| Report Date | 17 June 2015 |
| Manager | Aurora Funds Management |
| Fund Name | Aurora Fortitude Absolute Return Fund |
| Strategy | Equity Market Neutral |
| Latest Return Date | May 2015 |
| Latest Return | 0.31% |
| Latest 6 Months | 1.17% |
| Latest 12 Months | 1.25% |
| Latest 24 Months | 6.66% |
| Annualised Since Inception | 7.27% |
| Inception Date | 15 March 2005 |
| FUM (millions) | AU$97 |
| 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 | The Australian equities had a mixed month in May and the Aurora Fortitude Absolute Return Fund returned 0.31% for the month of May outperforming the cash benchmark of 0.17%. Since inception the Fund's annual performance was 7.27% p.a. The fund has achieved this performance with very low volatility of 2.66% (ASX 200 Accumulation 13.78%), to bring the Fund's Sharpe and Sortino ratio to 1.06 (Index 0.30) and 2.11 (Index 0.32) respectively.
In May, all strategies except Long/Short and Convergence strategies, contributed positively to the performance. The Options Strategy was the best contributor at 0.18%. The banks (NAB.ASX, ANZ.ASX, WBC.ASX and CBA.ASX) all provided good returns as volatility increased significantly at the beginning of the month.
Click below to read the lastest monthly commentary and market outlook. |
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