NEWS
20 May 2014 - Alpha Beta Asian Fund
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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%.' |
| More Information | » View detailed profile of this fund |
20 May 2014 - Intelligent Investor Value Fund
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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.' |
| More Information | » View detailed profile of this fund |
19 May 2014 - Totus Alpha Fund
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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%.' |
| More Information | » View detailed profile of this fund |
19 May 2014 - HFA Sydney Symposium
HFA Symposium
Sydney - Wednesday 21 May 2014; 12:00 - 2:00 pm
The Hedge Fund Association, in conjunction with Pricewaterhouse Coopers, is pleased to present an update on key regulatory matters currently affecting the alternative investment industry. A panel of Pricewaterhouse Coopers senior executives will provide a detailed overview of the following topics, as well as allowing for questions and commentary from attendees:
- Introduction: Ken Woo
- Market trends and insights: Joe Sheeran
- Hot topics - Regulatory framework for an inbound hedge fund manager in Australia: Andrew Wheeler
- Other regulatory updates, including IMR, FATCA and GATCA: Darren Mack/Jodie Bosler
Attendees will enjoy a light lunch, an informative and interactive panel discussion on important regulatory matters, as well as being provided with the opportunity share experiences with industry peers.
Space is limited, please select a link below and RSVP now:
Please direct any questions regarding this event to Adriana Kostov, Australian Regional Director, HFA
Wednesday, 21 May 2014
- 12:00pm-12:30pm Registration, Light Lunch and Introduction
- 12:30pm-1:30pm Panel Discussion
- 1:30pm-2:00pm Q&A/Concluding Remarks
PricewaterhouseCoopers
Darling Park 201 Sussex Street
Sydney NSW 2000
Australia
EVENT SPEAKERS |
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Ken Woo is a specialist financial services tax partner and is also PwC's national Asset Management Industry leader. He has been with PwC for over 25 years, 15 as a partner. Ken is actively involved in PwC's global thought leadership and policy initiatives. He was a member of the Asia Funds Passport Working Group of the former Financial Centre Taskforce, the Board of Taxation's Advisory Panel, the ATO Trust Consultation Group and has been involved in the development of the Investment Manager Regime. Ken advises a range of Australian and global hedge fund managers on both domestic and international tax aspects including setting up operations in Australia, inbound and outbound investment structuring, product development and tax management. Ken is a Fellow of the Institute of Chartered Accountants, a Solicitor of the Supreme Court of New South Wales and a Fellow of the Tax Institute and Chartered Tax Adviser.
Joe Sheeran is a Partner in PwC Sydney's Asset Management practice. Having worked for PwC in Dublin, Sydney, Mumbai and Tokyo, Joe has 18 years' experience in the financial services sector. During that time he has worked on the IPO, capital raisings and audits of a number of listed and unlisted investment funds as well as providing assurance and advisory services to global banking and brokerage clients. Since returning from a secondment to PwC Tokyo, Joe has been acting as auditor and advisor to a range of Australian, US and Asian based hedge fund managers including assisting on the implications of offshore managers establishing operations in Australia. Joe graduated from University College Dublin with a Bachelor of Commerce and Masters of Accounting and is a fellow of the Institute of Chartered Accountants in Ireland and Australia.
Andrew is the Legal Services Leader for PwC Australia and specialises in corporate and commercial law. Services provided by Andrew and his team include advice in relation to group and transaction structuring, business establishment and mergers and acquisitions in the financial services industry, equity capital markets advice, corporate re-organisations, financial services licensing, fund establishment, funds management and commercial documentation.
Darren is a specialist investment management tax Director with over 14 years experience and over 11 years experience with PwC. He also spent 2 years on secondment to PwC Boston's asset management practice. Darren has extensive experience in advising on funds management tax related matters including offshore investments, FATCA assessments, constitution matters and assisting clients with their compliance obligations such as tax returns and tax distribution reviews. He is also active in the industry in respect of various consultations with Treasury and the ATO on the Investment Manager Regime, taxation of limited partnerships, and the Asia Region funds Passport. He is a Chartered Accountant and a Solicitor of the Supreme Court of New South Wales.
Jodie is a Director in the Sydney Tax practice specializing in the funds management and custodial industry. Jodie is an operational tax expert, currently engaged in a number of FATCA, regulatory remediation and new market entrant projects. Jodie has 18 years funds management and custodial industry experience from various roles at BT, Perpetual and RBC. Jodie has a B.Comm (Accounting & Legal Studies) from the University of NSW, is a Chartered Accountant and a member of the FSC FATCA and Unit Pricing working groups |
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Speakers may change at any time due to unforeseen circumstances. |
HFA Contacts:
Global Executive Director - Lara Block
[email protected]
Global President - Mitch Ackles
[email protected]
Australia Chapter Director - Adriana Kostov
[email protected]
16 May 2014 - Hedge Clippings
Firstly an apology for an error in our Hedge Clippings two weeks ago (May 2nd) where it was stated that the Federal budget would be handed down last Tuesday, May 6th. We were a week early, based on our misguided view that "budget night" was traditionally the first Tuesday in May.
Secondly, an apology for suggesting that the pre-budget leaks were designed to be softening us up, and that the news on the night would not be as bad as expected, and we would all thank the Treasurer for being so kind. The fact is that by and large everything on the day was well telegraphed, and therefore planned, perhaps with the exception of the Treasurers' cigar chomping, disco dancing images that somehow made it into the media.
There's no doubt there needs to be some changes made and medicine to be taken on both the revenue and expenditure side, but we can't help feel the PM's "more pain, more gain" mentality is better suited to his sporting attitude than the gentle art of persuading an electorate that the solutions that have been suggested in the budget are acceptable.
As indicated in the previous Hedge Clippings, the risk is that the spending and welfare cuts will damage consumer confidence which is the lifeblood of the economy. Added to that risk is that the PM's and his government's political goodwill has been damaged to the extent that if the budget bills are blocked in the senate, and a double dissolution is called, he might go down as one of the shorter serving PM's in history.
OK, so enough empty opinion. What's the collective remedy of the kitchen cabinet that met today after the early morning swim at LPAC over a cup of coffee?
GST:
Get on with it! Increase it to 12.5% or 15%, possibly in two tranches. OK a broken promise, but only one, as opposed to many. And it would be a brave opposition that tried to block such a move as it would prevent them increasing GST themselves down the track. The decision on widening the GST to include food, health and education was split 50/50 and therefore deferred as I didn't have a casting vote.
The joy of the GST from the government's perspective is the system is already in place, the revenue would flow almost immediately, and there would be virtually no incremental collection costs. And the higher a persons income the more they are likely to consume, which is why it's known as a consumption tax.
2015 GST revenue estimate: $54 bn. Cost of exemptions for food, health and education etc $17 bn.
Revenue benefit: $27bn in 2015 if raised to 15%, and another $15 to $20bn if broadened to include food, health and education.
Income Tax:
Increase the tax free threshold to provide relief for those on lower incomes as a result of the added costs of the increase in GST. By all means tighten eligibility for some benefits to ensure welfare is delivered to the needy, not the greedy, remembering JFK's inaugural address in 1960 "If society cannot help the many who are poor, it cannot save the few who are rich."
We assumed the tax free threshold increase would cost $10 bn, leaving the net increase from GST at 15% between $17 and $37 billion.
The new tax levy for those earning over $180,000 a year is insignificant, reportedly costing $7 a week, or two cups of coffee at that level, and an insult to those lower down the salary tree feeling the pain. GST at 15% would collect far more from the well off than the new tax levy, as well as being permanent.
Budget estimate for individual income and withholding tax is $178.8 billion.
Company tax:
Budget estimated income: $71.6bn. As a thought, why do higher earning individuals pay higher tax rates, but there's a flat tax rate for companies?
Negative Gearing on Investment Property:
Scrap it, to be phased out over 5 or 10 years to ease any sudden fall in property values. It currently cost the government $4 billion a year and is claimed by 1.2 million tax payers. Possibly retain it on newly built homes only.
Added benefit: Improves housing affordability, especially for first home buyers.
Fuel tax:
No need to break that promise, the increase in GST on petrol sales would generate far greater revenue.
Superannuation:
Now it gets tricky!
Tax concessions on "super" cost the budget $35bn. However, properly implemented super should result, as originally intended (over time) in the government not having to fund as many retirees. Estimated cost of income support for seniors (aged pension) is currently $42 bn, so provided super could only, or mainly be taken as an annuity pension rather than a lump sum, the demand or eligibility for aged welfare would reduce significantly.
As an aside, the kitchen cabinet proposed a portion of all super should be invested in Infrastructure Bonds, paying a defined income stream. More on that another day.
Conclusion:
Would all that fix the deficit estimate of $24 billion? With some adjustment we thought so, even if the calculations were on the back of an envelope, although with the benefit of the Budget Estimates provided by the government's web site.
Would it fix the PM's credibility? That might be a tad tougher, but on balance we thought he'd have a better chance with the Senate, and possibly the electorate as well.
Specific results received this week include the following PERFORMANCE and NEWS UPDATES:
The Supervised High Yield Fund returned 0.21% for March and 7.74% over the prior twelve months with a vol of 0.74%.
Optimal Australia's Absolute Trust returned 0.57% in a choppy market with annual returns of 4.62% and a volatility of 1.6%.
The 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%.
Morphic's 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.
The Laminar Credit Opportunities Fund returned 1.03% during April and 11.81% for the year, strong returns in a low interest rate environment.
19-20 May in Sydney, IBR Conferences presents the Unit Pricing Forum. This is a 2 days forum exploring Unit Pricing operational challenges for 2014 & beyond. Topics include new APRA reporting requirements & implementation; impacts on unit pricing reporting and more.
Wednesday 21 May in Sydney: The Hedge Fund Association, in conjunction with Pricewaterhouse Coopers, is pleased to present an update on key regulatory matters currently affecting the alternative investment industry. A panel of Pricewaterhouse Coopers senior executives will provide a detailed overview of topics, as well as allowing for questions and commentary from attendees.
28-30 May 2014 in Sydney: IBR Conferences presents the Asset Allocation Conference. This event has been designed to both update and educate investors by taking an in-depth look at these more adaptive asset allocation strategies and practices and where the best opportunities for high return lay in the current climate.
If you would like your Event listed in our calendar, please contact us.
And now for something completely different this week, maybe you saw this on the news, Tara the cat, latest American hero, I wonder if she has some budget suggestions?
On that note, I hope you have a safe and happy weekend.
Best wishes,
Chris
CEO, AUSTRALIAN FUND MONITORS
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Australian Fund Monitors are helping to raise awareness to support research into prevention and cure for cerebral palsy. For more information visit www.cpresearch.org.au or contact me by email.
16 May 2014 - Laminar Credit Opportunities Fund
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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.' |
| More Information | » View detailed profile of this fund |
16 May 2014 - Unit Pricing Forum
UNIT PRICING 2014 FORUM, 19th - 20th May, Sydney
This 2 days forum will be exploring Unit Pricing operational challenges for 2014 & beyond
- New APRA reporting requirements & implementation: impacts on unit pricing reporting
- Comparison of unit pricing in Australia to Europe
- Tax benefits of rolling from accumulation to pension phase - How to pass these to the members
- Unit Pricing operational risks & unit pricing errors
- Custodial unit pricing embracing change whilst driving improvement in the client experience
- Trustees new after-tax investing responsibilities under stronger super and the fund operations can help.
- Bottom up Versus top down tax provisioning
- Juxtaposition between an increase in unit pricing complexities alongside the desire for more simplified unit pricing process
- Internal Controls - How to minimise the risk of a unit pricing error & operational efficiency
Dates: 19th-20th May 2014
Time: 8:30am - 5:30pm
Location: Grace Hotel, Sydney
Click here to view the Agenda and more information on the event.
To register for the conference please download the brochure and fax the form to us or you can email us on [email protected] or give us a call:
Registrations Manager
IBR Conferences Pty Ltd
Tel: +61 (0) 2 9896 0776 | Fax: +61 (0) 2 9896 0796 | [email protected] | http://www.ibrc.com.au
15 May 2014 - Morphic Global Opportunities Fund
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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.' |
| More Information | » View detailed profile of this fund |
14 May 2014 - Bennelong Kardinia Absolute Return Fund
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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.' |
| More Information | » View detailed profile of this fund |
13 May 2014 - Optimal Australia Absolute Trust
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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.' |
| More Information | » View detailed profile of this fund |
