16 Apr 2012 - Performance Report: Bennelong Long Short Equity Fund

By: Australian Fund Monitors

Report Date	15 April 2012
Manager	Bennelong Group
Fund Name	Bennelong Long Short Equity Fund
Strategy	Equity Market Neutral
Latest Return Date	March 2012
Latest Return	6.35%
Latest 6 Months	-3.57%
Latest 12 Months	8.86%
Latest 24 Months	31.58%
Annualised Since Inception	20.87%
Inception Date	01 January 2003
FUM (millions)	AU$220
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.
Manager Comments	Bennelong's long short equity fund returned 6.35% in March as gains on both longs and shorts aided the recovery from February's decline. Shorts in David Jones and Leighton contributed after each announced profit warnings, and Bennelong also noted a degree of mean reversion following February's rally. Overall the long book contributed 107% of the return. The best performing sector for the month for the Fund was Consumer discretionary, closely followed by Healthcare, while stock selection in the Financial sector detracted from performance, as did Industrials. Looking forward Bennelong believe the market is unlikely to continue its move higher after the strong March quarter, and given the soft domestic economic environment and their assessment of the profit outlook they believe that risk continues to lie on the downside. Leverage at month end was 4.6 times, slightly higher than the fund's long term average, and remains closed to new investors.
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Fund Monitors Pty Ltd

16 Apr 2012 - Performance Report: Bennelong Long Short Equity Fund