Performance Report: Bennelong Kardinia Absolute Return Fund

27 Apr 2018 - Australian Fund Monitors

The Bennelong Kardinia Absolute Return Fund returned -1.9% in March, outperforming the ASX200 Accumulation Index by +1.87%.

27 Apr 2018 - Performance Report: Bennelong Kardinia Absolute Return Fund

By: Australian Fund Monitors

Report Date	27 April 2018
Manager	Kardinia Capital, a Bennelong boutique
Fund Name	Bennelong Kardinia Absolute Return Fund
Strategy	Equity Long/Short
Latest Return Date	March 2018
Latest Return	-1.90%
Latest 6 Months	3.43%
Latest 12 Months	4.42%
Latest 24 Months	8.57%
Annualised Since Inception	10.51%
Inception Date	01 May 2006
FUM (millions)	AU$197.67
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. On average since inception the Fund's exposure has averaged 40% net long. There is a slight bias to large cap stocks on 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. 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 Bennelong Kardinia Absolute Return Fund returned -1.9% in March, outperforming the ASX200 Accumulation Index by +1.87%. Since inception in May 2006, the Fund has returned 10.51% p.a. with an annualised volatility of 6.95%. By contrast, the Index has returned +5.33% p.a. with an annualised volatility of +13.49% over the same period. A short position in Share Price Index Futures (+96bp contribution for the month) was the biggest contributor given the fall in the market. Other positive contributors included Bellamy's (+28bp), Alumina (+16bp) and Lynas (+11bp). The short book also made a solid contribution, with individual stock short positions in telcos, financial services, infrastructure and consumer staples comprising five of the top eight stock contributors for the month. Negative contributors included ANZ (-44bp), Westpac (-40bp), Bluescope (-25bp), CSL (-24bp), Birimian (-22bp), Independence Group (-22bp) and Janus Henderson (-22bp). Net equity market exposure was reduced from 73.2% to 59.1% (93.5% long and 34.4% short), largely driven by an increased short position in Share Price Index Futures and lower weightings in ANZ and Westpac.
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Performance Report: Bennelong Twenty20 Australian Equities Fund

26 Apr 2018 - Australian Fund Monitors

The Bennelong Twenty20 Australian Equities Fund returned -3.21% in March, outperforming the ASX200 Accumulation Index by +0.56%.

26 Apr 2018 - Performance Report: Bennelong Twenty20 Australian Equities Fund

By: Australian Fund Monitors

Report Date	26 April 2018
Manager	Bennelong Australian Equity Partners (BAEP), a Bennelong boutique
Fund Name	Bennelong Twenty20 Australian Equities Fund
Strategy	Equity Long
Latest Return Date	March 2018
Latest Return	-3.21%
Latest 6 Months	5.59%
Latest 12 Months	7.49%
Latest 24 Months	26.27%
Annualised Since Inception	10.12%
Inception Date	02 December 2015
FUM (millions)	AU$2.7
Fund Overview	The Fund aims to outperform the return of the S&P/ASX 300 Accumulation Index by 2% per annum after fees on a rolling three-year basis by combining indexed positions in the S&P/ASX 20 stocks with an actively managed exposure in primarily Australian stocks that are outside the S&P/ASX 20. The Fund is managed as one portfolio but comprises and combines two separately managed exposures: 1. An investment in the top 20 stocks of the markets, which the Fund achieves by taking an indexed position in the S&P/ASX 20 Index; and 2. An investment in the stocks beyond the S&P/ASX 20 Index. This exposure is managed on an active basis using a fundamental core approach. The Fund may also invest in securities expected to be listed on the ASX, securities listed or expected to be listed on other exchanges where such securities relate to ASX-listed securities.Derivative instruments may be used to replicate underlying positions and hedge market and company specific risks. The companies within the portfolio are primarily selected from, but not limited to, the S&P/ASX 300 Accumulation Index. The Fund typically holds between 40-55 stocks and thus is considered to be highly concentrated. This means that investors should expect to see high short-term volatility. The Fund seeks to achieve growth over the long-term, therefore the minimum suggested investment timeframe is 5 years.
Manager Comments	The Bennelong Twenty20 Australian Equities Fund returned -3.21% in March, outperforming the ASX200 Accumulation Index by +0.56%. Since inception in November 2009, the Fund has returned +10.12% p.a. versus the Index's annualised return of +7.26% over the same period with a similar level of volatility. The Fund's up-capture and down-capture ratios since inception show that, on average, the Fund has outperformed in both rising and falling markets. Bennelong's view is that, while it's always difficult to predict short term moves, they believe the Australian stock market looks well positioned to provide attractive returns over the foreseeable future. For the broader market, Bennelong pointed out that investor sentiment is cautious, valuations look relatively attractive and earnings are solid and growing nicely, and that these factors support Bennelong's bottom-up assessment of a positive outlook for returns.
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Performance Report: KIS Asia Long Short Fund

25 Apr 2018 - Australian Fund Monitors

The KIS Asia Long/Short Fund rose +0.71% in March, outperforming the ASX200 Accumulation Index by +4.48%.

25 Apr 2018 - Performance Report: KIS Asia Long Short Fund

By: Australian Fund Monitors

Report Date	25 April 2018
Manager	KIS Capital Partners
Fund Name	KIS Asia Long Short Fund
Strategy	Equity Long/Short
Latest Return Date	March 2018
Latest Return	0.71%
Latest 6 Months	5.78%
Latest 12 Months	7.79%
Latest 24 Months	22.10%
Annualised Since Inception	13.68%
Inception Date	01 October 2009
FUM (millions)	AU$91.67
Fund Overview	The Fund's investment objective is to generate absolute returns, in Australian dollars, of around 15% p.a. after all fees without noticeable correlation to any particular asset class or market. 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 KIS Asia Long/Short Fund rose +0.71% in March, outperforming the ASX200 Accumulation Index by +4.48%. Since inception in October 2009, the Fund has returned +13.68% per annum with a volatility of 5.21% versus the Index's annualised return of +6.92% with a volatility of 11.66% over the same period. The Fund's Sharpe and Sortino ratios for performance since inception, 1.97 and 4.49 respectively, highlight the Fund's ability to achieve good risk-adjusted returns whilst focusing strongly on downside protection. By contrast, the Index's Sharpe and Sortino ratios over the same period are 0.39 of 0.48 respectively. KIS noted with relatively sharp declines in equities they suffered on many of their long positions, however, none of these losses were significant in their own right. Two of the Fund's largest three profitable investments came from long positions contributing 31bp between them. The Fund also benefited from a short position in Challenger Finance where KIS had concerns about their expansion into Japan and the impact of rising yields, especially on weaker credits, could have on their portfolio of assets. KIS also noted that their discipline of maintaining a hedged portfolio using index to rebalance any significant difference between the Fund's stock longs and shorts contributed 57bp. In their latest commentary, KIS discuss what they believe to be two key drivers of the Australian market's performance in March - the Royal Commission into Misconduct in the Banking, Superannuation and Financial Services Industry, and Labor's suggested changes to the dividend imputations/credit system.
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Performance Report: Glenmore Australian Equities Fund

24 Apr 2018 - Australian Fund Monitors

The Glenmore Australian Equities Fund returned -2.80% in March, outperforming the ASX200 Accumulation Index by +0.97%.

24 Apr 2018 - Performance Report: Glenmore Australian Equities Fund

By: Australian Fund Monitors

Report Date	24 April 2018
Manager	Glenmore Asset Management Pty Ltd
Fund Name	Glenmore Australian Equities Fund
Strategy	Equity Long
Latest Return Date	March 2018
Latest Return	-2.80%
Latest 6 Months	13.64%
Latest 12 Months
Latest 24 Months
Annualised Since Inception	35.59%
Inception Date	06 June 2017
FUM (millions)	AU$5.86
Fund Overview	The Fund is index unaware with an absolute return focus. The Fund seeks to invest in companies generating strong cashflows at attractive valuations. In absence of attractive investments being identified, the fund will hold cash. Glenmore will use a fundamental, research driven investment process to identify undervalued securities. The main driver of identifying potential investments will be bottom up company analysis, however macro-economic conditions will be considered as part of the investment thesis for each stock.
Manager Comments	The Glenmore Australian Equities Fund returned -2.80% in March, outperforming the ASX200 Accumulation Index by +0.97%. Since inception in June 2017, the Fund has returned +28.9% cumulatively. The main positive contributor in March was Bravura Solutions (+25.9%). Negative contributors included NRW Holdings (-23.5%), Appen (-14.4%), Pacific Current (-11.9%) and Pinnacle Investments (-6.4%). Glenmore noted there was no specific news flow on any of these stocks and that the main driver was general weakness in equity markets. Glenmore noted that, with the Index falling by -3.4% in the March 2018 quarter, and earnings revisions remaining positive, stock market valuations have improved making the stock market on an aggregate basis more attractive. With reporting season now complete, the next few months will see the Fund meet with a large number of companies and their management teams where Glenmore is optimistic of identifying potential investments for the portfolio.
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Bennelong Twenty20 Australian Equities Fund March 2018

23 Apr 2018 - Australian Fund Monitors

The latest Fund Review on Bennelong Twenty20 Australian Equities Fund is now available. The Fund invests in ASX listed stocks, combining an indexed position in the Top 20 stocks with an actively managed portfolio of ex-20 stocks.

Fund Review: Bennelong Kardinia Absolute Return Fund March 2018

20 Apr 2018 - Australian Fund Monitors

The latest Fund Review for the Bennelong Kardinia Absolute Return Fund is now available. The Fund is a long-biased, research driven, active equity long/short strategy which invests in listed ASX companies with track records greater than 10 years.

Performance Report: ARCO Absolute Trust (formerly Optimal)

19 Apr 2018 - Australian Fund Monitors

The ARCO Absolute Trust rose +1.39% in March, outperforming the ASX200 Accumulation Index by +5.16%. Since inception in September 2008, the Fund has returned +8.43% p.a. with a volatility of 3.75%.

19 Apr 2018 - Performance Report: ARCO Absolute Trust (formerly Optimal)

By: Australian Fund Monitors

Report Date	19 April 2018
Manager	ARCO Investment Management
Fund Name	ARCO Absolute Trust (formerly Optimal)
Strategy	Equity Long/Short
Latest Return Date	March 2018
Latest Return	1.39%
Latest 6 Months	5.65%
Latest 12 Months	10.85%
Latest 24 Months	11.39%
Annualised Since Inception	8.43%
Inception Date	15 September 2008
FUM (millions)	AU$142
Fund Overview	The investment objective of the Fund is to seek to achieve above average returns in absolute terms, through investing in listed securities in Australia and New Zealand, subject to the overarching requirement of capital preservation. Investments will predominantly be in equity securities but may include fixed interest instruments, money market instruments, derivatives and foreign exchange contracts. 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. *Formerly the Optimal Australia Absolute Trust
Manager Comments	The ARCO Absolute Trust rose +1.39% in March, outperforming the ASX200 Accumulation Index by +5.16%. Since inception in September 2008, the Fund has returned +8.43% p.a. with a volatility of 3.75%. By contrast, the Index has returned +5.85% p.a. with a volatility of 13.50% over the same period. The Fund's Sharpe and Sortino ratios are 1.41 and 2.95 respectively, superior to the market's Sharpe ratio of 0.27 and Sortino ratio of 0.28 for performance over the same period. Short holdings drove the positive absolute performance result, especially across the banking and insurance sectors, with the Index Futures positions also making strong contributions. The long portfolio generated a negative overall return, however, it performed notably better than the underlying market with positive returns from almost half of the Fund's holdings. Despite the modestly net long position at month-end (a result of portfolio rebalancing into market weakness), ARCO continue to be wary of increasing risks coming more to the fore in equity markets globally. As such, minimising investor drawdown remains front of mind in ARCO's stock selection and portfolio rebalancing activity with what ARCO expects will remain a volatile market.
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Performance Report: Bennelong Long Short Equity Fund

18 Apr 2018 - Australian Fund Monitors

The Bennelong Long Short Australian Equities Fund rose +0.83% in March, outperforming the ASX200 Accumulation Index by +4.6%. Since inception in January 2003, the Fund has returned +16.29% p.a. with slightly lower volatility than the market.

18 Apr 2018 - Performance Report: Bennelong Long Short Equity Fund

By: Australian Fund Monitors

Report Date	18 April 2018
Manager	Bennelong Long Short Equity Management, a Bennelong boutique
Fund Name	Bennelong Long Short Equity Fund
Strategy	Equity Market Neutral
Latest Return Date	March 2018
Latest Return	0.83%
Latest 6 Months	9.00%
Latest 12 Months	14.73%
Latest 24 Months	12.54%
Annualised Since Inception	16.29%
Inception Date	01 January 2003
FUM (millions)	AU$427
Fund Overview	Bennelong Long Short Equity Management applies a qualitative stock selection process to construct a diversified portfolio of paired securities based on relative value. The Bennelong Long Short Equity Management strategy invests primarily in the S&P/ASX 100 and is dollar neutral at cost. 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. The Bennelong Market Neutral Fund, with same strategy and liquidity is available for retail investors as a Listed Investment Company (LIC) on the ASX.
Manager Comments	The Bennelong Long Short Australian Equities Fund rose +0.83% in March, outperforming the ASX200 Accumulation Index by +4.6%. Since inception in January 2003, the Fund has returned +16.29% p.a. with slightly lower volatility than the market. The Index has returned +7.81% p.a. over the same period. The Fund's up-capture and down-capture ratios since inception indicate that, on average, the Fund has achieved positive performance in rising markets and significantly outperformed when the market has fallen. The Fund's positive return came from the short portfolio's contribution. However, the long portfolio also outperformed the market with several positions closing higher. Bennelong noted performance broadly reflected trends set by reporting season. In terms of pairs, positive contributors included long Macquarie / short Bendigo and long ALS limited / short Aurizon. On the negative side, long Crown / short SkyCity was the Fund's weakest pair, however, Bennelong noted that the overall contribution from the Fund's negative pairs was minimal.
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Performance Report: NWQ Fiduciary Fund

17 Apr 2018 - Australian Fund Monitors

The NWQ Fiduciary Fund returned +0.38% in March, outperforming the ASX200 Accumulation Index by +4.15%. Since inception in May 2013, the Fund has returned +7.23% p.a. with a volatility of 4.76%.

17 Apr 2018 - Performance Report: NWQ Fiduciary Fund

By: Australian Fund Monitors

Report Date	17 April 2018
Manager	NWQ Capital Management Pty Ltd
Fund Name	NWQ Fiduciary Fund
Strategy	Multi Strategy
Latest Return Date	March 2018
Latest Return	0.38%
Latest 6 Months	8.43%
Latest 12 Months	13.03%
Latest 24 Months	12.19%
Annualised Since Inception	7.23%
Inception Date	01 May 2013
FUM (millions)	AU$84
Fund Overview	The NWQ Fiduciary Fund (Fund), managed by NWQ Capital Management, is a diversified multi-manager portfolio, modelled on NWQ's Fiduciary Model Portfolio. The principal investment objective of the Fund is to produce attractive positive returns irrespective of market direction. This is achieved through active allocations to selective fund managers that employ a variety of traditional and absolute return strategies. The Fund places emphasis on managers who demonstrate a rigorous and repeatable investment process that has delivered a strong track record. The Fund aims to produce returns, after management fees and expenses of between 8% to 11% p.a. over rolling five-year periods. Furthermore, the Fund aims to achieve these returns with volatility that is a fraction of the Australian equity market, in order to smooth returns for investors.
Manager Comments	The NWQ Fiduciary Fund returned +0.38% in March, outperforming the ASX200 Accumulation Index by +4.15%. Since inception in May 2013, the Fund has returned +7.23% p.a. with a volatility of 4.76%. The Index, by contrast, has returned +6.83% annually over the same period with a volatility of 11.12%. The Fund's up-capture and down-capture ratios since inception show that, on average, the Fund has achieved positive performance in rising markets and significantly outperformed in falling markets. NWQ noted that, against the challenging market backdrop, it was pleasing to see the Beta managers hedge out a portion of the market risk. In addition, as is to be expected when volatility increases, the opportunity set for the Alpha managers widened and, as a result, these managers made a meaningful positive contribution to overall Fund performance in March.
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Performance Report: Cyan C3G Fund

16 Apr 2018 - Australian Fund Monitors

The Cyan C3G Fund returned -2.01% in March, outperforming the ASX200 Accumulation Index by +1.76%. Since inception in July 2014, the Fund has returned +26.55% per annum.

16 Apr 2018 - Performance Report: Cyan C3G Fund

By: Australian Fund Monitors

Report Date	16 April 2018
Manager	Cyan Investment Management
Fund Name	Cyan C3G Fund
Strategy	Equity Long
Latest Return Date	March 2018
Latest Return	-2.01%
Latest 6 Months	12.42%
Latest 12 Months	28.56%
Latest 24 Months	55.85%
Annualised Since Inception	26.55%
Inception Date	24 July 2014
FUM (millions)	AU$35
Fund Overview	The Cyan C3G Fund operates as a wholesale unregistered managed investment scheme under a unit trust structure. The Fund primarily invests in ASX listed companies outside the ASX 100 and typically holds between 15-35 stocks. Cyan C3G Fund is based on the investment philosophy which can be defined as a comprehensive, clear and considered process focused on delivering growth. These are identified through stringent filter criteria and a rigorous research process. The Manager uses a proprietary stock filter in order to eliminate a large proportion of investments due to both internal characteristics (such as gearing levels or cash flow) and external characteristics (such as exposure to commodity prices or customer concentration). Typically, the Fund looks for businesses that are one or more of: a) under researched, b) fundamentally undervalued, c) have a catalyst for re-rating. The Manager seeks to achieve this investment outcome by actively managing a portfolio of Australian listed securities. When the opportunity to invest in suitable securities cannot be found, the manager may reduce the level of equities exposure and accumulate a defensive cash position. Whilst it is the company's intention, there is no guarantee that any distributions or returns will be declared, or that if declared, the amount of any returns will remain constant or increase over time. The Fund does not invest in derivatives and does not use debt to leverage the Fund's performance. However, companies in which the Fund invests may be leveraged.
Manager Comments	The Cyan C3G Fund returned -2.01% in March, outperforming the ASX200 Accumulation Index by +1.76%. Since inception in July 2014, the Fund has returned +26.55% per annum with an annualised volatility of 10.26%. The Index, by contrast, has returned +5.33% per annum with an annualised volatility of 11.42% over the same period. The Fund's Sharpe and Sortino ratios are 2.19 and 6.64 respectively. The Fund's up-capture and down-capture ratios since inception indicate that, on average, the Fund has outperformed in both rising and falling markets. Cyan noted the Fund's defensive cash position alleviated some of the market weakness. One clear positive was the Fund's biggest holding, equipment financier Axsess Today (+8%). Negative contributors included AMA Group, Afterpay Touch, Motorcycle Holdings, Experience Co and Moelis, however, Cyan noted the most material negative contributor was BlueSky Alternatives (BLA) which they discuss in depth in their latest report. Cyan first invested in BLA in October 2014 at $2.80 and built upon this position over time, however, after the release of Glaucus' negative report on the business at the end of March, Cyan decided sell their position completely. The Fund is currently defensively positioned, with a substantial cash holding complemented by 20 positions. Cyan look forward to deploying further cash as opportunities are identified but remain acutely aware of inconsistent sentiment and patches of extreme volatility that the market is currently experiencing, particularly at the smaller end.
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27 Apr 2018 - Performance Report: Bennelong Kardinia Absolute Return Fund

26 Apr 2018 - Performance Report: Bennelong Twenty20 Australian Equities Fund

25 Apr 2018 - Performance Report: KIS Asia Long Short Fund

24 Apr 2018 - Performance Report: Glenmore Australian Equities Fund

23 Apr 2018 - Bennelong Twenty20 Australian Equities Fund March 2018

20 Apr 2018 - Fund Review: Bennelong Kardinia Absolute Return Fund March 2018

19 Apr 2018 - Performance Report: ARCO Absolute Trust (formerly Optimal)

18 Apr 2018 - Performance Report: Bennelong Long Short Equity Fund

17 Apr 2018 - Performance Report: NWQ Fiduciary Fund

16 Apr 2018 - Performance Report: Cyan C3G Fund

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