| 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 | Pengana noted the return of volatility to equity markets is creating opportunities to capture pricing inefficiencies in the Fund's Relative Value and M&A sub-strategies. Pengana have therefore increased the Fund's Relative Value gross exposure to 112% and M&A exposure to 101%, whilst reducing the Directional Alpha book net exposure to 13.3%. The Manager has also partially hedged the Alpha exposure with puts and put-spread strategies to hedge out potential tail risk. The Fund's net and gross exposures were 13.3% and 242.3% respectively at the end of the month. |
| More Information |
