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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 Fund's the long book performed slightly better than the market, but it was the short book that delivered the losses for the month. Both, the three best pairs and the three worst pairs came from the short book. The top three spreads for the month were long Macquarie / short IOOF, long Beach Energy / short AGL Energy and long Henderson / short AMP. The bottom three spreads for the month were long Resmed / short Ansell, long Iluka / short Downer and long Aristocrat / short Tabcorp. Click below to read the Fund Manager's commentary and market outlook. |
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