| Report Date | 20 February 2020 |
| Manager | Kardinia Capital, a Bennelong boutique |
| Fund Name | Bennelong Kardinia Absolute Return Fund |
| Strategy | Equity Long/Short |
| Latest Return Date | January 2020 |
| Latest Return | 5.40% |
| Latest 6 Months | 2.51% |
| Latest 12 Months | 8.53% |
| Latest 24 Months (pa) | -0.33% |
| Annualised Since Inception | 9.11% |
| Inception Date | 01 May 2006 |
| FUM (millions) | AU$71.73 |
| Fund Overview | The Fund consists of a concentrated long/short portfolio typically comprising 20 to 50 ASX300 listed stocks, generally with a long bias aligned to the overall market direction. On average since inception the Fund's exposure has averaged 40% net long. There is a slight bias to large cap stocks on the long side of the portfolio, although in a rising market the portfolio will tend to hold smaller caps, including resource stocks, more frequently. On the short side, the portfolio is particularly concentrated, with stock selection limited by both liquidity and the difficulty of borrowing stock in smaller cap companies. Short positions are only taken when there is a high conviction view on the specific stock. The Fund uses derivatives in a limited way, mainly selling short dated covered call options to generate additional income. These typically have less than 30 days to expiry, and are usually 5% to 10% out of the money. ASX SPI futures and index put options can be used to hedge the portfolio's overall net position.
The Fund's discretionary investment strategy commences with a macro view of the economy and direction to establish the portfolio's desired market exposure. Following this detailed sector and company research is gathered from knowledge of the individual stocks in the Fund's universe, with widespread use of broker research. Company visits, presentations and discussions with management at CEO and CFO level are used wherever possible to assess management quality across a range of criteria.
Detailed analysis of company valuations using financial statements and forecasts, particularly focusing on free cash flow, is conducted. Technical analysis is used to validate the Manager's fundamental research and valuations and to manage market timing.
A significant portion of the Fund's overall performance can be attributed to the attention and importance given to the macro economic outlook and the ability and willingness to adjust the Fund's market risk. |
| Manager Comments | The Bennelong Kardinia Absolute Return Fund rose +5.40% in January, outperforming the ASX200 Accumulation Index by +0.42% and taking annualised performance since inception in May 2006 to +9.11% with an annualised volatility of 7.12%. By contrast, the Index has returned +6.68% with an annualised volatility of 13.08% over the same period. The Fund's Sortino ratio of 1.36 versus the Index's 0.33 and down-capture ratio of 43% for performance since inception highlight the Fund's focus on protecting investor capital over the long-term.
Positive contributors over the month included CSL, James Hardie, Commonwealth Bank, City Chic and Polynovo. Key detractors included Zip Co, Oz Minerals, Rio Tinto and Qantas. The Fund's short book also detracted -30bp from performance.
The Fund's net equity market exposure was reduced from 74.2% to 30.9% (64.4% long and 33.5% short), with the key changes being lower weightings in BHP and Rio Tinto, a new short position in Share Price Index Futures, partially offset by new positions in Coles and Santos. |
| More Information |
|
