NEWS
Optimal Australia Absolute Trust
16 Dec 2014 - Australian Fund Monitors
Optimal Australia Absolute Trust returned -0.53% against the ASC 200 Accum Index -3.25% in November with annual returns at 5.41%, with a volatility of 2.08%.
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16 Dec 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 recorded 83% positive months over the last year and a maximum draw-down of -0.71% as compared to the Index at -5.38%. The accelerating slide in energy prices was the big story of the month in the markets, and this dynamic also had a big influence on the Fund's return. Energy and materials stocks dominated our long return attribution of -1.91% on average long exposure of 48%. Similarly, energy and financials were the major source of gains in our short portfolio, with attribution of +1.37% on average short exposure of 31%. |
| More Information | » View detailed profile of this fund |
Bennelong Long Short Equity Fund November 2014
15 Dec 2014 - Australian Fund Monitors
The Bennelong Long Short Equity Fund returned 3.12% in November outperforming the ASX 200 Accum Index -3.25%. The fund has returned -6.76% over the previous 12 months with a volatility of 9.96%.
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15 Dec 2014 - Bennelong Long Short Equity Fund November 2014
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 | Long term performance remains sound with since inception (Jan 2003) returns at 17.12% pa (Index 7.99%) and a volatility of 11.94% (Index 12.91%). Sharpe and Sortino ratios are well ahead of the Index at 1.01 and 1.68 respectively. In November the fund performance stabilised with key pairs making solid contributions. Stock positions in Quantas and Challenger slightly offset these returns. At the industry level, Consumer Staples short, Health Care long and Consumer Discretionary short were outperformers whilst our Industrials long positions underperformed. We were relatively active during the month, taking advantage of price movements to adjust weightings in several pairs and we also introduced one new pair. |
| More Information | » View detailed profile of this fund |
The Paragon Fund
12 Dec 2014 - Australian Fund Monitors
The Paragon Fund returned -3.10% (ASX 200 Accum -3.25%) during November with annual returns at 16.72% (Index 4.30%) with a volatility 15.11% (Index 10.84%).
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12 Dec 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 | Key drivers of the Paragon Fund performance for November included solid returns from long positions in Qantas and Henderson Group and short positions in Woodside and Computershare, offset by falls in G8 Education, TFS Corp, Donaco and our resource holdings generally. At the end of November the fund had 29 long positions and 10 short positions. |
| More Information | » View detailed profile of this fund |
Bennelong Kardinia Absolute Return Fund
11 Dec 2014 - Australian Fund Monitors
Bennelong Kardinia Absolute Return Fund returned 1.31% during November and 5.33% over the previous 12 months with a volatility of 4.08%.
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11 Dec 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 November, short positions in Share Price Index Futures contracts (hedging market risk), National Australia Bank and UGL as well as long positions in Amcor and Dulux were the major positive contributors to performance. Qube Holdings, Oil Search, Simonds Group and Challenger were the largest detractors from performance. Equity market exposure was actively managed throughout the month with a month-end net (including derivatives) of 58.1% (66.5% long and 8.3% short). |
| More Information | » View detailed profile of this fund |
Morphic Global Opportunities Fund
10 Dec 2014 - Australian Fund Monitors
Morphic Global Opportunities Fund returned 5.24% in November bringing the annual return to 15.35% with a volatility of 8.85%.
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10 Dec 2014 - Morphic Global Opportunities Fund
By: Australian Fund Monitors
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| Manager Comments | The Fund's since inception (Aug 2012) Sharpe and Sortino ratios are 2.47 and 7.95 with 79% positive months. The Fund's largest gains came from two US Gaming Equipment stocks which were under takeover. All three stocks in the UK water utilities basket also did well. The Fund's US bank basket also made a modest contribution, as did a new basket of Japanese car makers comprising Mazda and Mitsubishi Motors, identified for their own strengths and their improved prospects under a weaker yen regime. The Fund closed the month fully invested and remains positioned for a continuing bull market, with an increased exposure to China, the main change over the month from a top down perspective. All currency hedges had been cut at month end, and the Fund had positioned itself for interest rates to fall in Australia, but rise in the US. |
| More Information | » View detailed profile of this fund |
Monash Absolute Investment Fund
9 Dec 2014 - Australian Fund Monitors
Monash Absolute Investment Fund returned -1.30% during November with the annual return 4.08% and a volatility of 8.14%.
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9 Dec 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 Manager notes that while November was a poor result, it was significantly better than the market which deteriorated badly towards the end of the month. We were helped by not owning resources and by shorting a couple of mining services stocks. The portfolio was very active during November, as we closed/opened Event Driven opportunities and added to some of our Outlook Driven stocks in weakness. The most significant trade of the month was exiting Technology One, one of our Outlook Driven stocks, which had gone up 113% over the 20 months that we owned it. |
| More Information | » View detailed profile of this fund |
Bennelong Alpha 200 Fund
8 Dec 2014 - Australian Fund Monitors
Bennelong Alpha 200 Fund returned 5.08% during November bringing since inception returns to 2.79%.
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8 Dec 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 proļ¬le 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 was levered 2.5 times at month-end exposures were 52.5% long and 47.5% short. Ex-ASX 100 exposure was 36.9%. Both the long and the short book generated a positive return during the month, with the short book performance exceeding the long book in absolute terms. Returns were positive across all sectors except Financials and Telcos - which were minor negatives. At a pair level the winners were spread broadly across a dozen pairs. |
| More Information | » View detailed profile of this fund |
Supervised High Yield Fund
5 Dec 2014 - Australian Fund Monitors
Supervised High Yield Fund returned 0.41% during October and 6.50% over the prior 12 months with a volatility of 0.74%.
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5 Dec 2014 - Supervised High Yield Fund
By: Australian Fund Monitors
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| Fund Overview | The fund will invest in all forms of marketable floating and fixed income debt securities, such as asset backed debt securities, residential mortgage backed securities, corporate debt, regional and sovereign debt securities, debt/equity hybrid securities, equities and currencies. All these investments will be either listed or traded in a market where prices can be independently verified. The fund may also invest in interest rate swaps, options over authorised investments and exchange traded futures contracts. All these will be either listed or traded in a market where they can be independently valued. |
| Manager Comments | The Fund had 100% positive months over the last year and 99% positive months since inception in April 2009 with the Sharpe ratio notable at 5.17 for the year and 3.13 since inception. The Fund's quarterly report is available on the AFM website. |
| More Information | » View detailed profile of this fund |
Fund Review: Bennelong Long Short Fund AFM Fund Review October 2014
4 Dec 2014 - Australian Fund Monitors
The Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large cap stocks from the ASX/S&P100 Index and has produced an annualised return of 16.96% against the broader ASX200 Accumulation...
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4 Dec 2014 - Fund Review: Bennelong Long Short Fund AFM Fund Review October 2014
By: Australian Fund Monitors
BENNELONG LONG SHORT EQUITY FUND
Attached is our most recently updated Fund Review on the Bennelong Long Short Equity 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.
- The Fund is a research driven, market and sector neutral, "pairs" trading strategy investing primarily in large cap stocks from the ASX/S&P100 Index, and has produced an annualised return of 16.96% against the broader ASX200 Accumulation return of 8.33%.
- The consistent returns across the investment history indicates the Fund's ability to provide positive returns in volatile and negative markets and significantly outperform the broader market.
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Fund performance was muted for the month as the market drifted without any strong thematic and investors were subject to merger and acquisition activity/speculation, yield/defensive buying and stock specific issues. Our assessment is that the April factors that negatively impacted fund returns, which were of a more global nature, were persisting early in the period but since have abated. Fund activity was limited in May as our view of market fundamentals have not really changed.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research and Database Manager
Australian Fund Monitors
Fund Review: Alpha Beta Asian Fund AFM Fund Review October 2014
3 Dec 2014 - Australian Fund Monitors
Alpha Beta Asian Fund, an Asian Quantitative Fund, returned 5.21% over the 12 months to end-October 2014 with a volatility of 5.20%. The Fund CPD Points available for reading the review.
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3 Dec 2014 - Fund Review: Alpha Beta Asian Fund AFM Fund Review October 2014
By: Australian Fund Monitors
Alpha Beta Asian Fund AFM Fund Review Oct 2014 (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 Review Oct 2014 (pdf format)
