15 Mar 2019 - Performance Report: Harvest Lane Asset Management Absolute Return Fund

By: Australian Fund Monitors

Report Date	14 March 2019
Manager	Harvest Lane Asset Management
Fund Name	Harvest Lane Asset Management Absolute Return Fund
Strategy	Equity Market Neutral
Latest Return Date	February 2019
Latest Return	0.81%
Latest 6 Months	6.32%
Latest 12 Months	13.05%
Latest 24 Months	19.04%
Annualised Since Inception	9.13%
Inception Date	01 July 2013
FUM (millions)	AU$12
Fund Overview	The Fund aims to deliver a return of greater than 10% p.a. after all fees and charges over a 3 year period with low or no correlation to the Australian equity market. By focusing on select takeover and corporate activity the fund aims to achieve this whilst also exhibiting lower than average volatility than the market. Harvest Lane Asset Management employs a conservative, highly selective and opportunistic approach. Using their extensive knowledge in the area of corporate actions, the Fund's managers assess each opportunity based on a thoughtful, diligent and disciplined process and invest where they believe an opportunity exists to generate above average investment returns relative to the risk incurred. Investment decisions are made without speculating on market direction, with rigid risk controls enforced to minimise the risk of large losses of investor capital. The Fund invests in securities that are predominantly listed on the ASX and occasionally in those listed in other developed markets. Equity swaps and other derivatives may be used at times to reduce risk. The fund typically holds high levels of cash in the absence of sufficiently attractive opportunities to deploy investor capital in accordance with its objectives.
Manager Comments	The Harvest Lane Absolute Return Fund has returned +13.05% over the past 12 months versus the ASX200 Accumulation Index's +7.05%. This return has been achieved with a volatility of only 7.40% versus the Index's 11.59%. Since inception in July 2013, the Fund has returned +9.13% per annum versus the Index's 9.24% with an annualised volatility of 7.02% versus the Index's 11.01%. In line with the Fund's absolute return objective, its performance statistic demonstrate superior performance in negative markets over the long term; annualised volatility of 7.02% vs the Index's 11.01% since inception, Sortino ratio of 1.74 vs the Index's 0.98, average negative return of -1.44% vs the Index's -2.45%, largest drawdown of -6.46% vs the Index's -13.73% and down-capture ratio of -35.6% (a negative down-capture ratio indicates that, on average, the Fund has risen during the months the market has fallen). In addition, the Fund's Sharpe ratio of 1.02 vs the Index's 0.69 highlights its capacity to achieve superior risk-adjusted returns over the long term. The Fund returned 0.81% in February. Harvest Lane noted that, even as many of their positions steadily increase in price as their respective transaction endpoints approach, there remains sufficient implied discount in the portfolio for them to be optimistic about the Fund's performance over the remainder of the year. Overall, February was a relatively quiet month for the Fund. Two larger sized transactions in PropertyLink Group and Greencross Limited were concluded intra-month, allowing Harvest Lane to rotate capital straight back into new opportunities. In total, five new deals passed Harvest Lane's due diligence process, while several more are currently being monitored for inclusion in the portfolio at a later time.
More Information	Fund Profile Manager's Report

Fund Monitors Pty Ltd

15 Mar 2019 - Performance Report: Harvest Lane Asset Management Absolute Return Fund