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Printed: 06 July 2022 11:48 PM

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08 Jun 2022 - Performance Report: Bennelong Long Short Equity Fund
By: FundMonitors.com

Report Date08 June 2022
ManagerBennelong Long Short Equity
Fund NameBennelong Long Short Equity Fund
StrategyEquity Market Neutral
Latest Return DateMay 2022
Latest Return-0.13%
Latest 6 Months-16.33%
Latest 12 Months-11.68%
Latest 24 Months (pa)-8.37%
Annualised Since Inception12.84%
Inception Date01 January 2003
FUM (millions)AU$193.01
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 returned -0.13% in May, an outperformance of +2.47% compared with the ASX 200 Total Return Index which fell by -2.6%.

The Bennelong Long Short Equity Fund has a track record of 20 years and 4 months and has outperformed the ASX 200 Total Return Index since inception in February 2002, providing investors with an annualised return of 12.84% compared with the index's return of 8.17% over the same period.

On a calendar year basis, the fund has experienced a negative annual return on 3 occasions in the 20 years and 4 months since its inception. Over the past 12 months, the fund's largest drawdown was -21.77% vs the index's -6.35%, and since inception in February 2002 the fund's largest drawdown was -29.14% vs the index's maximum drawdown over the same period of -47.19%. The fund's maximum drawdown began in September 2020 and has lasted 1 year and 8 months, reaching its lowest point during May 2022. During this period, the index's maximum drawdown was -15.05%.

The Manager has delivered these returns with 0.17% less volatility than the index, contributing to a Sharpe ratio which has fallen below 1 five times over the past five years and which currently sits at 0.74 since inception. The fund has provided positive monthly returns 64% of the time in rising markets and 61% of the time during periods of market decline, contributing to an up-capture ratio since inception of 5% and a down-capture ratio of -126%.
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