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Printed: 10 August 2022 9:49 PM


09 Aug 2021 - Performance Report: Bennelong Long Short Equity Fund
By: Australian Fund Monitors

Report Date09 August 2021
ManagerBennelong Long Short Equity Management, a Bennelong boutique
Fund NameBennelong Long Short Equity Fund
StrategyEquity Market Neutral
Latest Return DateJuly 2021
Latest Return1.33%
Latest 6 Months-0.73%
Latest 12 Months-2.89%
Latest 24 Months (pa)11.49%
Annualised Since Inception14.79%
Inception Date01 January 2003
FUM (millions)AU$378.9
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 by +1.33% in July, a difference of +0.23% compared with the ASX 200 Total Return Index which rose by +1.1%. Since inception in January 2003, the fund has returned +14.79% per annum, a difference of +6.33% relative to the index which has returned +8.46% on an annualised basis over the same period.

The fund's returns over the past 12 months have been achieved with a volatility of 19.21% vs the index's 10.35%. The annualised volatility of the fund's returns since February 2002 is 12.84% vs the index's 13.34%. Over all other periods, the fund's volatility relative to the index has been varied.

Since February 2002 in the months where the market was negative, the fund has provided positive returns 64% of the time, contributing to a down-capture ratio for returns since February 2002 of -162%. Over all other periods, the fund's down-capture ratio has ranged from a high of 88.83% over the most recent 12 months to a low of -4.03% over the latest 24 months.

Since February 2002 the fund's largest drawdown was -23.77% vs the index's maximum drawdown over the same period of -47.19%.
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