| 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 | 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 as a Listed Investment Company (LIC) on the ASX. |
| Manager Comments | Positive performance was evenly spread across the top eight pairs, with no standout pair. The Fund's top performing pair was Long ALS Limited (ALQ) / short Aurizon (AZJ). The weakest pair was long Qantas (QAN) / short Flight Centre (FLT). Long Harvey Norman (HVN) / short Myer (MYR) / short Metcash (MTS) benefitted from a downgrade to Myer on weak sales preceding Christmas, however that was overshadowed by an upgrade to Metcash following improved interim results. The latest report discusses the Manager's outlook for equity markets. Bennelong highlight the relative size of the stock market to the size of the economy as a measure of valuation, noting that the current ratio of the Wilshire 5000 Index to US nominal GDP is about 130%. They note that this compares to a history of significant variation ranging from 40% during the late 1970's to 140% in the lead up to the late 1990's dot-com bubble. |
| More Information |
