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| Fund Overview | 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 Comments | The Bennelong Long Short Equity Fund has a track record of 20 years and has outperformed the ASX 200 Total Return Index since inception in February 2002, providing investors with an annualised return of 13.78% compared with the index's return of 8.03% over the same period. On a calendar year basis, the fund has experienced a negative annual return on 4 occasions in the 20 years since the start of its track record. Over the past 12 months, the fund's largest drawdown was -11.29% vs the index's -6.35%, and since inception in February 2002 the fund's largest drawdown was -23.77% vs the index's maximum drawdown over the same period of -47.19%. The fund's maximum drawdown began in September 2020 and lasted 1 year and 4 months, reaching its lowest point during March 2021. The fund had completely recovered its losses by January 2022. The Manager has delivered these returns with 0.34% 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 0.81 since inception. The fund has provided positive monthly returns 65% of the time in rising markets and 62% of the time during periods of market decline, contributing to an up-capture ratio since inception of 6% and a down-capture ratio of -128%. |
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