NEWS
Optimal Australia Absolute Trust
20 Apr 2015 - Australian Fund Monitors
Optimal Australia Absolute Trust reported a net positive return in March of 0.98%, compared to the flat ASX200 Accumulation Index (-0.09%).
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20 Apr 2015 - 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 had a gross exposure of 83.80% and net exposure of -7.0%. The Fund maintained net short risk settings through the month, but the Fund's return was generated entirely by their long positions, with net attribution of 1.4% on average long exposure of 36% of NAV. The long positions included a number of solid performers,as well as small positions in two stocks which were subject to takeover offers, in iiNet and PanAust. In both cases, strategic buyers appear to see value in areas that the equity market does not. Click below to read the latest Fund Manager's review of the Fund and the Market. |
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Bennelong Long Short Equity Fund
17 Apr 2015 - Australian Fund Monitors
The Bennelong Long Short Equity Fund had a strong performance in March with a return of 3.59%.
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17 Apr 2015 - Bennelong Long Short Equity Fund
By: Australian Fund Monitors
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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 | The portfolio's 21 of their 31 pairs posted a profit. The Fund's strongest positive contributors were from three separate sectors: Retail (long Harvey Norman +0.1% / short Myer -23.2%), Financials (long Henderson +9.3% / short AMP -1.9%) and Gaming (long Aristocrat +13.3% / short Tabcorp +5.7%). On the negative side, the largest setback was in Healthcare (long Ramsay +1.7% / short Primary +18.6%) and in Gaming (long Crown -11.4% / short Sky City +7.5%). The Fund Manager's outlook for the equity markets is little changed since last writing that equities will likely remain well bid in the current environment of loose policy settings. However caution that risks have risen given valuation multiples are becoming demanding by historical standards and given US interest rates will likely rise sometime this year. Click below to read the complete Fund Monthly commentary. |
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Laminar Credit Opportunities Fund
16 Apr 2015 - Australian Fund Monitors
In March, the Laminar Credit Opportunities Fund returned 0.54%, bringing its annual performance since inception to 19.33%.
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16 Apr 2015 - 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 | Notwithstanding the RBA decision not to follow their February 25bps interest rate cut in March, we believe a further reduction is forthcoming. While another interest rate cut will reduce the Fund's running yield, owing to a lower reference rate (BBSW), the corollary is likely to be a broad based 'hunt' for yield, with the exiting of term deposits into risky assets. The Fund is likely to be beneficiary of this rotation with the trading margin on its securities likely to compress, leading to a higher price. Click on the link below to read the latest Fund Manager's Report. |
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QATO Capital Market Neutral Long/Short Fund
16 Apr 2015 - Australian Fund Monitors
QATO Capital Market Neutral Long/Short Fund rose 3.12% in March bringing performance for the last 6 months to 25.16%
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16 Apr 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 | The Fund's long and short exposures continued to generate alpha from a diverse range of sectors. The Fund average monthly long exposure was 92.80% and short exposure -84.3% to give 8.5% net monthly exposure. Alpha in long positions was generated in the telecom, transportation, financial, industrial, healthcare and gaming sectors. Whereas the alpha from short positions was generated in the gaming, mining & mining services, energy and industrial sectors. In March, the Qato Capital's Q-score process and risk management techniques systematically invested in the best performing S&P/ASX-100 position for the month and was short the worst performing position for the month. The Q-Score was also short 7 of the worst 10 performing positions in this Index. 20 of the Fund's positions were profitable for the month. Click the Manager's Report to read the complete review |
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Fund Review: Alpha Beta Asian Fund Review February 2015
15 Apr 2015 - Australian Fund Monitors
February Fund Review for Alpha Beta Asian Fund, an Asian Quantitative Fund, is now available. Get CPD Points for reading the review.
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15 Apr 2015 - Fund Review: Alpha Beta Asian Fund Review February 2015
By: Australian Fund Monitors
Alpha Beta Asian Fund AFM Fund Report Feb 2015 (pdf format)
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
Alpha Beta Asian Fund AFM Fund Report Feb 2015 (pdf format)
Fund Review: Supervised High Yield Fund February 2015
14 Apr 2015 - Australian Fund Monitors
Fund review on Supervised High Yield Fund, a fixed income fund, is now available. Also get CPD Points for reading the review.
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14 Apr 2015 - Fund Review: Supervised High Yield Fund February 2015
By: Australian Fund Monitors
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
Monash Absolute Investment Fund
13 Apr 2015 - Australian Fund Monitors
Monash Absolute Investment Fund rose 1.1% after fees in March, while the Australian Equity Market fell slightly -0.09%.
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13 Apr 2015 - 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 Manager's month-end exposure was net 79%, gross 10%,VAR 1.0%, with a beta of 0.53 for the portfolio. Over the last few months, as the market has risen, the Fund has been building their short positions. Some of the highs for the month came from strong gains in Netcomm Wireless (NTC) and from the Product Launch Companies. The biggest driver in the listed group of product launch companies was Catapult. However Greencross (GXL) and G8 Education were negative contributors to the Fund's performance. Read the Fund Manager's Monthly Commentary, now available on the Australian Fund Monitors website. |
| More Information | » View detailed profile of this fund |
Alpha Beta Asian Fund
10 Apr 2015 - Australian Fund Monitors
Alpha Beta Asian Fund rose 0.45% to bring the Fund's return since inception to 21.40%.
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10 Apr 2015 - 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 Fund's February's performance was driven by strong contributions from the statistical arbitrage models as well as significant loss aversion from the order pad checks, which were balanced by relatively weak performance on the quantamental side across multiple factors. At month-end the Fund had a gross exposure of 289% and a net exposure of -2% across 518 positions. Most of the contribution for the month came from the Taiwan and Japan positions at 0.48% and 0.39% respectively. However Australia and Korea positions were negative contributors at -0.57% and -0.25% respectively. In addition, the Fund is making ongoing operational efforts to setup the Cayman vehicle and Hong Kong licensing. |
| More Information | » View detailed profile of this fund |
Supervised High Yield Fund
9 Apr 2015 - Australian Fund Monitors
Supervised High Yield Fund rose 0.38% in February to bring the Fund's annual return since inception to 10.30%. In the same time frame the RBA Cash Rate returned 3.50%.
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9 Apr 2015 - Supervised High Yield Fund
By: Australian Fund Monitors
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| Fund Overview | The fund may also invest in interest rate swaps, options over authorized investments and exchange traded futures contracts. All these will be either listed or traded in a market where they can be independently valued. Fundamental to the investment procedure is the tenet that no debt security will qualify for investment unless it can repay 100% of its principal and interest in a worst case economic scenario. |
| Manager Comments | More than half of the portfolio's composition was in Residential Mortgage-Backed Securities (RMBS) at 54.00%. The rest of the portfolio was divided in the following sectors: Corporate Loan Services (27.00%), Cash (15.00%) and Hedges (4.00%). The Sharpe ratio for the Fund was 3.09 with only 1 negative month since inception in 2009. |
| More Information | » View detailed profile of this fund |
Fund Review: Insync Global Titans Fund February 2015
9 Apr 2015 - Australian Fund Monitors
The Fund's unit price in February increased by 4.90%. Read February Fund Review and get CPD points.
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9 Apr 2015 - Fund Review: Insync Global Titans Fund February 2015
By: Australian Fund Monitors
INSYNC GLOBAL TITANS FUND
Attached is our most recently updated Fund Review on the Insync Global Titans 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:
- The Fund's unit price increased by 4.90% in February. The performance was driven by positive contributions from our holdings in Nestle, Reckitt Benckiser, Experian and Sanofi as well as the weaker Australian dollar. The main negative contributors were Time Warner Cable, Microsoft and Discover Financial Services. 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.
- The Global Titans Fund invests in a concentrated portfolio of 15-30 stocks, targeting exceptional, large cap global companies with a strong focus on dividend growth and downside protection.
- Portfolio selection is driven by a core strategy of investing in companies with sustainable growth in dividends, high returns on capital, positive free cash flows and strong balance sheets.
- Emphasis on limiting downside risk is through extensive company research, the ability to hold cash and long protective index put options.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research Manager
Australian Fund Monitors
