| Report Date | 16 September 2015 |
| Manager | Aurora Funds Management |
| Fund Name | Aurora Fortitude Absolute Return Fund |
| Strategy | Equity Market Neutral |
| Latest Return Date | August 2015 |
| Latest Return | 1.44% |
| Latest 6 Months | 3.35% |
| Latest 12 Months | 3.33% |
| Latest 24 Months | 7.01% |
| Annualised Since Inception | 7.30% |
| Inception Date | 15 March 2005 |
| FUM (millions) | AU$87 |
| 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 | In August, the Aurora Fortitude Absolute Return Fund rose 1.44%, outperforming the ASX200 Accumulation Index by 9.23%.The Fund's annual performance, since inception has been 7.30% p.a, which it has achieved with very low volatility of 2.65% (ASX 200 Accumulation Index 14.03%). The Fund has notable Sharpe and Sortino ratios of 1.10 (Index 0.23) and 2.21 (Index 0.21) respectively.
In this volatile environment, it was the Options Strategy (+1.9%) that contributed most to the performance. The Fund's bought put options over the Share Price Index was the most profitable position. Positions in all the major banks were profitable reflecting strong demand for downside protection
following capital raisings. The Yield Strategy (-0.5%) was the biggest distractor from the performance.
Click below to read more on the Fund's performance. |
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