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| Strategy | |
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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 | The split of winning and losing pairs in February was 50/50. The portfolio was well positioned for reporting season with many positive results evenly distributed in both the long and short portfolios. Top pairs included long Challenger (CGF) / short IOOF (IFL) / AMP (AMP), long Worley (WOR) / short Downer EDI (DOW), long TPG Telecom (TPM) / short Telstra (TLS). The worst performing pair for the month was long Ramsay Health Care (RHC) / short Healius (HLS). The Fund is exposed in both long and short portfolios. BLSEM noted they are net long the US economy and net short the Australian and Asian economies, which is an outcome of the stocks BLSEM prefer rather than the strategy. |
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