19 Feb 2015 - Aurora Fortitude Absolute Return Fund

By: Australian Fund Monitors

Report Date	17 February 2015
Manager	Aurora Funds Management
Fund Name	Aurora Fortitude Absolute Return Fund
Strategy	Equity Market Neutral
Latest Return Date	January 2015
Latest Return	-0.04%
Latest 6 Months	-0.46%
Latest 12 Months	0.35%
Latest 24 Months	8.50%
Annualised Since Inception	7.31%
Inception Date	15 March 2005
FUM (millions)	AU$126
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. The Fund aims to produce positive returns irrespective of the direction of the share market. For each investment the manager considers the risk, the timeline of that risk occurring and then the potential return. Low transaction costs and liquidity are other important factors in the success and implementation of the strategies.
Manager Comments	Aurora Fortitude Absolute Return Fund returned -0.04% in January, bringing the fund's annual return per annum to 7.31% compared to the ASX200 Accumulation of 7.57%. This has been achieved with exceptionally low volatility of 2.70% (Index 13.85%), bringing the Sharpe ratio to 2.05. Performance was impacted by Stonewall Resources which was marked down during December and then came out of a trading halt at the end of January. The options portfolio produced some good returns but was offset by losses again in long/short and in particular, Stonewall. We have continued to reduce the number of positions in the Long/Short part of the portfolio as a result of the recent losses in this part of the portfolio.
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Fund Monitors Pty Ltd

19 Feb 2015 - Aurora Fortitude Absolute Return Fund