| Report Date | |
| Manager | |
| Fund Name | |
| Strategy | |
| Latest Return Date | |
| Latest Return | |
| Latest 6 Months | |
| Latest 12 Months | |
| Latest 24 Months | |
| Annualised Since Inception | |
| Inception Date | |
| FUM (millions) | |
| Fund Overview | 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 Fund was largely insulated due to its hedges, from the significant volatility generated from the US Presidential election during the Asian trading hours. However, this volatility subsided few hours after the US election and unfortunately, the Fund did not take any profits in its long volatility position as the view was that volatility would remain elevated for at least several trading days. For the month, the M & A and capital management strategies were the biggest detractors. However, the market volatility created a trading environment conducive for the stubs strategy, which contributed +0.5%. During the month, the Fund increased gross exposure by circa 25%, although this was partially attributable to an increase in index hedges. Exposure to the M & A, capital structure and capital management strategies were increased. From a country perspective, trade allocations increased in Hong Kong/China, India and Korea. |
| More Information |
