly that a well designed systematic investment process, operating within a multi-strategy framework will be able to extract consistent returns, on average, with low volatility. Secondly, by utilising holding periods substantially shorter than the industry-norm, profit opportunities consistently arise. Finally, a strategy that holds a large number of small positions versus a small number of concentrated positions, will remove much of the emotional angst of trading, and the investment process becomes repeatable.
- In keeping with the Manager's overall systematic approach the Risk Management includes real time monitoring of positions and market exposure, and is combined into a proprietary and automated system called PARMS (Portfolio and Risk Management System). PARMS is a centralised and integrated system which provides full functionality including stress testing.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research Manager

30 Oct 2014 - Bennelong Long Short Equity Fund Sept 2014
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Fund Overview | In a typical environment the Fund will hold around 70 stocks comprising 35 pairs. Each pair contains one long and one short position each of which will have been thoroughly researched and are selected from the same market sector. Whilst in an ideal environment each stock's position will make a positive return, it is the relative performance of the pair that is important. As a result the Fund can make positive returns when each stock moves in the same direction provided the long position outperforms the short one in relative terms. However, if neither side of the trade is profitable, strict controls are required to ensure losses are limited. The Fund uses no derivatives and has no currency exposure. The Fund has no hard stop loss limits, instead relying on the small average position size per stock (1.5%) and per pair (3%) to limit exposure. Where practical pairs are always held within the same sector to limit cross sector risk, and positions can be held for months or years. |
Manager Comments | Long term performance remains sound with since inception (Jan 2003) returns at 17.45% pa (Index 8.01%) and a volatility of 11.90% (Index 12.90%). Sharpe and Sortino ratios are well ahead of the Index at 1.04 and 1.74 respectively. Fund performance in September was very disappointing in the context that we were well positioned for this correction as the factors that reversed this month, being price momentum and yield (the so called 'carry trade'), do not rate as solid investment fundamentals in our process and had previously been detractors from fund performance. As such the majority of the portfolio performed satisfactorily however the primary determinant of fund return is always stock selection and several stock specific issues affected returns during an extremely weak market which produced some relatively severe adverse movements in prices. |
More Information | » View detailed profile of this fund |
29 Oct 2014 - KIS Asia Long Short Fund
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Fund Overview | Whilst the Fund's primary strategy is focused on long/short equities, the ability to retain discretionary powers to allocate across a number of other investment strategies is reserved. These strategies may include, but not be limited to: convertible bond investments, portfolio hedging, equity related arbitrage, special situations (e.g. merger arbitrage, rights offerings, participation in international public offerings and placements, etc.). The Fund's geographic focus is Asia excluding Japan, but including Australia). The Fund may invest outside of this region to the extent that: 1. The investment decision is driven from the Asian region or; 2. The exposure is intended to mitigate risk or enhance return from factors external to the Asian region. |
Manager Comments | Fears of a deflationary environment became evident in markets this month. The Deutsche Bank Market Implied US Inflation Index has spent the past year in a range of 2.10% to 2.20%. From the 16th Sept to 30th Sept, this fell from 2.06% to 1.91%. As we write this the index has now slumped to 1.76%. The main driver would appear to be weak data from Europe. There is little question that Mario Draghi, president of ECB, is committed to do whatever it takes to stimulate the European economy and prevent a deflationary situation. The question is: what can he do? Central Bankers do not have an endless series of monetary stimulation policies and methods. At some point, fiscal stimulus, which should have a positive IRR (albeit this can be low), will need to be used to address the situation. In Europe this is not simply a political decision, but a complicated multi country political negotiation where Sovereign balance sheets are in very different states. |
More Information | » View detailed profile of this fund |
28 Oct 2014 - Fund Review: Bennelong Alpha 200 Fund Sept 2014
BENNELONG ALPHA 200 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 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.
Sean Webster
Research and Database Manager
Australian Fund Monitors

28 Oct 2014 - Laminar Credit Opportunities Fund
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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 | Fund composition at month-end was RMBS 64%, Listed Securities 8%, Corporate Bonds 7%, Short date Loans 20% and Cash 1%. |
More Information | » View detailed profile of this fund |
27 Oct 2014 - Insync Global Titans Fund
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Manager Comments | Key positive contributors for the month came from our holdings in Sanofi, Zimmer, Reckitt Benckiser and BSkyB. The main negative contributors were Medtronic, Publicis Group, Oracle, and Hugo Boss. 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 |
24 Oct 2014 - Fund Review: Supervised High Yield Fund Sept 2014
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

24 Oct 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 | Since inception (Feb 2005) Sharpe and Sortino ratios are well above the Index at 1.13 and 2.30. Our Fund produced a small draw-down (-0.07%). Increased uncertainty and the increase in option prices benefited our Option Strategy (+0.25%). The most significant contributions came from downside exposure to high yielding names such as the major banks and Telstra. Our analysis shows that it is extremely rare for the market to have a fall of this extent without significantly higher realisable volatility (please contact us for a copy of this study) and as a result the steady nature of the sell-off made it difficult to realise any significant gains on the broader market. |
More Information | » View detailed profile of this fund |

23 Oct 2014 - Fund Review: Morphic Global Opportunities Fund September 2014
MORPHIC GLOBAL OPPORTUNITIES FUND
Attached is our most recently updated Fund Review on the Morphic Global Opportunities 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.
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.
Sean Webster
Research Manager
Australian Fund Monitors
23 Oct 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 key contribution to negative performance were long positions in the solar sector, and to smaller capitalisation stocks in Hong Kong and the US. The fund's exposure to the the solar sector was increased following the publication of what we believe is a highly favourable policy announcement in China, but the sector suffered from market weakness in Hong Kong, where a number of our holdings were listed, and an adverse policy development in Japan, where a number of utilities announced the suspension of applications for the grid connection of new solar projects. |
More Information | » View detailed profile of this fund |