NEWS
16 May 2014 - Laminar Credit Opportunities Fund
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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 | The portfolio ended the month with a 67% exposure to RMBS followed by 14% to short dated loans. 'The returns of the Fund over April were supported by the tightening of credit spreads in the residential mortgage-backed securities (RMBS) sector. We have said that RMBS have been attractive for some time and that is now being reflected in greater demand for this product. On a relative value basis, we still believe that parts of the RMBS market remain cheap, but we will need to be particular about which parts we invest in going forward.' |
| More Information | » View detailed profile of this fund |
16 May 2014 - Unit Pricing Forum
UNIT PRICING 2014 FORUM, 19th - 20th May, Sydney
This 2 days forum will be exploring Unit Pricing operational challenges for 2014 & beyond
- New APRA reporting requirements & implementation: impacts on unit pricing reporting
- Comparison of unit pricing in Australia to Europe
- Tax benefits of rolling from accumulation to pension phase - How to pass these to the members
- Unit Pricing operational risks & unit pricing errors
- Custodial unit pricing embracing change whilst driving improvement in the client experience
- Trustees new after-tax investing responsibilities under stronger super and the fund operations can help.
- Bottom up Versus top down tax provisioning
- Juxtaposition between an increase in unit pricing complexities alongside the desire for more simplified unit pricing process
- Internal Controls - How to minimise the risk of a unit pricing error & operational efficiency
Dates: 19th-20th May 2014
Time: 8:30am - 5:30pm
Location: Grace Hotel, Sydney
Click here to view the Agenda and more information on the event.
To register for the conference please download the brochure and fax the form to us or you can email us on register@ibrc.com.au or give us a call:
Registrations Manager
IBR Conferences Pty Ltd
Tel: +61 (0) 2 9896 0776 | Fax: +61 (0) 2 9896 0796 | register@ibrc.com.au | http://www.ibrc.com.au
15 May 2014 - Morphic Global Opportunities Fund
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| Manager Comments | At month-end Fund exposures were 101% net, 153% gross with a VaR of 1.17%. The Fund's largest (gross) exposure was US Banks at 17.8%. The Performance Report comments 'April proved to be another month of consolidation for global markets, with volatility in most asset classes diminishing, especially currencies. Market momentum also saw preferences rotate from higher quality growth companies, to cheaper, lower quality names. The Fund's biggest win came from its overweight exposure to the global automotive industry, focussed mostly on two Canadian components makers, Linamar and Magna, although US car dealer Asbury also made a contribution. The view at Morphic has long been that car parts makers are better businesses than branded car assemblers. The former's steady re-rating compared to car firms seems to be confirming this view, although how much more mileage remains in the trade is less clear. The Fund closed the month still fully invested, with limited regional biases other than the overweight India versus other emerging markets. The Fund substantially cut its interest rate hedges during the month and in early May closed these out completely. The continuing rise of the Australian dollar was partially offset by the Fund having hedging over part of its US Dollar exposure.' |
| More Information | » View detailed profile of this fund |
14 May 2014 - Bennelong Kardinia Absolute Return Fund
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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 | Fund exposures at month-end were 56% long and 20% Short with a net exposure of 36%, down from the previous month. The Monthly Performance Update notes that within the portfolio 'Share Price Index Futures (hedging longs), Henderson Group, Donaco and Seek were all significant detractors from performance. A short in Coca-Cola Amatil (which had a profit warning), and longs in Challenger and Oil Search were the largest positive contributors.' |
| More Information | » View detailed profile of this fund |
13 May 2014 - Optimal Australia Absolute Trust
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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 | Since inception in September 2008 the Fund has delivered a return of 10.18% (Index 5.81%) with a volatility of 3.51% as compared to 14.85%. Over the same time frame the Fund has recorded 84% positive months and a Sharpe Ratio of 1.74. The Monthly Report comments on the Fund's performance 'In broad terms, the positive returns on our long positions in April more than offset the cost of hedging our overall portfolio risk, and no one theme or sector dominated our long portfolio. Minimising the cost of portfolio protection - let alone making money on shorts - was again difficult in April, in a market in which financial repression and the TINA doctrine (''there is no alternative') towards equities continue to marginalise traditional approaches to valuation. Yet there are signs that this mind-set is slowly changing, as April saw a further sell-off in highly-valued 'momentum' stocks and, late in the month, in the big banks and mining heavyweights.' In terms of Fund strategy the Manager comments 'Risk protection remains a very necessary discipline, in our view, with the market at an elevated valuation, and with price gains in most stocks having been driven overwhelmingly by multiple expansion rather than by earnings growth. In the absence of any great conviction that the market can make a strong advance in the short term, we continue to maintain low net exposure, and exited the month slightly net short equity risk.' |
| More Information | » View detailed profile of this fund |
12 May 2014 - Supervised High Yield Fund
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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 risk statistics are indicative of the strategy with no draw-downs and a Sharpe ratio of 6.61. Since inception in April 2009 the volatility has been 2.22% and the Sharpe ratio 3.19. The Manager's Quarterly Report is available on the AFM Website at the Manager's Profile. |
| More Information | » View detailed profile of this fund |
9 May 2014 - Hedge Clippings
I have always been of the view that politicians, and probably prime ministers in particular, should fade gracefully from the public eye on retirement, and just be happy with their generous entitlements, and excessively generous travel benefits.
My view is normally compounded whenever I hear Malcolm Fraser holding forth on what should be done by the current government. Having secured the largest majority (55) in federal history in 1975, and the second largest (48) in 1977 at the following election it is often argued that he did little with either prior to losing office in 1983. Notwithstanding that, and inexplicably losing his trousers in Memphis in 1986, he continues to snipe from the sidelines, well into his eighties, some thirty years later.
There are exceptions of course for exceptional PM's, and although Paul Keating has been known to air his views liberally, one has to take notice when he's commentating on Australia's superannuation system, of which he was the architect. So his comments on the ABC's Lateline program this week on superannuation, the pension age, and the need for a Commonwealth insurance scheme for those who live between 80 and 100 are such an exception.
That interview is 24 minutes long and might be beyond the time limits of our readers, so this brief two minute excerpt from the Guardian.com might give you a flavour. In essence Paul Keating makes eminent sense. Not only did he call for an increase in the superannuation guarantee levy to 12% (in reality it probably needs to be 15%), but he also argues against the current call by Treasury and others for a reduction in the taxation benefits of super contributions.
Keating argues that a large majority of the population will not retire with a large nest egg, and that this will be the domain of those relative few with sufficient foresight and fortune to be able to make additional (tax friendly) contributions. His argument that they should be encouraged, rather than discouraged, stems from his belief that whilst it might be a benefit for the better off, at least it is producing an overall benefit to the economy by reducing their dependence on the system in later life.
More radical however is his proposal to have a national insurance scheme for those over 80. I have heard it quoted that 50% of the children born today are likely to reach 100, and no matter how high the current Treasurer wants to make the retirement age, the demographics of longevity, and the cost to the system, are massive. While not necessarily being the greatest fan of Keating when he was in office, it is hard to fault his logic, or his vision.
The reality is that for the majority of the population a 9% contribution by their employer to superannuation will simply not be sufficient to replace their dependence on welfare when they retire. Hence the attractiveness of not only making additional contributions, but also establishing a Self Managed Super Fund in an attempt to have some degree of control and independence over their financial affairs in retirement. It is little wonder therefore that many such self-directed retirees are supporters and investors in absolute return funds.
And on a slightly different Paul Keating note, one of my favourite little books, published way back in 1992 is a small paperback compiled by a Bookman Press containing 96 pages entitled "Paul Keating's Book of Insults". It's a gem, the colour and shape of a banana in memory of Keating's famous Banana Republic comment. I'm sure the current Speaker of the house Bronwyn Bishop would not have let him get away with many of his Parliamentary insults, but they still raise a chuckle.
Specific results received this week include the following PERFORMANCE and NEWS UPDATES:
The Monash Absolute Investment Fund returned -1.3% in a volatile equity market. The Fund's 12 month record is strong at 24.77% with a vol of 9.11%.
In its fourth month of operation, and in a choppy equity market, Bennelong's Alpha 200 Fund returned -0.57% during April.
Updated FUND REVIEWS released this week included:
Insync's Global Titans Fund shows the Fund delivering an annualised return of 10.36% and annualised standard deviation of 8.53% (since inception in October 2009) with sound risk-reward statistics.
Morphic Global Opportunities Fund - returned an annual return of 27.63%. Morphic's philosophy is that only funds with flexible investment and hedging strategies will be able to deliver acceptable, steady, real, absolute returns over the investment cycle.
Supervised Investments High Yield Fund is characterised by positive returns and very low risk. Since inception (April 2009) the Fund has returned 11.16% pa with a volatility of 2.22%.
19-20 May in Sydney, IBR Conferences presents the Unit Pricing Forum. This is a 2 days forum exploring Unit Pricing operational challenges for 2014 & beyond. Topics include new APRA reporting requirements & implementation; impacts on unit pricing reporting and more.
Wednesday 21 May in Sydney: The Hedge Fund Association, in conjunction with Pricewaterhouse Coopers, is pleased to present an update on key regulatory matters currently affecting the alternative investment industry. A panel of Pricewaterhouse Coopers senior executives will provide a detailed overview of topics, as well as allowing for questions and commentary from attendees.
28-30 May 2014 in Sydney: IBR Conferences presents the Asset Allocation Conference. This event has been designed to both update and educate investors by taking an in-depth look at these more adaptive asset allocation strategies and practices and where the best opportunities for high return lay in the current climate.
If you would like your Event listed in our calendar, please contact us.
And now for something completely different this week, while we talk of our politicians, at least most of us know if our previous leaders are dead or alive. Unlike these Americans.
On that note, I hope you have a safe and happy weekend.
Best wishes,
Chris
CEO, AUSTRALIAN FUND MONITORS
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| Registration to AFM is free and provides information and performance data on Absolute Return, Hedge Funds and Alternative Investments, plus detailed infomation on Featured Funds. | Fund Managers and paid Subscribers also have access to details on Individual Managers and Funds, with historical results, key performance indicators, latest news and performance reports. | Tune into Sky Business on Foxtel every week on Monday at 2:20pm for AFM's weekly comment on Hedge Funds. |
Last weekend one of our staff members participated in the Sutherland Shire 24 hour Relay for Life and walked a marathon to raise money for her team (Netty Girls) in memory of family members who have died from cancer. Click here to make a donation or watch a short video to see what all the fuss is about.
1 in 2 Australians will be diagnosed with cancer before the age of 85. All money raised through Relay For Life makes a difference in helping fund Cancer Council's critical research, prevention, education and support services. Relay For Life is a fun, outdoor overnight fundraising event that brings communities together to celebrate and remember the lives of those who have battled cancer. Teams take turns to walk or run around a track whilst enjoying entertainment, activities and heartfelt ceremonies.
9 May 2014 - Bennelong Alpha 200 Fund
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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 | At month-end the Fund had an ASX 100 exposure of 52.8% and ex-ASX 100 exposure of 47.2% and Fund leverage was 2.2 times NAV. The Portfolio Performance section of the Monthly Performance Update notes 'In a reasonably strong share-market our longs failed to generate much return ending slightly positive for the month. Our short portfolio didn't cost us too much " the end result uninspiring. The feature of all the bottom pairs was a negative contribution from the longs. During the month many stocks which have had strong momentum recently were weak. Henderson, iProperty and Seek were all affected.' |
| More Information | » View detailed profile of this fund |
8 May 2014 - Monash Absolute Investment Fund
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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 Fund had a net exposure of 76% at month-end with gross exposure 88%. Since inception VaR is 1.20%. The Manager's Month End Note discusses stock specific holdings and is available on the AFM website under the Monash Investors profile. |
| More Information | » View detailed profile of this fund |
8 May 2014 - Fund Review: Supervised High Yield Fund March 2014
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The Supervised High Yield Fund (SHYF) has a 5 year track record investing in fixed interest investments. The Investment strategy aims to deliver returns with zero correlation to
equity markets by investing in debt securities with minimal default probability and offering a premium return above the risk free rate.
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The Fund is managed by Philip Carden whose experience in debt and capital markets spans 32 years, including time with JB Were's Capel Court Securities and Macquarie Bank, where he was the Executive Director responsible for the Debt Markets Division.
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SHYF is an Alternative Income fund which invests in Global and Australian debt markets, with all foreign currency receivables hedged back to Australian dollars.
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The Fund utilises a top down analysis of the economic environment and market to screen and identify debt market opportunities which it believes offer low risk with high yield. The next stage is the development of a risk matrix and investment strategy, following which detailed research is undertaken on specific investment opportunities which meet the pre-defined criteria established in the investment strategy.
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Prior to approving an investment for the Fund each potential investment is subject to two stress tests. The first of these is for credit and default risk, in which the investment is stress-tested to ensure that in a worst case economic environment it can repay 100% of its principal and interest obligations case scenario for the asset by examining the highest margin over the risk rate that the investment has previously experienced in a crisis situation. Any decline in value under the stress test that exceeds 10% of the Fund's value is avoided The second test examines market risk. In this case Carden looks at the worst case scenario for the asset by examining the highest margin over the risk rate that the investment has previously experienced in a crisis situation. Any decline in value under the stress test that exceeds 10% of the Fund's value isavoided.
- Annualised return since inception is 11.16% with a very low standardised standard deviation of 2.22%. Other risk statistics are impressive and shows the Funds risk philosophy; over 98% of monthly performances have been positive, the Fund's largest drawdown is -0.12% and the Sharpe ratio 3.19.
Sean Webster
Research and Database Manager
Fund Review: Supervised High Yield Fund March 2014 (pdf format)
