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Printed: 21 April 2024 9:37 AM

19 Jan 2022 - Performance Report: Bennelong Long Short Equity Fund


Report Date19 January 2022
ManagerBennelong Long Short Equity Management, a Bennelong boutique
Fund NameBennelong Long Short Equity Fund
StrategyEquity Market Neutral
Latest Return DateDecember 2021
Latest Return1.34%
Latest 6 Months-2.84%
Latest 12 Months-5.06%
Latest 24 Months (pa)2.96%
Annualised Since Inception14.22%
Inception Date01 January 2003
FUM (millions)AU$354.13
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 +1.34% in December against the ASX200 Total Return's +2.75%.

The Bennelong Long Short Equity Fund has a track record of 20 years and 1 month and has outperformed the ASX 200 Total Return Index since inception in February 2002, providing investors with a return of 14.22%, compared with the index's return of 8.42% over the same time period.

On a calendar basis the fund has had 3 negative annual returns in the 20 years and 1 month since its inception. Its largest drawdown was -23.77% lasting 15 months, occurring between September 2020 and December 2021 when the index fell by a maximum of -15.05%.

The Manager has delivered these returns with -0.35% less volatility than the index, contributing to a Sharpe ratio which has fallen below 1 over five times and currently sits at 0.84 since inception. The fund has provided positive monthly returns 65% of the time in rising markets, and 63% of the time when the market was negative, contributing to an up capture ratio since inception of 6% and a down capture ratio of -144%.
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