NEWS
Auscap Long Short Australian Equities Fund
19 Jun 2014 - Australian Fund Monitors
Auscap Long Short Australian Equities Fund returned a 3.82%, a sound return in choppy market, with the full year return 55.82%.
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19 Jun 2014 - Auscap Long Short Australian Equities Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund focuses on fundamental long and short investments. The Fund may utilise a multi-strategy approach if short term opportunities to increase returns, hedge the portfolio, protect capital or minimise volatility are found. The Fund is a high conviction fund and the combined portfolio will typically have 25-45 positions, investing primarily in stocks in the ASX200. The Fund may be net long, short or neutral depending on the strategies employed at the time. The Fund may hold cash so that it is in a position to take advantage of market volatility and compelling investment opportunities as and when they arise. The Fund may be geared up to 200% gross long or short and up to 150% net long or short. |
| Manager Comments | The Sharpe ratio was notable at 5.50 and the Fund has no negative months in the year to May. Up and Down capture ratios were 1.55 and -1.98 respectively. Average gross capital employed by the Fund was 117.4% long and 43.5% short. Average net exposure over the month was +74.0%. At the end of the month the Fund had 35 long positions and 10 short positions. The Manager's Newsletter is entitled Avoiding The Double Whammy ā" Why We Prefer Value To Growth' and is available on the AFM website. |
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Aurora Fortitude Absolute Return Fund
18 Jun 2014 - Australian Fund Monitors
Aurora Fortitude Absolute Return Fund returned 0.19% during May for an annual return of 5.34% with a volatility of 1.00%.
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18 Jun 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 | Since inception in March 2005 the Fund has returned 7.94% (Index 7.65%) with a volatility of 2.70% (Index 13.98%). The Sharpe ratio over this time was 1.19 compared to 0.27. Aurora Oil and Gas was the stand-out in the Merger & Acquisition strategy (+0.145%) with yield (+0.196%) again the best performing strategy for the month. The Protective Option Overlay was again a draw-down on performance (-0.30%). The lack of volatility in global markets has been a major discussion point in the financial press with the continuation of easy monetary policy and low interest rates being seen as the major factors contributing to this ongoing phenomenon. One of the benefits of the option strategy is that it allows us to trade some riskier positions in larger size, and this was reflected in more positive returns in our Long/Short Portfolio (+0.13%). |
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Microequities Deep Value Microcap Fund
17 Jun 2014 - Australian Fund Monitors
Microequities Deep Value Microcap Fund returned -0.46% in May with the 12 month return a robust 28.56%.
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17 Jun 2014 - Microequities Deep Value Microcap Fund
By: Australian Fund Monitors
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| Fund Overview | The objective of the Fund is to identify undervalued Microcap companies, invest in them and, through a medium to long term commitment, attempt to deliver superior investment returns. The Fund invests primarily in ASX listed Microcap companies, which at the time of initial investment are generally below a market capitalisation of A$250 million. The Fund may also invest in companies with a higher market capitalisation, but these will be limited to no more than 20% of the assets of the Fund. At times the Fund may invest in pre-IPO securities that are due to be listed on the ASX within 3-6 months, and have lodged a prospectus with ASIC. These investments will also be limited to no more than 10% of the assets of the Fund. The Fund will be limited to investing no more than 20% of the Fund's assets in any one security or company. The Fund will make investments with a medium to long term time horizon of between 3-5+ years. The Fund will not speculate in derivatives. It will be permitted to hold other securities that are directly associated with a particular investment such as options granted with a specific company issue etc. The Fund will not engage in short selling or stock lending. The Fund will not hold financial debt of any kind. |
| Manager Comments | Since inception (March 2009) the fund has returned an annualised 29.82% (Index 14.89) with a volatility of 15.09% (Index 12.63%). The Sharpe ratio is 1.58 and the Up and Down Capture ratios 1.18 and 0.25 respectively. Notable given the Fund's investment in microcaps is the Fund's average negative return of -2.22 (index -3.00%) and maximum draw-down of 10.86% (Index 15.13%). The month saw no changes to our Fund's constituents. We continued to accumulate the top 5 positions which now make up approximately 40% of the Fund's asset value. These top 5 business partnerships represent our best investments within the context of a risk/reward relationship. |
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Totus Alpha Fund
16 Jun 2014 - Australian Fund Monitors
Totus Alpha Fund had a sound month returning 3.99% during May and 42.05% over the previous twelve months.
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16 Jun 2014 - Totus Alpha Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund is a long/short investment fund principally investing in listed entities, commodities, futures and options in Australia and internationally. The Fund is not a market neutral fund and accordingly may switch between net long positions and net short positions. The Fund may use short sales and derivatives. Gearing may be used to enhance returns and the Fund may be geared in excess of 100% of the Fund's Net Asset Value. There is a limit to net exposure of 150%. |
| Manager Comments | At month-end the Fund had net exposure of 50% and a gross exposure of 217% with 112 positions. From an absolute return point of view the last 6 months has been challenging. Many of the optimistic scenarios being touted at the end of 2013 have failed to eventuate and the many of the companies we have had contact with recently are finding things tough (just this week we have seen profit warnings from TRS, PBG and FLT to name a few). |
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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 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 | 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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