NEWS
Fund Review: Bennelong Alpha 200 Fund Dec 2014
21 Jan 2015 - 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 -0.13% in October and 2.26% since...
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21 Jan 2015 - Fund Review: Bennelong Alpha 200 Fund Dec 2014
By: Australian Fund Monitors
Bennelong Alpha 200 Fund Fund Review - December 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.
- 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 Fund Review - December 2014 (pdf format)
Optimal Australia Absolute Trust
21 Jan 2015 - Australian Fund Monitors
Optimal Australia Absolute Trust returned -1.53% in December, resulting in a 2014 annual return of 3.24% (ASX200 Accum Index 5.61%) and volatility of 2.80% (Index 10.95%).
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21 Jan 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 | Two key macro factors took the fund's return down, being the surprising collapse in energy prices and unprecedented decline in bond yields. Extreme volatility in the energy sector continued in December, and led to some contagion in the wider commodity complex. Specifically, a broad range of positive long positions were overwhelmed by losses from small exposure to energy and metals. Elsewhere, the fund realised solid gains in a number of non-bank financials, but hedging these against banks proved too costly, despite the implications of the Murray report for bank sector capital and forward ROE being essentially negative. |
| More Information | » View detailed profile of this fund |
Aurora Fortitude Absolute Return Fund
20 Jan 2015 - Australian Fund Monitors
Aurora Fortitude Absolute Return Fund returned -0.74% during December, bringing 2014 annual return to 0.71% (ASX200 Total Return 5.61%) with a volatility of 1.23% (Index 10.95%).
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20 Jan 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 | The month's performance was again strongly dictated through Long/Short trading (-1.26%) largely caused by the collapse of a planned asset sale by Stonewall Resources. The Initial Public Offer (IPO) of Australian Careers Network was also a drawdown within the Long/Short strategy as the market became more cautious of vocational education and training businesses after a competitor had a major downgrade. As part of the ongoing risk management process, the Manager has continued to unwind some of the smaller, less liquid positions where price and time stop losses have been triggered. Mergers and Acquisitions was the most profitable strategy for the month (+0.25%). The Option overlay was profitable (+0.19%) due to increasing levels of volatility. The strong moves in industrial names provided positive returns from Wesfarmers, Westpac, Stockland and Macquarie Group. Rio Tinto and Newcrest were the best of the resources positions against some under-performance from Woodside Petroleum Ltd and BHP Biliton. |
| More Information | » View detailed profile of this fund |
Monash Absolute Investment Fund
19 Jan 2015 - Australian Fund Monitors
Monash Absolute Investment Fund returned 0.80% during December bringing the 2014 return to 5.40% (ASX 200 Accum 5.61%) and a volatility of 8.10% (Index 10.95%).
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19 Jan 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 notes that the portfolio has been close to flat over the last 6 months, however the stocks continue to operate very well with the expectation that strong performance will be reflected in the share prices soon enough. For example, Lend Lease (EML) rose 7.0% in December. Despite its share price run over the year, it is only on a P/E of 13.4x for FY16. With almost half of its earnings coming from overseas it is a beneficiary of the Australian Dollar fall. Nonetheless, Yowie Group (YOW) fell 13.5% this month, although the Manager notes that the company's products have had a great deal of interest by US retailers due to a lack of market competition. NetComm Wireless (NTC) also fell 14.3%. |
| More Information | » View detailed profile of this fund |
Bennelong Alpha 200 Fund
16 Jan 2015 - Australian Fund Monitors
Bennelong Alpha 200 Fund returned -0.13% during December, bringing returns to 2.26% over 2014 (ASX Accum Index 5.61%).
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16 Jan 2015 - 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 | The fund delivered a flat result in a volatile December. At a sector level Energy, Consumer Staples and Industrials performed quite strongly with weakness in Consumer Discretionary, Healthcare and Materials. The month featured several trading updates which aided the Consumer Staples pair but was harmful to one of the portfolio's Retail exposures. Kathmandu provided an earning downgrade due to weak conditions in its Australian business resulting in slowing like-for-like sales growth and margin reduction. The falling oil price aided our overall Energy exposure. |
| More Information | » View detailed profile of this fund |
Morphic Global Opportunities Fund
15 Jan 2015 - Australian Fund Monitors
Morphic Global Opportunities Fund returned 2.62% in December bringing the annual return to 13.99% (Global Equity Index 12.57%) with a volatility of 7.75%.
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15 Jan 2015 - Morphic Global Opportunities Fund
By: Australian Fund Monitors
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| Manager Comments | December saw a continuation of positive returns for the Fund. Continued falls in oil and other commodity prices were a major theme for the month, rewarding the Fund's overweight positioning in commodity consuming emerging markets China and India, and its underweight stance in commodity producing bourses like Russia, Indonesia, and Brazil. The Fund's underweight position in Australia and the Australian dollar also helped. The Fund closed the month fully invested, with the main features being overweight positions in China and India against the rest of the emerging market complex. There were no currency and minimal interest rate hedges at month end. |
| More Information | » View detailed profile of this fund |
Bennelong Kardinia Absolute Return Fund
15 Jan 2015 - Australian Fund Monitors
Bennelong Kardinia Absolute Return Fund returned 1.53% during December, bringing 2014 performance to 5.77% (ASX 200 Acc 5.61%) with volatility at 4.17% (Index 10.95%).
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15 Jan 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 | Long positions in SurfStitch, Amcor and BXB were the major positive contributors to performance, whilst a short positon in Share Price Index Futures (hedging long positions) and long positions in Australian Careers Network and Asaleo Care were the largest detractors. Equity market exposure was actively managed throughout the month with a month-end net (including derivatives) of 69.9% (83.7% long and 13.9% short). |
| More Information | » View detailed profile of this fund |
Insync Global Titans Fund
19 Dec 2014 - Australian Fund Monitors
In a difficult month for equities the Insync Global Titans Fund returned 5.67%, bringing 12 month returns 12.88% with volatility 8.87%.
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19 Dec 2014 - Insync Global Titans Fund
By: Australian Fund Monitors
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| Manager Comments | The performance was driven by positive contributions from our holdings in Medtronic, Oracle, Sanofi, BAT and Sky as well as the weaker Australian dollar. The Fund continues to hedge its investments with the portfolio protection strategies currently employed and to also have no foreign currency hedging in place as we believe the risks to the Australian dollar are likely to be on the downside. Insync's philosophy is to invest in the more predictable growth companies and to include dynamic downside protection strategies. During previous periods of significant market falls and heightened volatility the fund has delivered positive absolute returns from, employing its downside protection strategies. The fund looks for exceptional businesses with high ROIC, strong free cash flow, solid balance sheets and a long track record of returning cash to shareholders through growing dividends and/or share buy-backs. |
| More Information | » View detailed profile of this fund |
Alpha Beta Asian Fund
19 Dec 2014 - Australian Fund Monitors
Alpha Beta Asian Fund returned 2.10% during November with annual performance of 6.18% with a volatility of 4.31%.
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19 Dec 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 63% positive months since inception and a maximum draw-down of 2.90%. Fund beta is 0.09 mapped to the MSCI AC Asia Pacific Index (MXAP) with a correlation of 0.17 to the same Index. The Fund generated a return of +2.10% during November, with the strongest performance coming from our Quantamental models, in particular in Hong Kong (a contribution of +1.5%) and two of our new markets, Taiwan (+0.7%) and Malaysia (+0.3%). It seems that our recent addition of these markets has already borne fruit. |
| More Information | » View detailed profile of this fund |
Aurora Fortitude Absolute Return Fund
18 Dec 2014 - Australian Fund Monitors
Aurora Fortitude Absolute Return Fund returned 0.38% during November and 2.22% for the previous 12 months with a volatility of 1.07%.
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18 Dec 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 | In November the fund's Option Strategy contributed significantly at 1.22%. Whilst the commodity names grabbed the headlines, positive contributions were also made concomitantly across the industrial sector, with the adjustment in the retail sector being the major factor. Following a disappointing sales update Woolworths Limited (WOW.ASX) fell 13.56%. Their major competitor Wesfarmers Limited (WES.ASX) fell a more modest 6.12%. The Fund was able to generate positive returns in both names. Other significant contributors were Woodside Petroleum (WPL.ASX), BHP Billiton (BHP.ASX) and Westpac Banking Corporation (WBC.ASX). The Long/Short trading was the most significant drawdown during the month (-0.77%). There was too much exposure to small capitalisation resources companies, which were generally entered int with the view to exiting post an 'event or catalyst' in a relatively short time period. However, the extent of market sell off and the lack of liquidity in these names has caused us to implement exit strategies for the bulk of these position and reassessing our approach in this space. |
| More Information | » View detailed profile of this fund |
