| 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 M&A sub-strategy contributed almost half of the Fund's monthly return adding a healthy +0.9% to the overall performance. The Fund increased the overall gross exposure in M&A from a low of 24.7% to 43% during the month. The Relative Value book which comprises of catalyst driven reversion trades hedged with highly correlated pairs contributed +0.50% to the Fund's overall performance. The Directional Alpha book which includes a diversified book of conservative directional positions consistent with the Fund's long-term net exposure of 10 to 20% also positively contributed to the Fund (+0.62%). During the month, the Fund's net and gross exposures averaged 18.2% and 174.9% respectively during the month. |
| More Information |
