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Printed: 05 July 2022 11:46 PM


08 Jul 2021 - Performance Report: Bennelong Long Short Equity Fund
By: Australian Fund Monitors

Report Date08 July 2021
ManagerBennelong Long Short Equity Management, a Bennelong boutique
Fund NameBennelong Long Short Equity Fund
StrategyEquity Market Neutral
Latest Return DateJune 2021
Latest Return10.11%
Latest 6 Months-2.28%
Latest 12 Months0.45%
Latest 24 Months (pa)14.52%
Annualised Since Inception14.78%
Inception Date01 January 2003
FUM (millions)AU$372.8
Fund OverviewBennelong Long Short Equity Management applies a qualitative stock selection process to construct a diversified portfolio of paired securities based on relative value. The Bennelong Long Short Equity Management strategy invests primarily in the S&P/ASX 100 and is dollar neutral at cost.

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 CommentsThe Bennelong Long Short Equity Fund rose +10.11% in June, outperforming the ASX200 Accumulation Index by +7.85%. Since inception in February 2002, the Fund has returned +14.78% p.a. vs the Index's +8.43%.

The Fund's capacity to significantly outperform in falling and volatile markets is highlighted by the following statistics (since inception): Sortino ratio of 1.41 vs the Index's 0.47, maximum drawdown of -23.77% vs the Index's -47.19%, and down-capture ratio of -162%.

During the month, market conditions were a tailwind for the portfolio. In addition, favourable fundamental news for a number of our companies was material. Most pairs were positive. At the sector level Materials stood out. MIN/BHP was the top pair with ongoing earnings upgrades for both companies. Since the trough in earnings forecasts last year BHP forecasts have been revised up 100%, but MIN have been revised up 200%.
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