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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 recorded a Sharpe ratio of 2.14 (Index 1.40) and Sortino ratio of 4.80 (Index 2.79) and had 92% positive months over the last 12 months. Up and Down Capture ratios are 0.26 and -0.12. The Fund increased its net short exposure to equities through the month, driven less by fear of an imminent market correction than a sense that the relative-value argument for equities is getting very long in the tooth; while at current prices, we continue to find more stocks we want to short than own. The key challenge remains the cost of hedge protection. Our stock shorts were a net detraction from our performance, as these included a fair representation from the defensive/yield category. One effect of financial repression and the corresponding over-reach for yield and coupon income been to shift many of these stocks even further away from defensible wider valuation metrics. Our short index futures position was similarly ineffective this month, as the discount to the cash market narrowed sharply due to the ex-dividend effect. |
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