NEWS
12 Dec 2013 - Fund Review: BlackRock Multi Opportunity Fund
BLACKROCK MULTI OPPORTUNITY FUND
Attached is our most recently updated Fund Review on the BlackRock Multi Opportunity Fund.
We would like to highlight the following aspects of the Fund:
- The Fund offers broad diversification across asset classes including equities, fixed income, currencies and commodities with an attractive risk profile, having provided double digit returns in 2009 through 2012 with low volatility of 4.17% since inception.
- The current strategy has seen the Fund record only three negative months since May 2010, leading to annualised returns over the past 48 months (to October 2013) of 11.74% and an annualised volatility of 2.16% pa. The four year Sharpe Ratio is 3.60, indicating an excellent reward-to-risk ratio.
- BlackRock's Active Scientific involves extensive research into every aspect of the investment process starting with the identification of fundamental investment insights. These are thoroughly tested to ensure that the outcome consistently adds to performance: Quantitative analysis is also applied to balance both performance and risk ensuring the position is only taken when the potential for reward is adequate. Only insights meeting this multi level process are implemented into portfolios.
Research and Database Manager
Australian Fund Monitors
Blackrock Multi Opportunity Fund Monthly Performance Report October 201311 Dec 2013 - Monash Absolute Investment Fund
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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. |
| Manager Comments | The Fund had a month-end net exposure of 98% and gross exposure of 107%. Notable risk statistics for the Fund are the draw-down of -1.35% (S&P/ASX 200 Accum -6.72%), Up capture ratio of 0.69 and Down capture ratio of -0.13 with 76% positive months. All data is since inception in May 2012. The Manager discusses a number of portfolio holdings including Emerchants, Technology One, Ozforex and Emeco Holdings. |
| More Information | » View detailed profile of this fund |
10 Dec 2013 - Bennelong Kardinia Absolute Return Fund
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| Fund Overview | The Fund consists of a concentrated long/short portfolio typically comprising 30 to 40 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 | Since inception in May 2006 the Fund has delivered 14.10% p.a. (4.69% Index) with a volatility of 7.78% (14.70% Index). Short positions in Westpac and Westfield and long positions in Henderson and Macquarie were the largest positive contributors to performance, whilst long positions in Sirius and Carsales were the largest detractors. The Fund's net equity market exposure decreased to 56.9% (86.6% long and 29.7% short). |
| More Information | » View detailed profile of this fund |
9 Dec 2013 - Morphic Global Opportunities Fund
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| Manager Comments | Fund exposure was 112% net at month-end and 169% gross with a VAR of 1.30% at the 95th percentile. Largest sector exposures were Financials, Information Technology and Consumer Discretionary with geographic exposure dominated by North America. The top three active positions were US financials, a Global Cylical Basket and a Data Centre Spread with the first two positions net long and the last position net flat. The Fund also had currency position in the USD/Yen and an interest rate position that was long European Rates. |
| More Information | » View detailed profile of this fund |
6 Dec 2013 - Hedge Clippings
November Performance:
November saw the ASX200 decline for only the fourth month since June 2012, falling 1.94%, or 1.31% on a total return basis. The Australian market also disconnected from the S&P500 which rose 2.8%, and the A$ also lost ground. November fund results are positive overall, currently +1.59%, although with only 10% of fund reports to hand it is early days yet.
Even with the limited sample size there's a clear indication of where the action was in November, with the combination of positive offshore markets and a falling A$ clearly evident. Funds investing in Asia are currently averaging +5.2% for the month, Asia ex Japan +4.91% and Global +2.76%. Meanwhile Australian strategies are negative -0.18%. Only one week into December and there's some unfamiliar softness around the local market, with managers reporting that local investors are cashing up to take advantage of the pre-Christmas IPO rush, and offshore investors are concerned about potential further weakness in the A$ on the back of a stronger US currency.
There could also be some investor fatigue, combined with the realisation that 12 month equity returns of 25% don't continue forever. Perhaps some disappointment over what's looking like the shortest political honeymoon in history is also having an effect, along with the realisation that actual forward earnings might not match current expectations. Overseas indications are that QE tapering will eventually end, with US 10 year bond futures moving towards 3% also pressuring offshore markets.
Christmas cheer of the liquid kind might also be distracting some local investors, with only two week's full trading remaining before the traditional summer break looms for most market participants, with indications that many won't return to the fray until mid-January at least.
Specific results received this week include the following PERFORMANCE and NEWS UPDATES:
The Cor Capital Fund returned 0.56% during October and has delivered a return of 6.05% p.a. since inception (August 2012) with a volatility of 6.41%; in line with its goal of stable medium-term returns with liquidity, transparency and balance.
The Manager comments that during October the Fund's equities holdings contributed the most to performance (+1.07%) and this was partly offset by precious metals (-0.46%). Following a movement of some asset classes above defined limits, funds were allocated to precious metals and away from equities, fixed interest and cash at the end of the month in line with the Fund's re-balancing policy. This active risk management is critical to the Fund remaining prepared for a range of market outcomes.
BlackRock Multi Opportunity Fund returned 1.54% during October and 6.69% over the last 12 months with a volatility of 2.16%.
The Multi Opportunity Fund delivered strong performance in October with strong contributions from both Global Equity Long/Short and European Equity Long/Short strategies. The International Alpha Transport, Fixed Income Global Alpha and Australian Equity Long/Short strategies also added value. The fund returned 1.83% gross of fees versus the RBA cash benchmark return of 0.21%. Year to date, the Fund has returned 7.36% gross of fees.
The Australian Equity Long/Short strategy's performance benefited from an overweight to iron ore producers versus other miners. Underweight positions in mining services companies were also profitable with further downgrades across the sector. Other outperforming positions were over-weights in wealth managers which continue to run due to exposure to the rising market, and positive stock selection within the healthcare sector. The main performance detractors came from underweight positions in domestic cyclicals such as building materials, retail and media.
The CSAG Long Only Program returned -0.28% during October and -7.09% for the previous twelve months in a difficult commodities market. At month-end the Fund's allocations were approx Soft Commodities 8%, Grains 5%, Energy 20% and Metals 25%. The residual of 42% was in cash.
Since inception in April 2004 the Fund has delivered 5.68% p.a. as compared to the Dow Jones- UBS Commodities Index return of -0.30% p.a. over the same time frame. Annualised standard deviation for the Fund was 13.18% as compared to 18.26% for the Index.
FUND REVIEWS updated this week include:
The Aurora Fortitude Absolute Return Fund (AFARF) has a 8 year track record investing in ASX listed equities. A Market Neutral overlay is used across a multi strategy approach which allows for flexible asset allocation to maximise returns and minimise risk under a variety of market conditions and cycles.CIO John Corr has over 20 years financial market experience with a strong focus on risk.
Significant use of low risk "long" derivatives and option overlays has provided positive returns with low volatility during periods of market dislocation. Annualised return since inception is 8.17% with a very low standardised standard deviation. Over 87% of monthly performances have been positive, with no losing months in 2008 and a largest drawdown of -2.09%.
ASX listed Aurora Funds Limited was established on the merger of three existing fund management businesses, managing approx. $480m on behalf of more than 2,500 retail and wholesale investors.
BlackRock's Australian Equity Market Neutral Fund portfolio generally consists of approx. 180 stocks in equally weighted long and short portfolios to maximise potential returns while minimising market volatility. The strategy has recorded a return of 12.01% since inception (Sept 2001) as compared to the ASX 200 Accumulation Index return of 8.80% and with a volatility less than one-half that of the Index at 5.67% pa as compared to 13.18% pa.
The Fund has also recorded a maximum drawdown of 12.41% as compared to 47.19% for the Index and has had 78% positive months since inception.
Blackrock operates in 27 countries including Australia (where BlackRock has A$48.6 billion in FUM - March 2013) managing a broad range of strategies across a variety of asset classes.
12 February 2014: Investment Administration Conference - Efficiency in a Regulated World.
If you know of any upcoming hedge fund industry Events, or would like your Event listed in our calendar, please contact us.
As we mentioned last week, for something completely different Australian Fund Monitors are helping to raise awareness to support research into prevention and cure for cerebral palsy. Although we usually like to include a humorous clip every week, we were moved by watching Gavin's Bridge Climb and urge you to take a few minutes to see it for yourself.
Did You Know?
- Did you know that every 15 hours an Australian child is born with Cerebral Palsy, that means 1 in 500 babies.
- Did you know Cerebral Palsy is the most common physical disability in children.
- Did you know that 1 in 3 children with cerebral palsy cannot walk; 1 in 5 children cannot talk; 1 in 4 children have epilepsy and 1 in 2 children live with chronic pain every day.
- The Cerebral Palsy Alliance Research Foundation was established in 2005 and over half of the most effective treatments have been discovered since then.
- Before 2005 less than $1 million per year was being spent in Australia on relevant research.
For more information visit www.cpresearch.org.au or contact me by email [email protected]
On that note, enjoy the week-end!
Regards,
Chris
CEO, AUSTRALIAN FUND MONITORS
6 Dec 2013 - CSAG Long Only Program
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| Manager Comments | At month-end the Fund's allocations were approx Soft Commodities 8%, Grains 5%, Energy 20% and Metals 25%. The residual of 42% was in cash. Since inception in April 2004 the Fund has delivered 5.68% p.a. as compared to the Dow Jones- UBS Commodities Index return of -0.30% p.a. over the same time frame. Annualised standard deviation for the Fund was 13.18% as compared to 18.26% for the Index. |
| More Information | » View detailed profile of this fund |
5 Dec 2013 - Fund Review: BlackRock Australian Equity Market Neutral Fund
BLACKROCK AUSTRALIAN EQUITY MARKET NEUTRAL FUND
Attached is our most recently updated Fund Review on the BlackRock Australian Equity Market Neutral Fund.
We would highlight the following:
- The Fund's portfolio generally consists of approx. 180 stocks in equally weighted long and short portfolios to maximise potential returns while minimising market volatility.
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The strategy has recorded a return of 12.01% since inception (Sept 2001) as compared to the ASX 200 Accumulation Index return of 8.80% and with a volatility less than one-half that of the Index at 5.67% pa as compared to 13.18% pa.
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The Fund has also recorded a maximum drawdown of 12.41% as compared to 47.19% for the Index and has had 78% positive months since inception.
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Blackrock operates in 27 countries including Australia (where BlackRock has A$48.6 billion in FUM - March 2013) managing a broad range of strategies across a variety of asset classes.
Research and Database Manager
Australian Fund Monitors
4 Dec 2013 - CPD Points coming soon!
CPD points soon to be available
Australian Fund Monitors has been accredited for awarding continuing professional development points by the Financial Planning Association of Australia.
The AFM accreditation number is 006078 for 0.50 points.
CPD points will be available after reading an AFM Fund Review and answering 5 questions via an online Q&A system. Successful participants will be able to download a certificate at the end of the test.
Certified Financial Planner (CFP) professional members are required to keep up to date with industry knowledge to maintain their professional proficiency and status. This continuing professional development translates to CPD points which are to be maintained and recorded over a three year period (triennium). The current triennium runs from 1 July 2012 - 30 June 2015. CFP professionals must achieve a total of 120 CPD points during each three year period. The breakdown of these points needs to be as follows:
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at least 50% accredited,
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50% non-accredited
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including 3 ethics points.
CFP professionals must accumulate a minimum 35 points each year.
4 Dec 2013 - BlackRock Multi Opportunity Fund
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| Fund Overview | - Australian and International Equity Long/Short - Global Fixed Income Long/Short - Global Macro - Commodity Alpha - Alpha Transport The Fund's goal is to provide investors with a source of consistent, risk-controlled, absolute returns that are over time, expected to have low correlations with the returns of major asset classes. The Fund aims to achieve a return of 8% p.a. before fees, above the RBA Cash Rate Target over rolling 3 year periods. In order to achieve its expected return objective, the Fund will target a total expected risk of between 4-6% p.a. over the same rolling 3 year period. |
| Manager Comments | The Multi Opportunity Fund delivered strong performance in October with strong contributions from both Global Equity Long/Short and European Equity Long/Short strategies. The International Alpha Transport, Fixed Income Global Alpha and Australian Equity Long/Short strategies also added value. Global Macro had a small negative contribution. The fund returned 1.83% gross of fees versus the RBA cash benchmark return of 0.21%. Year to date, the Fund has returned 7.36% gross of fees. The Australian Equity Long/Short strategy's performance benefited from an overweight to iron ore producers versus other miners. Underweight positions in mining services companies were also profitable with further downgrades across the sector. Other outperforming positions were over-weights in wealth managers which continue to run due to exposure to the rising market, and positive stock selection within the healthcare sector. The main performance detractors came from underweight positions in domestic cyclicals such as building materials, retail and media. |
| More Information | » View detailed profile of this fund |
3 Dec 2013 - Fund Review: Aurora Fortitude Absolute Return Fund
ASX listed Aurora Funds Limited was established on the merger of three existing fund management businesses, managing approx. $480m on behalf of more than 2,500 retail and wholesale investors.
Research and Database Manager
Australian Fund Monitors
