June proved to be a very difficult month for Bennelong's Australian long/short equity fund due mainly to their defensive positioning which is premised on a cautious macro view. In addition, the manager experienced a large draw down on two of their positions in the volatile materials sector. The manager noted concerns that some of the main current drivers of domestic demand (the wealth effect associated with firm residential property values and raw material exports to China as it builds stockpiles) are not sustainable and have been overplayed by the market.

1 year return: +4.94%. Annual (Feb.2002): +20.30%

Bennelong was established in February 2002 and has a compound annual return since inception of 20.30%, including a positive return of 11.95% in 2008. The manager has recently seen a return of capital inflows, following Fund of Fund liquidity based redemptions in 2008, and FUM currently stands at A$60m.

Of the four funds run by Attunga Capital their Enviro Opportunities Fund was the top performer in June. The fund gained +1.6% for the month and has recorded a solid gain of +12.31% for the year so far.

1 year return: +2.61%. Annual (Aug.2006): +39.4%

The manager reports that electricity prices have been relatively low due to winter in NSW being comparatively mild and opportunities remain for generating better returns if there is greater market volatility through the middle of winter.

June returns for Attunga's other funds were: Power & Enviro Fund (offshore), +0.45%; Agriculture Trading Fund, +0.6%; and Agriculture Trading Fund (offshore), +0.47%.

Blue Fin Capital's Managed Commodities Fund continues to outperform its benchmark after achieving a return of +1.66% in June, compared with CSFB's Managed Futures index which rose by only +0.85% in the month.

1 year return: +2.97%. Annual (April 2007): +11.97%

The fund uses a managed account structure and uses a momentum based trading strategy in the major North American commodities futures markets determined by a quantitative system.

All three funds run by MM&E Capital recorded positive results in June with the Takeover Target Fund reporting the largest increase of +1.66%. The manager's other two funds, Investment Trusts 1 and 2, each reported a gain of +0.71%.

Takeover Target 1 yr return: -8.9%. Annual (Aug.2005) +8%
Trust #1 1 yr return: -2.6%. Annual (July 2002) +8.1%
Trust #2 1 yr return: -2.7%. Annual (July 2004) +7.4%

The Takeover Target fund benefitted from the sale of a holding in Caltex following the company's profit upgrade as well as improving value in Seek and Asciano. During the month the fund took new positions in RIO, Eastern Star Gas and Fairfax Convertible Preferences.

Australian based Absolute Return and Hedge Funds continued their outperformance during May, returning an average of 2.69% across all strategies based on 71% of results to hand. This was the third consecutive month of positive returns, bringing 2009 YTD returns to +5.91%, and 12 month performance to -10.79%.

For detailed analysis of performance for each strategy, industry comment and ranking tables, please open the attached .pdf file.

ATTACHED FILESJune 2009 Absolute Return and Hedge Fund Review (pdf format)

DV01 Mechelle Pty Ltd gained +2.7% in May, following on from strong positive returns in March and April.

1 yr return: -11.73%. Annual (Aug 2006): +12.94%

The company also hit its high water mark in May, previously set in June 2008. Net long exposure has increased significantly from September 2008, from 12.2% to 73% currently. The company's 2009 return now stands at +18.16%, however this follows on from -21.23% in 2008 and with a current risk level (annualised standard deviation) of 22.05%.

The MQ Asia Long Short Fund was up +4.26% in May, driven by alpha generation as the Fund's correlation to the MSCI Asia Pacific Index for May sat at -0.01%.

1 yr return: -5.89%. Annual (Oct 2005): +9.66%

Although most Asian equity markets performed strongly for the month, given the Fund's observed beta was almost zero in this period the manager has attributed the Fund's performance to their own alpha generating strategies. This result also puts the Fund back in the black for 2009 (+0.96%).

The manager is looking to gradually increase gross exposure in the months ahead, as volatility declines and there are indications that the Fund's investment processes are generating alpha again.

The Platypus Australian Long/Short Fund lost -6.18% in May, driven by losses on short positions in the materials sector.

1 yr return: -18.98%. Annual (Oct 2005): +2.4%

The Fund, which is managed by Platypus Capital Management, was hurt by the ongoing rally of base metal prices since the start of 2009, which was reflected in the share prices of materials companies (the sector gained +6.58% in May). The Fund has been short in this sector for some months, which provided positive returns in late 2008 and early 2009, however more recently this strategy has been dragging down performance. Although short positions are being reduced, this is being undertaken gradually therefore most of the losses have stemmed from long standing positions.

The Prime Value Growth Fund reported a gain of +2.8% in May, in a month where the Fund outperformed its benchmark (S&P/ASX300 Accumulation Index) by +1.3%.

1 yr return: -22.55%. Annual (Apr 1998): 15.64%

These results, although encouraging, come after the Fund lost over -31% last year. The Fund's cash holding and preference towards defensive stocks with strong balance sheets held back overall performance in May. However the manager believes that while earnings outlooks remain vunerable this is the most prudent way to minimise downside risk while providing upside if the market rally continues.

The Aurora Property Buy-Write Income Trust gained +1.13% in May as AREITs outperformed the broader equity market for the second successive month.

1 yr return: -8.51%. Annual (Jul 2007): -21.73%

The AREIT market, driven by strong performances in the office and diversified sectors, outperformed the S&P/ASX 200 Accumulation Index by +2.4% in May. The manager believes this to be another sign that AREITs were significantly oversold in previous months, with demand now coming from dedicated REIT funds, domestic equity investors and offshore REIT and equity investors. Successful equity raisings for a number of AREITs during the month also suggested that institutional investors remain positive on the outlook for AREITs.