20 Sep 2016 - Pengana Absolute Return Asia Pacific Fund

By: Australian Fund Monitors

Report Date	16 September 2016
Manager	Pengana Capital
Fund Name	Pengana Absolute Return Asia Pacific Fund
Strategy	Equity Long/Short
Latest Return Date	August 2016
Latest Return	1.63%
Latest 6 Months	-1.95%
Latest 12 Months	3.09%
Latest 24 Months	4.06%
Annualised Since Inception	8.83%
Inception Date	01 September 2010
FUM (millions)	AU$79
Fund Overview	The Pengana Absolute Return Asia Pacific Fund employs an event-driven investment strategy that seeks to exploit the mispricing of securities of companies involved in corporate transactions within the Asian (including Japan, Australia and New Zealand) region. Event driven strategies involve investing in opportunities created by significant transactional events, such as mergers and acquisitions, earnings surprises, capital management initiatives, capital structure arbitrage and index changes, among others. The Fund believes that significant corporate events can often create inefficiency in a company's share price which the Fund then seeks to exploit. The Fund aims to generate consistently positive returns which have a low correlation to the Asian stock markets. The objective to generate a net annualised return greater than 5% above the Reserve Bank of Australia's Cash Rate Target over a 3 to 5 year period with low volatility and low correlation to Asian stock markets. The Fund will usually hold 40 to 80 positions and will be well diversified across the various event strategies. In keeping with the absolute return focus the Manager will eliminate market risk where appropriate by hedging market and foreign currency risks. Since inception the Fund has averaged a net equity market exposure of ~10%. Sizing of an investment position will depend on the expected risk adjusted returns while taking account the liquidity and volatility of the stock. In addition, the maximum potential loss on any one position should be greater than 0.5% of the NAV and the position should not exceed 30% participation of stressed volume assuming a $200m NAV. Other criteria considered are ability to hedge and the availability of pair candidates as well as the average bid-ask size. For M&A strategies average long position is 3 to 5.5% and average short position 2 to 5%.
Manager Comments	The Pengana Absolute Return Asia Pacific Fund returned 1.63% in August, compared to MSCI ACWI Asia Pacific markets which were returned +0.91%. Since inception, the Fund has achieved an annualised return of 8.83% p.a., with a low volatility of 6.35%. The Fund has notable Sharpe and Sortino ratios of 0.87 and 1.50 respectively. The M&A book contributed favourably (+0.8%) to overall performance due to positions in Galileo Japan Trust (GJT AU) and HTL International (HWA SP), which saw positive developments. The Stub-strategy continued to be robust posting a strong contribution to overall performance of 88 basis points. Since the start of the financial year, this strategy has contributed +1.75%. Stub trades in HK Trust (6823 HK) long vs PCCW (8 HK) short and Swire Properties (1972 HK) long vs Swire Pacific (19 HK) short contributed favourably. The Korean preference shares/local shares trades also contributed positively to performance, whilst offset by a negative contribution from the Earnings Surprise sub-strategy. The opportunity set in Asia continues to be robust, which is reflected in the Fund's gross exposure of 206%, with low Beta equity risk. Click below to read the latest Fund Manager's Report.
More Information	Fund Profile Manager's Report AFM Research Reports

Fund Monitors Pty Ltd

20 Sep 2016 - Pengana Absolute Return Asia Pacific Fund