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| 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 | Both the long and short portfolios contributed positively in May, with the majority of pairs positive. Bennelong noted company profit results and earnings guidance during the month's news flow affected the Fund; the portfolio experienced a positive skew of fundamental news with an even spread of upgrades to the long portfolio and downgrades to the short portfolio. The strongest pairs for the month were long Woolworths / short Metcash and long Aristocrat / short Tabcorp. The weakest pair was long Link / short ASX with Link affected by the Federal Budget proposal to close inactive and low balance superannuation accounts. |
| More Information |
