NEWS
Fund Review: Monash Absolute Investment Fund August 2014
23 Sep 2014 - Australian Fund Monitors
Monash Absolute Investment Fund returned 2.30% in August. The Fund's investment strategy is best described as long biased, equity long-short, with a strong focus on absolute returns rather than relative to an index or the market.
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23 Sep 2014 - Fund Review: Monash Absolute Investment Fund August 2014
By: Australian Fund Monitors
Monash Absolute Investment Fund Review August (pdf format)
MONASH ABSOLUTE INVESTMENT FUND
Attached is our most recently updated Fund Review. You are also able to view the Fund's Profile
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 is a research driven, active equity long/short strategy investing in listed ASX companies.
- 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.
For further details on the Fund, please do not hesitate to contact us.
Sean Webster
Research Manager
Monash Absolute Investment Fund Review August (pdf format)
Laminar Credit Opportunities Fund
23 Sep 2014 - Australian Fund Monitors
During August the Laminar Credit Opportunities Fund returned 0.53% for a 12 month return of 9.64% (RBA Cash Rate average 2.50%) with a volatility of 0.59%.
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23 Sep 2014 - 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 | Volatility returned to the markets in August caused by the Ukraine crisis. On the equity side the ASX fell almost 4% from the start of the month, although it did recover to be marginally up 0.3% for the month. Investment grade credit spreads performed better than equities. The Australian iTraxx index widened to 90 basis points within the first week of August before ending the month at 80 basis points, a 7 basis point tightening. |
| More Information | » View detailed profile of this fund |
KIS Asia Long Short Fund
22 Sep 2014 - Australian Fund Monitors
KIS Asia Long Short Fund returned -0.1% during August and 9.57% over the prior twelve months with a low volatility of 2.65%.
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22 Sep 2014 - KIS Asia Long Short Fund
By: Australian Fund Monitors
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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 | The Sharpe ratio is 2.54 and the Up and Down capture ratios 0.25 and -0.70 respectively. Data is for the last 12 months. Since inception in October 2009 the Sharpe ratio is 2.15, the Sortino ratio of 4.92 with the Fund recording 78% positive months. Long Short: This portfolio lost 20bp. The portfolio as a whole suffered on the short side. The Fund increased its gross book exposures over the month and the short side suffered as the equity markets rallied and ran an average net short exposure of -9% and this suffered as the market rallied in later part of August. The Arbitrage Portfolio Hedge, Convertible Bonds and Special Situations did not make significant contributions over the month. |
| More Information | » View detailed profile of this fund |
Alpha Beta Asian Fund
19 Sep 2014 - Australian Fund Monitors
Alpha Beta Asian Fund returned 0.90% during August and 10.62% over the prior 12 months with a volatility of 4.18%.
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19 Sep 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 | At month-end the Fund had a net exposure of 15% and a gross exposure of 175% and held 401 positions. From an attribution perspective, the Hong Kong Directional (+0.77%) and Australian Directional (0.62%) strategies were strongly positive. The Japanese Mean Reversion (-0.66%) strategy was the largest detractor. From a regional perspective both Australian (+0.76%) and Hong Kong (+0.69%) books performed well. The market neutral behaviour of ABAF is confirmed by the low mapped Beta (+0.08) and low correlation to the Asian equity markets (+0.15). |
| More Information | » View detailed profile of this fund |
Cor Capital Fund
18 Sep 2014 - Australian Fund Monitors
Cor Capital Fund "The Cor Capital Fund returned 0.10 % during August bringing 12 month performance to 1.93 percent with a volatility of 3.62%.
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18 Sep 2014 - Cor Capital Fund
By: Australian Fund Monitors
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| Fund Overview | The Cor Capital Fund is a Multi- Asset Fund which combines a pre-determined strategic asset allocation with active but systemised rebalancing to generate returns and manage volatility whilst maintaining transparency and liquidity. The Fund strategy is not reliant on accurate market predictions, forecasts or timing for success. Returns are generated in a number of ways; 1) by maintaining sufficiently large positions in a diverse group of asset classes, 2) via the 'volatility harvesting' consequences of active rebalancing, and 3) from the offsetting behaviour of certain asset classes under specific conditions. The combined portfolio is expected to exhibit relatively low volatility and low turnover. In the interests of avoiding complexity, maintaining liquidity, and minimising reliance on third parties, the Fund strategy does not employ gearing, derivatives or short-selling. |
| Manager Comments | The main return contribution for August came following another strong month for fixed interest (+0.22%). Equities (+0.09%) and cash (+0.06%) also made positive contributions and precious metals (-0.27%) subtracted from returns. There were no changes to the Fund portfolio during the month as there were no breaches of the Fund's defined asset class limits. |
| More Information | » View detailed profile of this fund |
Aurora Fortitude Absolute Return Fund
16 Sep 2014 - Australian Fund Monitors
Aurora Fortitude Absolute Return Fund returned 0.30% during August and 3.56% over the previous 12 months with a very low volatility of 0.96%.
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16 Sep 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 | Reserve Bank Governor, Glenn Stevens, commented during the month that "Volatility in many financial prices is currently unusually low" and this seems to heavily discount any possibility of interest rate rises or "other unforeseen event". This is a thematic that we have commented on a number of times in recent months as we strive to hedge our portfolio consistently using a strategy that relies on a degree of volatility and market uncertainty. We believe that it is the most appropriate strategy for the portfolio over the investment cycle, but particularly in the current environment where, as Governor Stevens highlights, a large portion of investors seem to be comfortable with current risk levels. The Fund returned +0.30%, and as is often the case during reporting season Options Protection delivered the bulk of these returns (0.32%). The most significant contributor was Suncorp Group which surprised the market with a "special dividend" on top of increasing its ordinary dividend payment. Conversely the Fund also benefited from the severe negative reaction to the BHP Limited announcement that it would spin off its mineral diversion but not conduct a buyback or pay a special dividend. |
| More Information | » View detailed profile of this fund |
Fund Review: Bennelong Alpha 200 Fund August 2014
12 Sep 2014 - 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.
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12 Sep 2014 - Fund Review: Bennelong Alpha 200 Fund August 2014
By: Australian Fund Monitors
Bennelong Alpha 200 Fund Review August 2014 (pdf format)
BENNELONG ALPHA 200 FUND
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 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.
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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 Review August 2014 (pdf format)
The Paragon Fund
12 Sep 2014 - Australian Fund Monitors
The Paragon Fund returned -1.1% during August and 39.83% for the prior twelve months with a volatility of 13.91%.
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12 Sep 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 Fund has a 12 month Sharpe ratio of 2.33 (Index 1.40) and Sortino ratio of 7.01 (2.79) with Up and Down Capture ratios of 1.46 and -1.16 respectively. At month-end the Fund was 81.7% long, 10.1% short and held 28.4% cash. Key drivers of the Paragon Fund performance for August included strong returns from Orocobre, Orora, G8 Education and our short position in JB Hi-Fi, offset by falls in our resource holdings, and Xero. At the end of August the fund had 21 long positions and 7 short positions. |
| More Information | » View detailed profile of this fund |
Optimal Australia Absolute Trust
11 Sep 2014 - Australian Fund Monitors
Optimal Australia Absolute Trust returned 0.06% during August and 6.29% for the prior 12 months with a very low volatility of 1.71%.
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11 Sep 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 a Sharpe ratio of 2.14 (Index 1.40) and Sortino ratio of 4.80 (Index 2.79) and had 92% positive months over the last 12 months. Up and Down Capture ratios are 0.26 and -0.12. The Fund increased its net short exposure to equities through the month, driven less by fear of an imminent market correction than a sense that the relative-value argument for equities is getting very long in the tooth; while at current prices, we continue to find more stocks we want to short than own. The key challenge remains the cost of hedge protection. Our stock shorts were a net detraction from our performance, as these included a fair representation from the defensive/yield category. One effect of financial repression and the corresponding over-reach for yield and coupon income been to shift many of these stocks even further away from defensible wider valuation metrics. Our short index futures position was similarly ineffective this month, as the discount to the cash market narrowed sharply due to the ex-dividend effect. |
| More Information | » View detailed profile of this fund |
Bennelong Kardinia Absolute Return Fund
10 Sep 2014 - Australian Fund Monitors
Bennelong Kardinia Absolute Return Fund returned 0.56% during August bringing 12 month performance to 6.60% with a volatility of 4.27%.
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10 Sep 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 | The domestic reporting season saw earnings generally in line with expectations. Dividend growth exceeded earnings growth as companies increased payout ratios. Net equity market exposure (including derivatives) averaged around 55% during the month, but was reduced to 36% at month end (65.2% long and 29.1% short) in anticipation of some seasonal weakness in September. |
| More Information | » View detailed profile of this fund |
