News
Morphic Global Opportunities Fund
13 Jun 2014 - Australian Fund Monitors
Morphic Global Opportunities Fund took advantage of stronger global markets to return 3.91% during May with a return of 21.73% for the prior twelve months.
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13 Jun 2014 - Morphic Global Opportunities Fund
By: Australian Fund Monitors
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| Manager Comments | At month-end the Fund exposures were 167% gross and 101% long with a VaR of 1.06%. Up and Down Capture ratios were 0.62 and -0.86 over the prior year. The Fund closed the month still fully invested, with limited regional biases other than the overweight in India, reflecting the manager's preference not to have large regional positions currently. The continuing rise of the Australian dollar is being partially offset by the Fund having hedging over part of its offshore exposure. The recent move by the European Central Bank to impose negative rates on excess bank deposits and start money printing suggests the local unit's rally may be even more resilient than we expected a month ago. |
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The Paragon Fund
12 Jun 2014 - Australian Fund Monitors
The Paragon Fund had a strong month returning 3.2% bringing the twelve month return to 26.19% with volatility in line with the Index.
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12 Jun 2014 - The Paragon Fund
By: Australian Fund Monitors
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| Fund Overview | Paragon accepts that markets are not always efficient in pricing information into securities and that no one investment style works in every stage of the investment cycle. Subsequently Paragon adopts a top down thematic led approach to identify companies exhibiting sustainable or improving returns on capital driven by volume growth, pricing power and competitive advantages. Paragon utilises both quantitative analysis to provide probability weighted high/low/base case valuations and qualitative analysis in assessing management, the business model and likely direction of returns. Paragon will allocate assets to each investment opportunity based on a risk/reward profile. Positions have defined investment parameters and risk limits, which are then monitored on an ongoing basis. |
| Manager Comments | The Sharpe ratio was 2.46 (Index 1.49) and the Sortino ratio 4.88 (Index 2.92) were well ahead of the Index, also over the last 12 months. The Up and Down capture ratios were notable at 0.89 and -0.54 respectively. At month-end the Fund was 74.1% long and 2.9% short for net exposure ratio of 71.2%. The top 5 stocks were 25.6% of the Fund. The Fund Update covers two Fund holdings and is available on the AFM website under the Fund Profile. |
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Bennelong Kardinia Absolute Return Fund
11 Jun 2014 - Australian Fund Monitors
Bennelong Kardinia Absolute Return Fund returned 0.36% during May and 7.49% over the previous twelve months with a low volatility of 4.27%.
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11 Jun 2014 - Bennelong Kardinia Absolute Return Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund consists of a concentrated long/short portfolio typically comprising 20 to 50 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 | The Fund's net equity market exposure including derivatives was reduced to 29.5%(49.7% long and 20.2% short). The Bennelong Kardinia Absolute Return Fund rose 0.36% in May. Long positions in Oil Search, CSL and Ansell were the largest positive contributors, whilst short positions in Treasury Wine Estate and Share Price Index Futures (hedging long exposures) were the largest detractors. |
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Optimal Australia Absolute Trust
10 Jun 2014 - Australian Fund Monitors
Optimal Australia Absolute Trust returned 1.40% over May with the annual return 4.81% achieved with a volatility of 1.70%.
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10 Jun 2014 - Optimal Australia Absolute Trust
By: Australian Fund Monitors
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| Fund Overview | The Fund's bias is likely to be net long under normal market conditions, with the core strategy being to construct a portfolio of listed equity securities priced at levels that do not adequately reflect their underlying value. The Fund will seek to boost returns and limit potential market downside by selective short selling of individual stocks which are priced at levels that are viewed as materially above their underlying value. The Fund will also use certain trading strategies both within its core portfolio (through rebalancing stock weights and overall market exposure in response to price movements) and in certain other situations (typically of a shorter-duration and/or opportunistic nature) with the objective of further increasing returns. |
| Manager Comments | The Fund continues to hold net risk exposure at close to zero. From this point, it seems madness to try to replace fixed income or deposit coupon yield through equity securities at these extended valuations without some form of insurance in place. As for economic rebalancing in Australia away from mining, a study by UBS showed that since June 2012, 95% of all Australian credit growth has gone into property, and 76% of all business lending has gone into commercial property. This still strikes the Manager as a structurally challenged economy with a richly-valued stock market and currency, both driven by carry money. |
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Monash Absolute Investment Fund
6 Jun 2014 - Australian Fund Monitors
Monash Absolute Investment Fund returned -0.5% with an annual return of 25.56% with a volatility of 8.92%.
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6 Jun 2014 - Monash Absolute Investment Fund
By: Australian Fund Monitors
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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. The Manager's experience across value, growth and discounted cash flow styles allows them to use a comprehensive approach to investment decisions that applies all three. They also have the patience to seek out only compelling opportunities, rather than settling for relative value. The portfolio is somewhat concentrated, looking to diversify across industries and themes, rather than by trying to stay near an index. The portfolio may at times have a large amount of cash or other protection. However once investments are made turnover may be relatively high in order to lock in gains and avoid losses. |
| Manager Comments | The Sharpe ratio is high at 2.31 and the Up and Down capture ratios of 0.65 and -0.17 are sound. In May the fund was down -0.5% after fees against the backdrop of a small positive return by the Australian equity market. Risk controls continued to serve the Fund well, with the portfolio weathering poor news from four stocks. The portfolio return was also helped by a number of our stocks continuing to do very well. Net exposure was lower by the end of the month as the Fund continued to trim the weights of stocks that had risen strongly, and also exited stocks that were no longer compelling. |
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Bennelong Alpha 200 Fund
5 Jun 2014 - Australian Fund Monitors
Bennelong Alpha 200 Fund returned 1.49% during May bringing returns since inception in December 2013 to 2.89%.
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5 Jun 2014 - Bennelong Alpha 200 Fund
By: Australian Fund Monitors
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| Fund Overview | The core investment strategy of the Fund consists of the active selection of a series of paired long/short investments in Australian listed equities based upon the Investment Manager's fundamental research. The strategy seeks to capture stock Alpha whilst limiting portfolio exposure to market risk by adopting a dollar neutral portfolio market exposure position with the tactical capability to take net exposure of up to +/- 20% of gross assets. Stock selection is based on fundamental analysis to derive a view of a pair of individual stocks. The Investment Manager is style neutral in determining the stock's positioning. This primary 'pairs' strategy may be enhanced by other complementary strategies, including event driven, security and takeover arbitrage, thematic and momentum trading. The paired stock positions comprise long and short correlated securities that are in most cases simultaneously opened. A portfolio of approximately 30-100 stocks will be selected and actively managed in 15-50 pairs to comprise the core minimum (60%) of the Gross Asset Value. Up to a maximum of 40% of the portfolio's Gross Asset Value may be invested in uncorrelated securities and/or uncovered (long and/or short) positions. These 'satellite' positions are intended to enhance returns and to balance overall portfolio risk. In this regard, the Investment Manager recognises that it is not always possible to achieve a suitable paired profile within the S&P/ASX 200, and that a high conviction long or short stock idea might not always have a suitable pair. |
| Manager Comments | At month-end fund leverage was 2.6 times, long exposure was 51.4 and short exposure 48.6%. The Fund's exposure to ASX 100 stocks was 55.1%. Fund performance was satisfactory in a flat market. Post budget weak consumer sentiment, M&A and the weak iron ore price had limited influence on our performance. One of our short positions benefited from a downgrade. Financials and Materials contributed most of the months performance, Consumer Staples and Consumer Discretionary were minor negatives. |
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Fund Review: Morphic Global Opportunities Fund April 2014
2 Jun 2014 - Australian Fund Monitors
AFM's updated Fund Review for the Morphic Global Opportunities Fund for April 2014 has been released. The fund returned 0.75% during the month for an annual return to 21.73%.
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2 Jun 2014 - Fund Review: Morphic Global Opportunities Fund April 2014
By: Australian Fund Monitors
MORPHIC GLOBAL OPPORTUNITIES FUND
AFM has updated the 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.
- Portfolio construction is stock selection agnostic with a bias to value based and momentum strategies. Risk management is a primary consideration in portfolio construction and the strong emphasis on risk is evidenced by the Fund's since inception annualised standard deviation of 9.49% (9.91% ASX 200 Accum Index), maximum drawdown of 4.93% (6.72% Index) and downside deviation of 3.04 (5.36 Index).
- The Fund had a net exposure of 101% and a gross exposure of 153% at April month-end with a VAR of 1.17%.
- 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
Morphic Global Opportunities AFM Monthly Review April 2014 Fund Review: Optimal Australia Absolute Trust March 2014
30 May 2014 - Australian Fund Monitors
AFM's updated Fund Review for the Optimal Australia Absolute Trust for April 2014 has been released. The fund is characterised by very low risk with an annualised standard deviation 3.51% (Index 14.85%)and a Sharpe Ratio since inception of 1.74.
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30 May 2014 - Fund Review: Optimal Australia Absolute Trust March 2014
By: Australian Fund Monitors
OPTIMAL AUSTRALIA ABSOLUTE TRUST
Attached is our most recently updated Fund Review on the Optimal Australia Absolute Trust.
We would like to highlight the following:
- Optimal Australia is a specialist Australian equity investment manager and the Fund has a long/short equity strategy typically with a low but variable net market exposure comprising 40 to 65 stocks broadly selected from within the ASX200.
- The Fund returned 0.57% in April with an annual return of 4.62% and a very low standard deviation of 1.60% (ASX 200 Acc 10.48%).
- The Fund has recorded out-performance of the market since inception in September 2008 with approximately 84% of monthly performances having positive returns and the largest drawdown was -1.38% (Index -33.11%).
- The Fund has sound Sharpe and Sortino ratios at 1.74 and 5.08 since inception, as compared to the Index ratios of 0.20 and 0.18 respectively.
- The investment team comprising George Colman, Peter Whiting supported by Stephen Nicholls and Justin Hay have over 100 years combined experience in equity markets.
For further details on the Fund, please do not hesitate to contact us.
Research and Database Manager
Australian Fund Monitors
Avenir Value Fund
30 May 2014 - Australian Fund Monitors
Avenir Value Fund recorded a return of -2.08% during April with annual performance very strong at 40.16% with a volatility of 8.50%.
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30 May 2014 - Avenir Value Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund will invest in securities where Avenir believes the company is simply mis-priced and deeply undervalued and offers significant potential for revaluation. The Fund will also invest in companies that are subject to specific corporate events such as mergers, acquisitions, restructurings, recapitalisations, spin-offs, demergers, management change, distressed situations, and other sharply delineated corporate events. The Fund will also selectively invest in short positions in companies where Avenir believes the company is significantly overvalued or where the company's business model is broken or structurally challenged. |
| Manager Comments | Since inception (August 2011) the Fund's annualised return is 20.57% (ASX 200 Accum 13.34%). The Fund's Sharpe and Sortino ratio are sound at 1.44 (0.84) and 2.50 (1.21) respectively with 76% (70%) positive months. The Fund's largest geographic allocations are US 33%, cash 25% and other 20%. The top ten holdings are 56% of NAV. The Fund publishes a monthly report which is available on the AFM website under the Fund's profile. |
| More Information | » View detailed profile of this fund |
Pengana Australian Equities Market Neutral Fund
29 May 2014 - Australian Fund Monitors
Pengana Australian Equities Market Neutral Fund returned -1.20% during April with twelve month performance of 12.29% and volatility of 8.43% over that time.
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29 May 2014 - Pengana Australian Equities Market Neutral Fund
By: Australian Fund Monitors
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| Fund Overview | The manager's investment approach is premised on the belief that fundamental factors (such as earnings, cash flow and profit growth) affect stock prices, but that the adoption of quantitative techniques (i.e. computer based models) provides an advantage in assimilating and analysing this information, and building an efficient portfolio. The Fund's portfolio is constructed to be 'Market Neutral' i.e. it aims to have little or no overall exposure to movements in the equity market. The aim of low exposure to market movements is to enhance the consistency of the portfolio's performance and to provide diversification from other market oriented investments. |
| Manager Comments | Since inception (Sept 2008) the Fund has returned 9.43% pa with a volatility of 7.96% pa. ASX 200 Accum index comparatives are 5.81% and 14.85% respectively. The Fund's maximum draw-down is 13.47% as compared to the Index at 33.11%, reflecting the market neutral strategy. Since inception the Fund has a beta and correlation to the ASX 300 of 0.00. Quality was the only factor that provided a positive return over the month with Revisions, Value and Momentum factors under-performing. Falling market volatility combined with a compression in returns across 20 underlying alpha metrics provided little opportunity for broader factors to gain any real traction. Risk appetite continued to fall in April as lower risk yield stocks remained in favour, while value continued to be largely ignored with prices being driven up by the chase for quality. |
| More Information | » View detailed profile of this fund |
