NEWS
Alpha Beta Asian Fund
20 May 2014 - Australian Fund Monitors
Alpha Beta Asian Fund recorded a return of -1.23% during April and 10.37% over the prior 12 months with a low volatility of 5.41%.
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20 May 2014 - Alpha Beta Asian Fund
By: Australian Fund Monitors
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| Fund Overview | The portfolio managers are Andrew Barry and Ken Lewis who have significant experience running quantitative funds both in Asia and globally. The portfolio management team is supported by an experienced investment, operational and risk management team together with an advisory board. Operationally, Alpha Beta has developed proprietary investment, trading, risk and middle and back office systems. The Alpha Beta Asian Fund is a market neutral quantitative long short fund with exposure to liquid Asian equities. The investment objective of the Fund is to produce positive annual returns without excessive risk. This is achieved through the use of a quantitative approach to invest both long and short in large cap companies listed on Asian stock exchanges. The Fund may also use index futures to manage risk. Stock prices and company fundamental data are decomposed into directional and mean reverting components. Each of Alpha Beta's models are based on either of these known behaviours with capital management built into each model. The benefit of a quantitative approach is that it is both repeatable and unemotional, and allows a different source of returns to be extracted from a very noisy market environment. |
| Manager Comments | The Fund's risk attributes are shown by the low draw-down of 3.05 as compared to 6.45, average Fund return in negative market of 0.04% and up and down capture ratios of 0.43 and -0.01 respectively. All data is for the last 12 months. The Alpha Beta Asian Fund finished the month -1.2% under-performing its two benchmarks HRI Market Neutral (-0.3%) and HFRI Quantitative Directional (-0.1%). The Japanese book was up whilst the Australian book was impacted by M and A activity in the last two days of trading. The portfolio's modest net (+20%) and gross (149%) exposures reflect the current non-directional bias of the portfolio. The Monthly Report notes that 'During April 2014, equities markets initially sold off due to concerns about Russia intervening further in Ukraine; slower economic growth out of China and a de-rating of US growth (internet, bio- technology) shares. The latter had become overvalued in 2013/4 given their modest forward earnings outlook. However markets recovered somewhat by month end with Japan rallying from -6.1% mid month to close the month down -2.6% and the MSCI Asia Pacific Index finishing down -0.5%, Hong Kong -0.1% and the ASX 200 +1.8%.' |
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Intelligent Investor Value Fund
20 May 2014 - Australian Fund Monitors
Intelligent Investor Value Fund returned -3.44% (Small Cap Index -1.2%) in a weak small cap market with the 12 month result 18.67%.
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20 May 2014 - Intelligent Investor Value Fund
By: Australian Fund Monitors
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| Manager Comments | Manager commentary notes that 'Given the extraordinary returns of the past few years, a period of under-performance was inevitable. April duly delivered. The Value Fund unit price fell 3.4% for the month and was soundly beaten by the All Ordinaries Accumulation Index, which gained 1.3%. The Fund's ownership of small companies didn't help the Small Ordinaries Accumulation Index was down 1.2% nor did the exposure to technology. Echoing recent falls in the US Nasdaq Index (down 2% in April), nearly half the month's losses relate to technology companies.' |
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Totus Alpha Fund
19 May 2014 - Australian Fund Monitors
Totus Alpha Fund returned -2.15% in April and a strong 39.11% over the last 12 month with a vol of 16.37%.
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19 May 2014 - Totus Alpha Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund is a long/short investment fund principally investing in listed entities, commodities, futures and options in Australia and internationally. The Fund is not a market neutral fund and accordingly may switch between net long positions and net short positions. The Fund may use short sales and derivatives as determined by Totus Capital. Gearing may be used to enhance returns and the Fund may be geared in excess of 100% of the Fund's Net Asset Value. There is a limit to net exposure of 150%. |
| Manager Comments | Up and down capture ratios were notable at 0.85 and -1.47 as was the Sharpe ratio at 1.97. The Monthly Performance comments that 'The fund went into April with relatively large exposure to tech (bricks to clicks), high PE stocks (scarce growth) and US$ earners all of which were hit to varying degrees over the month by the aggressive rotation out of crowded "winners" into cheaper "laggards" as well as the ongoing strength in the Aussie dollar. The market was unimpressed with the growth in costs reported by Google (our 2nd largest position) which cost the fund just over 0.5%. Adding to the pain was a takeover bid for one of our "structurally challenged" short positions Goodman Fielder and the cost of our index hedging which together cost the fund another 1%.' |
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Laminar Credit Opportunities Fund
16 May 2014 - Australian Fund Monitors
Laminar Credit Opportunities Fund returned 1.03% during April and 11.81% for the year, strong returns in a low interest rate environment.
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16 May 2014 - Laminar Credit Opportunities Fund
By: Australian Fund Monitors
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| Fund Overview | The Fund may also invest in derivatives for hedging purposes. The portfolio of the Fund comprises primarily Investment Grade holding of 75% of the Fund's assets. Benchmark allocations are Australasia 50% to 100%, North America 0% to 50% and Europe 0% to 50%. Currency hedging may take place depending on benefits to the Fund. |
| Manager Comments | The portfolio ended the month with a 67% exposure to RMBS followed by 14% to short dated loans. 'The returns of the Fund over April were supported by the tightening of credit spreads in the residential mortgage-backed securities (RMBS) sector. We have said that RMBS have been attractive for some time and that is now being reflected in greater demand for this product. On a relative value basis, we still believe that parts of the RMBS market remain cheap, but we will need to be particular about which parts we invest in going forward.' |
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Morphic Global Opportunities Fund
15 May 2014 - Australian Fund Monitors
Morphic Global Opportunities Fund returned 0.75% in April, slightly under-performing it's benchmark (MSCI ACWI in $A) and recorded 25.08% over the previous 12 months with notable Sharpe and Sortino ratios.
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15 May 2014 - Morphic Global Opportunities Fund
By: Australian Fund Monitors
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| Manager Comments | At month-end Fund exposures were 101% net, 153% gross with a VaR of 1.17%. The Fund's largest (gross) exposure was US Banks at 17.8%. The Performance Report comments 'April proved to be another month of consolidation for global markets, with volatility in most asset classes diminishing, especially currencies. Market momentum also saw preferences rotate from higher quality growth companies, to cheaper, lower quality names. The Fund's biggest win came from its overweight exposure to the global automotive industry, focussed mostly on two Canadian components makers, Linamar and Magna, although US car dealer Asbury also made a contribution. The view at Morphic has long been that car parts makers are better businesses than branded car assemblers. The former's steady re-rating compared to car firms seems to be confirming this view, although how much more mileage remains in the trade is less clear. The Fund closed the month still fully invested, with limited regional biases other than the overweight India versus other emerging markets. The Fund substantially cut its interest rate hedges during the month and in early May closed these out completely. The continuing rise of the Australian dollar was partially offset by the Fund having hedging over part of its US Dollar exposure.' |
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Bennelong Kardinia Absolute Return Fund
14 May 2014 - Australian Fund Monitors
Bennelong Kardinia Absolute Return Fund recorded a return of -0.63% during April with the 12 month result 7.53% and a volatility of 3.70%.
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14 May 2014 - Bennelong Kardinia Absolute Return Fund
By: Australian Fund Monitors
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| 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. There is a slight bias to large cap stocks in 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. |
| Manager Comments | Fund exposures at month-end were 56% long and 20% Short with a net exposure of 36%, down from the previous month. The Monthly Performance Update notes that within the portfolio 'Share Price Index Futures (hedging longs), Henderson Group, Donaco and Seek were all significant detractors from performance. A short in Coca-Cola Amatil (which had a profit warning), and longs in Challenger and Oil Search were the largest positive contributors.' |
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Optimal Australia Absolute Trust
13 May 2014 - Australian Fund Monitors
Optimal Australia Absolute Trust returned 0.57% in a choppy market with annual returns of 4.62% and a volatility of 1.6%.
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13 May 2014 - Optimal Australia Absolute Trust
By: Australian Fund Monitors
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| Fund Overview | The Fund's bias is likely to be net long under normal market conditions, with the core strategy being to construct a portfolio of listed equity securities priced at levels that do not adequately reflect their underlying value. The Fund will seek to boost returns and limit potential market downside by selective short selling of individual stocks which are priced at levels that are viewed as materially above their underlying value. The Fund will also use certain trading strategies both within its core portfolio (through rebalancing stock weights and overall market exposure in response to price movements) and in certain other situations (typically of a shorter-duration and/or opportunistic nature) with the objective of further increasing returns. |
| Manager Comments | Since inception in September 2008 the Fund has delivered a return of 10.18% (Index 5.81%) with a volatility of 3.51% as compared to 14.85%. Over the same time frame the Fund has recorded 84% positive months and a Sharpe Ratio of 1.74. The Monthly Report comments on the Fund's performance 'In broad terms, the positive returns on our long positions in April more than offset the cost of hedging our overall portfolio risk, and no one theme or sector dominated our long portfolio. Minimising the cost of portfolio protection - let alone making money on shorts - was again difficult in April, in a market in which financial repression and the TINA doctrine (''there is no alternative') towards equities continue to marginalise traditional approaches to valuation. Yet there are signs that this mind-set is slowly changing, as April saw a further sell-off in highly-valued 'momentum' stocks and, late in the month, in the big banks and mining heavyweights.' In terms of Fund strategy the Manager comments 'Risk protection remains a very necessary discipline, in our view, with the market at an elevated valuation, and with price gains in most stocks having been driven overwhelmingly by multiple expansion rather than by earnings growth. In the absence of any great conviction that the market can make a strong advance in the short term, we continue to maintain low net exposure, and exited the month slightly net short equity risk.' |
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Supervised High Yield Fund
12 May 2014 - Australian Fund Monitors
Supervised High Yield Fund returned 0.21% for March and 7.74% over the prior twelve months with a vol of 0.74%.
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12 May 2014 - Supervised High Yield Fund
By: Australian Fund Monitors
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| Fund Overview | The fund will invest in all forms of marketable floating and fixed income debt securities, such as asset backed debt securities, residential mortgage backed securities, corporate debt, regional and sovereign debt securities, debt/equity hybrid securities, equities and currencies. All these investments will be either listed or traded in a market where prices can be independently verified. The fund may also invest in interest rate swaps, options over authorised investments and exchange traded futures contracts. All these will be either listed or traded in a market where they can be independently valued. |
| Manager Comments | The risk statistics are indicative of the strategy with no draw-downs and a Sharpe ratio of 6.61. Since inception in April 2009 the volatility has been 2.22% and the Sharpe ratio 3.19. The Manager's Quarterly Report is available on the AFM Website at the Manager's Profile. |
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Bennelong Alpha 200 Fund
9 May 2014 - Australian Fund Monitors
Bennelong Alpha 200 Fund returned -0.57% during April in a choppy equity market. This is the Fund's fourth month of operation so no annual data is available.
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9 May 2014 - Bennelong Alpha 200 Fund
By: Australian Fund Monitors
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| Fund Overview | The core investment strategy of the Fund consists of the active selection of a series of paired long/short investments in Australian listed equities based upon the Investment Manager's fundamental research. The strategy seeks to capture stock Alpha whilst limiting portfolio exposure to market risk by adopting a dollar neutral portfolio market exposure position with the tactical capability to take net exposure of up to +/- 20% of gross assets. Stock selection is based on fundamental analysis to derive a view of a pair of individual stocks. The Investment Manager is style neutral in determining the stock's positioning. This primary 'pairs' strategy may be enhanced by other complementary strategies, including event driven, security and takeover arbitrage, thematic and momentum trading. The paired stock positions comprise long and short correlated securities that are in most cases simultaneously opened. A portfolio of approximately 30-100 stocks will be selected and actively managed in 15-50 pairs to comprise the core minimum (60%) of the Gross Asset Value. Up to a maximum of 40% of the portfolio's Gross Asset Value may be invested in uncorrelated securities and/or uncovered (long and/or short) positions. These 'satellite' positions are intended to enhance returns and to balance overall portfolio risk. In this regard, the Investment Manager recognises that it is not always possible to achieve a suitable paired profile within the S&P/ASX 200, and that a high conviction long or short stock idea might not always have a suitable pair. |
| Manager Comments | At month-end the Fund had an ASX 100 exposure of 52.8% and ex-ASX 100 exposure of 47.2% and Fund leverage was 2.2 times NAV. The Portfolio Performance section of the Monthly Performance Update notes 'In a reasonably strong share-market our longs failed to generate much return ending slightly positive for the month. Our short portfolio didn't cost us too much " the end result uninspiring. The feature of all the bottom pairs was a negative contribution from the longs. During the month many stocks which have had strong momentum recently were weak. Henderson, iProperty and Seek were all affected.' |
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Monash Absolute Investment Fund
8 May 2014 - Australian Fund Monitors
Monash Absolute Investment Fund returned -1.3% in a volatile equity market. The Fund's 12 month record is strong at 24.77% with a vol of 9.11%.
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8 May 2014 - Monash Absolute Investment Fund
By: Australian Fund Monitors
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| Fund Overview | The fund seeks to identify opportunities in the share market to make positive returns (long and short) irrespective of market conditions. It is style agnostic, as compelling investment opportunities exist across all investment styles from time to time. The Fund places a high priority on capital preservation, and has an absolute return focus in accepting market risk. The Manager's experience across value, growth and discounted cash flow styles allows them to use a comprehensive approach to investment decisions that applies all three. They also have the patience to seek out only compelling opportunities, rather than settling for relative value. The portfolio is somewhat concentrated, looking to diversify across industries and themes, rather than by trying to stay near an index. The portfolio may at times have a large amount of cash or other protection. However once investments are made turnover may be relatively high in order to lock in gains and avoid losses. |
| Manager Comments | The Fund had a net exposure of 76% at month-end with gross exposure 88%. Since inception VaR is 1.20%. The Manager's Month End Note discusses stock specific holdings and is available on the AFM website under the Monash Investors profile. |
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