| Report Date | 12 June 2012 |
| Manager | Aurora Funds Management |
| Fund Name | Aurora Fortitude Absolute Return Fund |
| Strategy | Equity Market Neutral |
| Latest Return Date | May 2012 |
| Latest Return | 0.26% |
| Latest 6 Months | 2.35% |
| Latest 12 Months | 4.72% |
| Latest 24 Months | 9.51% |
| Annualised Since Inception | 8.58% |
| Inception Date | 15 February 2005 |
| FUM (millions) | AU$80 |
| Fund Overview | Aurora Fortitude Absolute Return Fund is a multi-strategy market neutral fund specialising in ASX listed equities and derivatives. The core philosophy is the management of risk through a long volatility overlay incorporating listed equity and index derivatives. The multi-strategy approach includes M&A, Yield, Convergence and Long/Short strategies. The portfolio managers adopt an aggressive approach to managing downside risk whilst positioning the portfolio to benefit from positive alpha. |
| Manager Comments | The Aurora Fortitude AR Fund returned +0.26% in May as the ASX200 accumulation index fell -6.64% thanks to a combination of reduced Chinese growth expectations, Greek polling uncertainty and Spanish banking woes taking their toll, particularly on the commodities and energy sectors, and inevitably financials.
Aurora's Options portfolio provided the bulk of the returns as expected in the above environment, with the book heavily weighted towards financials given the large exposure to the sector in the Yield and parts of the M&A book.
Elsewhere gains in the Yield book were offset by negative returns in the M&A book pending the outcome of various deals, while small gains in the Convergence book were offset by losses in the Long/Short book.
The positive return takes the Fund's winning streak to 11 months, and it remains the only fund to have recorded positive returns for every month of 2008. |
| More Information | » View detailed profile of this fund |
