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Printed: 05 July 2022 9:45 PM


14 Oct 2021 - Performance Report: Bennelong Kardinia Absolute Return Fund
By: Australian Fund Monitors

Report Date14 October 2021
ManagerKardinia Capital, a Bennelong boutique
Fund NameBennelong Kardinia Absolute Return Fund
StrategyEquity Long/Short
Latest Return DateSeptember 2021
Latest Return-1.08%
Latest 6 Months2.47%
Latest 12 Months13.33%
Latest 24 Months (pa)5.86%
Annualised Since Inception8.63%
Inception Date01 May 2006
FUM (millions)AU$36.22
Fund OverviewThe 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 on 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.

The Fund's discretionary investment strategy commences with a macro view of the economy and direction to establish the portfolio's desired market exposure. Following this detailed sector and company research is gathered from knowledge of the individual stocks in the Fund's universe, with widespread use of broker research. Company visits, presentations and discussions with management at CEO and CFO level are used wherever possible to assess management quality across a range of criteria.
Manager CommentsThe Bennelong Kardinia Absolute Return Fund returned -1.08% in September, an outperformance of +0.77% compared with the ASX 200 Total Return Index which fell by -1.85%. Over the past 12 months, the fund has risen by +13.33%, and since inception in May 2006, the fund has returned +8.63% per annum, a difference of +1.98% relative to the index which has returned +6.65% on an annualised basis over the same period.

The fund's returns over the past 12 months have been achieved with a volatility of 9.29% vs the index's 9.42%. The annualised volatility of the fund's returns since inception in May 2006 is 7.6% vs the index's 14.18%. Over all other periods, the fund's returns have been consistently less volatile than the index.

The fund's down-capture ratio for returns since inception is 49.23%. Over all other periods, the fund's down-capture ratio has ranged from a high of 62.37% over the most recent 48 months to a low of 45.61% over the latest 24 months. A down-capture ratio less than 100% indicates that, on average, the fund has outperformed in the market's negative months over the specified period.
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