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| Fund Overview | In a typical environment the Fund will hold around 70 stocks comprising 35 pairs. Each pair contains one long and one short position each of which will have been thoroughly researched and are selected from the same market sector. Whilst in an ideal environment each stock's position will make a positive return, it is the relative performance of the pair that is important. As a result the Fund can make positive returns when each stock moves in the same direction provided the long position outperforms the short one in relative terms. However, if neither side of the trade is profitable, strict controls are required to ensure losses are limited. The Fund uses no derivatives and has no currency exposure. The Fund has no hard stop loss limits, instead relying on the small average position size per stock (1.5%) and per pair (3%) to limit exposure. Where practical pairs are always held within the same sector to limit cross sector risk, and positions can be held for months or years. The Bennelong Market Neutral Fund, with same strategy and liquidity is available for retail investors. |
| Manager Comments | The short book drove the under-performance with a negative return contribution approximately twice the size of the positive return generated from the long book. By way of pairs, loss-making pairs outnumbered profitable ones, again by a ratio of about two to one. The short book showed that across the top 10 losing positions in March, all of the price action was driven by sentiment and liquidity factors as opposed to fundamental earnings. The Fund's investment philosophy has always centred upon fundamentals and therefore have not responded to the events of March with any notable portfolio changes. Click below to read the Fund Manager's commentary and market outlook. |
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