NEWS
Performance Report: Bennelong Long Short Equity Fund
8 Apr 2020 - Australian Fund Monitors
The Bennelong Long Short Equity Fund outperformed the ASX200 Accumulation Index by +16.15%, returning -4.5% after fees. The Fund has returned +15.49% p.a. since inception in February 2002 versus the Index's annualised return of +6.68%.
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8 Apr 2020 - Performance Report: Bennelong Long Short Equity Fund
By: Australian Fund Monitors
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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 Fund's gearing declined to 3.9X, down from 4.3X at the end of February, to counter market volatility. In this environment Bennelong remain focused on enhancing the attributes they are looking for in both the long and short portfolios. The Fund's trading activity was elevated as a result of volatility and opportunity. Bennelong noted it remains unclear whether the flow-on effects of a health crisis becoming an economic crisis will extend to a full-blown credit crisis. They highlight that the risk of financial distress in the economy is material, with the prolonged backdrop of artificially depressed interest rates via central bank intervention continuing to distort creditworthiness and capital allocation. |
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Performance Report: Australian Eagle Trust Long-Short Fund
7 Apr 2020 - Australian Fund Monitors
The Australian Eagle Trust Long-Short Fund outperformed the ASX200 Accumulation Index by +4.41% in March. Since inception in July 2016, the Fund has returned +12.18% p.a. versus the Index's +3.55%. Australian Eagle noted they remain...
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7 Apr 2020 - Performance Report: Australian Eagle Trust Long-Short Fund
By: Australian Fund Monitors
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| Manager Comments | The Fund returned -16.24% against the Index's -20.65% in March. The portfolio's largest positive contributions came from long positions in ASX Ltd, Fortescue Metals and Resmed Inc. Key detractors included long positions in Japara Healthcare, QBE Insurance Group Ltd, and a short position in Cimic Group. The Fund had 31 long positions and 24 short positions with largest exposure to medical devices & services and technology stocks. At month-end, the portfolio had relatively less exposure to banking and materials stocks. Australian Eagle noted they remain focused on taking long-term positions in high quality growth companies with strong balance sheets that will be able to take advantage of weaker competitors once this downturn passes. Consequently, outside of minor trades to take advantage of large falls in certain stock prices during the month, they do not intend to trade excessively during this volatile time nor change the net exposure, but allow the strong individual company attributes to produce the Fund's results. |
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Performance Report: Gyrostat Absolute Return Income Equity Fund
6 Apr 2020 - Australian Fund Monitors
The Gyrostat Absolute Return Income Fund rose +5.8% after fees in March, outperforming the ASX200 Accumulation Index by +26.45%. Since inception in December 2010, the Fund has returned +5.27% p.a. with an annualised volatility of 4.20%.
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6 Apr 2020 - Performance Report: Gyrostat Absolute Return Income Equity Fund
By: Australian Fund Monitors
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| Fund Overview | The investment objective is to deliver regular and stable income stream (from ASX20 dividends) in a low interest rate environment with capital security - a 'highly-defensive' asset class. Gyrostat has operated for 37 consecutive quarters within a 'hard' pre-defined risk parameter (no more than 3% capital at risk with the Fund's maximum draw-down 2.2% in any circumstances) always in place, delivering regular income by passing through ASX-20 dividends, and meeting returns guidance based upon market conditions (demonstrating increasing returns with market volatility). The Fund buys and holds ASX-20 and international assets with lowest cost protection always in place with upside. It is a conservative asset allocation. Note that Gyrostat have expanded their international assets within the Fund to include SP500, FANGS, Nikkei, Hang Seng, MSCI China, MSCI Developed and Developing markets. Advances in investment risk management enable cost-effective protection to always be in place for a 'hard' defined risk parameter (say no more than 3% capital at risk). Returns are designed to increase as volatility levels increase, as this provides more opportunities to lower protection costs. Investment Objectives: - Returns: 6% - 8% pa in trending markets, greater than 8% pa in volatile markets, BBSW90 + 3% in stable markets - Income: Minimum cash rate + 3% paid semi-annually (currently 4.0% p.a.) from dividends and franking credits - Protection: No quarterly NAV draw-downs exceeding 3% Also includes a 'tail hedge' for gains on large market falls. |
| Manager Comments | Gyrostat are focused on ensuring the Fund is highly defensive, protecting wealth whilst delivering regular income. The Fund has operated for 37 consecutive quarters with a 'hard' pre-defined risk parameter always in place (no more than 3% of capital at risk with a maximum drawdown of -2.2% in any quarter). Gyrostat have expanded the international assets within the Fund to include S&P500, Nasdaq, FANGS, Nikkei, Hand Send, MSCI China, MSCI Developed and developing markets, allowing Gyrostat to offer a broader range of non-correlated assets with significant scale potential. |
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Fund Review: Bennelong Kardinia Absolute Return Fund February 2020
3 Apr 2020 - Australian Fund Monitors
The latest Fund Review for the Bennelong Kardinia Absolute Return Fund is now available. The Fund, which has been in operation for more than 10 years, has a long-biased, research driven, active equity long/short strategy and invests in...
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3 Apr 2020 - Fund Review: Bennelong Kardinia Absolute Return Fund February 2020
By: Australian Fund Monitors
AFM Fund Review - February 2020 (pdf format)
BENNELONG KARDINIA ABSOLUTE RETURN FUND
Attached is our most recently updated Fund Review. You are also able to view the Fund's Profile.
- The Fund is long biased, research driven, active equity long/short strategy investing in listed ASX companies.
- The Fund has significantly outperformed the ASX200 Accumulation Index since its inception in May 2006 and also has significantly lower risk KPIs. The Fund has an annualised return of 8.98% p.a. with a volatility of 7.12%, compared to the ASX200 Accumulation's return of 6.02% p.a. with a volatility of 13.22%.
- The Fund also has a strong focus on capital protection in negative markets. Portfolio Managers Mark Burgess and Kristiaan Rehder have significant market experience, while Bennelong Funds Management provide infrastructure, operational, compliance and distribution capabilities.
For further details on the Fund, please do not hesitate to contact us.
AFM Fund Review - February 2020 (pdf format)
Performance Report: Surrey Australian Equities Fund
2 Apr 2020 - Australian Fund Monitors
The Surrey Australian Equities Fund has returned +4.07% over the past 12 months. Surrey noted they are conscious of the risks COVID-19 poses - both the health and economic impacts. They remain positive on equity markets in 2020 but are...
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2 Apr 2020 - Performance Report: Surrey Australian Equities Fund
By: Australian Fund Monitors
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| Fund Overview | The Investment Manager follows a defined investment process which is underpinned by detailed bottom up fundamental analysis, overlayed with sectoral and macroeconomic research. This is combined with an extensive company visitation program where we endeavour to meet with company management and with other stakeholders such as suppliers, customers and industry bodies to improve our information set. Surrey Asset Management defines its investment process as Qualitative, Quantitative and Value Latencies (QQV). In essence, the Investment Manager thoroughly researches an investment's qualitative and quantitative characteristics in an attempt to find value latencies not yet reflected in the share price and then clearly defines a roadmap to realisation of those latencies. Developing this roadmap is a key step in the investment process. By articulating a clear pathway as to how and when an investment can realise what the Investment Manager sees as latent value, defines the investment proposition and lessens the impact of cognitive dissonance. This is undertaken with a philosophical underpinning of fact-based investing, transparency, authenticity and accountability. |
| Manager Comments | They believe the hysterical reaction to the virus has created share price dislocations which they have used to buy what they believe to be strong companies at very attractive valuations. These investments are not directly exposed to COVID-19 either on the supply or demand side. The fund's top holdings at the end of February included Centuria Capital Group (CNI), Fisher & Paykel Healthcare (FPH), IMF Group (IMF), Imricor Medical Systems (IMR) and Xero Limited (XRO). The fund doesn't hold any travel business or have any significant exposure to companies directly focused on the Chinese consumer market. |
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Performance Report: Ark Global Fund - Class B AUD Unhedged
1 Apr 2020 - Australian Fund Monitors
The Ark Global Fund (unhedged) returned -2.2% in February, outperforming AFM's Global Equity Index by +3.37% and taking annualised performance since inception in July 2017 to +14.33% with an annualised volatility of 10.77%.
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1 Apr 2020 - Performance Report: Ark Global Fund - Class B AUD Unhedged
By: Australian Fund Monitors
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| Fund Overview | The investment objective of the Fund is to achieve long-term capital appreciation with low correlation to global equity markets through investment in the Underlying Fund. Fund One is a global macro fund that utilises quantitative research including machine learning techniques and fully automated trading algorithms which will aim to generate positive uncorrelated returns relative to any significant equity benchmark. The traded instruments are either major FX pairs or the most liquid exchange traded stock index, bond, and commodity futures across North America, Europe and Asia Pacific. The algorithm backtests over 10 years of tick data and in order to do so effectively requires machine learning to filter noise and identify meaningful signals, which results in statistically significant prediction of price movements. In production this processing is done in real time and the portfolio reacts to asset movements by rebalancing automatically to the desired risk exposure through the market impact optimised execution logic. Risk management layers built into the algorithm have been developed using the experience the team has gained from their decades in highly liquid fast-moving markets in the proprietary High Frequency Trading world. This allows the system to trade autonomously but safely to all trading opportunities and potential system issues, and to alert the team to any behaviour outside of strictly controlled bounds. The Fund is a 'feeder fund' which indirectly gains exposure to the underlying assets by investing all or substantially all of its assets in the Underlying Fund. The Fund may retain a certain amount of cash from the investment in the Fund for the purpose of payment of costs, fees, hedging and expenses. |
| Manager Comments | The Fund's capacity to significantly outperform in falling markets is highlighted by the following statistics (since inception): Sortino ratio of 2.11 versus the Index's 1.67, down-capture ratio of -46.73% (indicating that, on average, the Fund has risen during the months the market has fallen), and maximum drawdown of -5.24% versus the Index's -10.57%. The best performing assets for the month were: Swiss Market Index future (+6.68% of NAV), Canada TSX 60 future (+3.36% of NAV), and FTSE100 future (+1.80% of NAV). The worst performing assets for the month were: Topix future (-4.60% of NAV), Gold future (-7.97% of NAV), and Euro Stoxx 50 future (-8.45% of NAV). |
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Performance Report: Harvest Lane Asset Management Absolute Return Fund
31 Mar 2020 - Australian Fund Monitors
The Harvest Lane Absolute Return Fund outperformed the ASX200 Accumulation Index by +5.27%, returning -2.42% after fees. Since inception in July 2013, the Fund has returned +7.45% p.a. with an annualised volatility of 6.77%.
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31 Mar 2020 - Performance Report: Harvest Lane Asset Management Absolute Return Fund
By: Australian Fund Monitors
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| Fund Overview | 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 Fund's capacity to significantly outperform in falling markets is highlighted by the following statistics (since inception): Sortino ratio of 1.39 versus the Index's 0.96, down-capture ratio of -23.56% (indicating that, on average, the Fund has risen during the months the market has fallen), largest drawdown of -6.46% versus the Index's -13.73%, and an average negative monthly return of -1.37% versus the Index's -2.55%. Harvest Lane noted they saw a reversal in February of the tightening in deal spreads they had observed over the past 12 months as investors shifted their focus from risk-adjusted returns to outright capital preservation. They have minimised the Fund's exposure to a number of deals which are as yet non-binding. The non-binding nature presents inherent risk to the transaction completing and are typically the first transactions to see widening spreads given the lack of a legal framework compelling the bidder to complete the offer. At the time of writing their February 2020 report, close to 60% of the portfolio's assets were invested in companies subject to binding transactions with a further 21% in cash and cash equivalents. Harvest Lane remain vigilant and continue to act with capital preservation at the forefront of their decision making process, particularly in the current market conditions. |
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Performance Report: Wheelhouse Global Equity Income Fund
31 Mar 2020 - Australian Fund Monitors
The Wheelhouse Global Equity Income Fund returned -1.95% in February, outperforming AFM's Global Equity Benchmark by +3.62% and taking annualised performance since inception in May 2017 to +9.30% with an annualised volatility of 7.86%.
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31 Mar 2020 - Performance Report: Wheelhouse Global Equity Income Fund
By: Australian Fund Monitors
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| Fund Overview | To pursue this objective, the Investment Manager is responsible for actively managing, monitoring and tailoring the integration of derivative contracts alongside the Morningstar Portfolio, while taking into account changing market and stock specific conditions. The Investment Manager is responsible for maximising the structural benefits of short option positions (lowered Volatility, improved capital preservation, higher income generation), whilst mitigating, minimising and monitoring the structural negatives (variable market exposure, option expiries, collateral management and asymmetric return profiles). In addition, long derivatives positions are also used to enhance the capital preservation characteristics of the Fund in more extreme market movements. As a consequence of the integration of Derivatives, returns of the strategy, intra-cycle, are expected to vary from the underlying Morningstar Portfolio due to these characteristics. For example in weak markets, or in extended sideways markets, the Fund is expected to outperform relative to the Morningstar Portfolio. Conversely in strong positive markets the Fund is expected to underperform. |
| Manager Comments | The Fund's February return comprised -5.56% from the portfolio (in USD) and a positive return of +3.61% from the weakening of the Australian dollar versus the US dollar. Top contributors included Schneider Electric, Kerry Group, Tyler Technologies, Adobe and Sanofi. Key detractors included Western Union, Intel Corp, GlaxoSmithKline, Bank of America and United Technologies. |
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Performance Report: Datt Capital Absolute Return Fund
30 Mar 2020 - Australian Fund Monitors
The Datt Capital Absolute Return Fund returned -5.85% in February, outperforming the ASX200 Accumulation Index by +1.84%. Since inception in August 2018, the Fund has returned +5.89% p.a. with an annualised volatility of 10.97%.
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30 Mar 2020 - Performance Report: Datt Capital Absolute Return Fund
By: Australian Fund Monitors
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| Fund Overview | Our investment objectives are: 1) To minimise the risk of permanent capital loss 2) Generate a net return of 10% through the economic cycle An unconstrained, concentrated approach focused on superior risk-adjusted returns. The investment strategy: - targets long-term capital growth in a prudent manner, with an emphasis on capital preservation and low volatility in returns - aims to outperform in markets where equities are down - diversifies investments across asset classes and duration to reduce risk while maintaining relatively concentrated exposure to attractive investment opportunities - is an application of the Manager's investment process, that has no institutional constraints and is completely benchmark unaware |
| Manager Comments | In February the Fund's equity performance was negative, driven by the fall in their two largest exposures - Adriatic Metals and Alkane Resources. Datt Capital exited their holding in Whitehaven and added to their position in Alkane Resources. The manager continues to monitor a number of fixed income instruments in the distressed and special situation space. The Fund has no current derivative exposure. Current equity exposures are Afterpay, Adriatic Metals, Alice Queen, Alkane Resources, Argonaut Resources, Valmec and Yandal Resources. |
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Performance Report: Bennelong Twenty20 Australian Equities Fund
27 Mar 2020 - Australian Fund Monitors
The Bennelong Twenty20 Australian Equities Fund returned -5.92% in February, outperforming the ASX200 Accumulation Index by +1.77% and taking annualised performance since inception in November 2009 to +10.30% versus the Index's +7.83%.
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27 Mar 2020 - Performance Report: Bennelong Twenty20 Australian Equities Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund is managed as one portfolio but comprises and combines two separately managed exposures: 1. An investment in the top 20 stocks of the markets, which the Fund achieves by taking an indexed position in the S&P/ASX 20 Index; and 2. An investment in the stocks beyond the S&P/ASX 20 Index. This exposure is managed on an active basis using a fundamental core approach. The Fund may also invest in securities expected to be listed on the ASX, securities listed or expected to be listed on other exchanges where such securities relate to ASX-listed securities.Derivative instruments may be used to replicate underlying positions and hedge market and company specific risks. The companies within the portfolio are primarily selected from, but not limited to, the S&P/ASX 300 Accumulation Index. The Fund typically holds between 40-55 stocks and thus is considered to be highly concentrated. This means that investors should expect to see high short-term volatility. The Fund seeks to achieve growth over the long-term, therefore the minimum suggested investment timeframe is 5 years. |
| Manager Comments | Bennelong's view is that the volatility currently plaguing markets is telling of markets' fear of uncertainty. At this stage, Bennelong believe the virus is a short-term disruption and that it could pass within the next few months. Once it has passed, they expect the outlook for equities to be favourable; markets will be looking ahead with the benefit of low interest rates, possible fiscal stimulus and some pent-up demand. Looking beyond the short-term view of the market, Bennelong have taken the opportunity to selectively up-weight their position in holdings that were heavily sold off but in which they continue to see long duration growth that will resume in time. They are also proactively managing risk by focusing on quality, and in particular, durable businesses with strong balance sheets. |
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