TIDMABR
RNS Number : 7118M
Absolute Return Trust Limited
19 August 2011
Absolute Return Trust Limited
(a closed-ended investment company incorporated with limited
liability under the laws of Guernsey with registered number
42733)
Interim Management Statement - Three Months to 30(th) June
2011
This unaudited Interim Management Statement has been produced
solely to provide additional information to shareholders of
Absolute Return Trust Limited ("ARTL" or the "Company") to meet the
relevant requirements of the U.K. Listing Authority's Disclosure
and Transparency Rules. It should not be relied upon by any other
party for any other purpose.
Performance Summary
Over the three month period to 30(th) June 2011, the Net Asset
Value per share of ARTL decreased by -1.1% in Sterling to GBP1.3569
per GBP1 share and -1.1% in Euro terms to EUR0.9960 per EUR1 share.
At the close of business on 30(th) June 2011 the mid market price
of ARTL's Sterling shares on the London Stock Exchange was 117.38p
(Euro shares EUR0.86), representing a discount of 13.5% to the Net
Asset Value of the portfolio at the 30(th) June 2011 (13.7%
discount for euro shares).
The performance of ARTL's portfolio for the three months to
30(th) June 2011 is set out below:
GBP EUR
------------ ------ ------
April 2011 0.3% 0.2%
------------ ------ ------
May 2011 -0.6% -0.6%
------------ ------ ------
June 2011 -0.8% -0.8%
------------ ------ ------
Markets were once again dominated by overarching macro-economic
and political concerns, manifesting in rapid switching between
'risk on' and 'risk off' environments. Concerns over sovereign
issuers came to the fore, particularly in the peripheral Eurozone
countries, where investors worried that the fiscal crisis in Greece
would spread across the region. On the other side of the Atlantic,
political deadlock over the debt ceiling saw the US Dollar weaken
and US credit default swap spreads widen from 42 to 51 basis
points.
Equity markets were volatile, although many major indices
remained little changed overall as global equities experienced a
strong rally in the final week of the quarter, recouping earlier
losses. The S&P 500 was down -0.4% and the MSCI World Index
down -0.3%. By contrast, safe haven assets appreciated
significantly, with the yield on short term US government bonds
falling 36 basis points, gold rallying 4.8% and the Swiss Franc
climbing 9.4% against the US Dollar.
Levels of corporate activity remained high, despite a levelling
off of M&A volume. In the high-yield credit markets, new
issuance increased, reflecting the continued demand for these
assets, and the number of defaults fell. The average spread for
high-yield bonds widened slightly, although yields remained around
historically low levels.
Strategy Contribution
Set out below is the contribution to ARTL's performance by
strategy for the three months to 30(th) June 2011.
Strategy Contribution(1)
------------------------------- ----------------
Macro -0.3%
------------------------------- ----------------
Equity Long Bias 0.0%
------------------------------- ----------------
Equity Hedged High Volatility -0.4%
------------------------------- ----------------
Equity Hedged Low Volatility -0.1%
------------------------------- ----------------
Short Bias 0.0%
------------------------------- ----------------
Specialist Credit 0.0%
------------------------------- ----------------
Event Driven 0.0%
------------------------------- ----------------
Volatility Trading -0.1%
------------------------------- ----------------
Fixed Income 0.0%
------------------------------- ----------------
Multiple Strategy 0.0%
------------------------------- ----------------
FP Incubator Fund -0.1%
------------------------------- ----------------
Macro managers had a disappointing quarter as they struggled to
negotiate what were largely politically driven markets. Volatility
in the commodity markets was the main driver of losses with the
price of many commodities experiencing violent reversals that
created a difficult trading environment. Managers focussing on
currencies and interest rates fared somewhat better, particularly
those who were short the US Dollar.
Our Fixed Income manager was effectively flat. Gains
predominantly came from directional trading around short-term
interest rates, but were offset by losses from currency positions,
specifically short Euro, towards the end of the quarter.
Equity Hedged managers were down in aggregate, although most
were able to protect their downside effectively. Losses were
concentrated in a small number of managers for whom certain
long-term, high conviction positions detracted. Basis risk between
longs and shorts further contributed to these managers difficulties
as gains from short side hedges failed to keep pace as large cap
long positions underperformed smaller cap shorts. On the positive
side, the Technology sector was a fertile area for some managers,
as was Consumer Staples, where idiosyncratic stock selection drove
performance.
Having suffered losses in the market rally in April, the Short
Bias strategy acted well as a portfolio hedge in the turbulent
markets of May and June and ended broadly flat.
Event Driven managers too were flat in aggregate. Activism was a
profitable approach for some, with one manager in particular
profiting from direct engagement with the management of a number of
core investments. Merger arbitrage trades performed less well,
however, as spreads remained tight.
Specialist Credit funds finished flat after a relatively quiet
quarter. Managers were able to generate steady returns for much of
the period through a mixture of capital structure arbitrage and
long/short credit trades but most of these were given back in June,
particularly from more directional investments, such as distressed
credit.
Multiple Strategy funds finished the quarter flat, despite
strong performance in April. Commodity positions contributed
positively at first, but subsequently lost money as the rally
reversed.
The table below shows the composition of ARTL's portfolio by
strategy as at 30(th) June 2011:
Strategy Allocation(2)
------------------------------- --------------
Macro 12.5%
------------------------------- --------------
Equity Long Bias 6.5%
------------------------------- --------------
Equity Hedged High Volatility 22.1%
------------------------------- --------------
Equity Hedged Low Volatility 11.5%
------------------------------- --------------
Short Bias 3.4%
------------------------------- --------------
Specialist Credit 9.8%
------------------------------- --------------
Event Driven 15.8%
------------------------------- --------------
Volatility Trading 1.0%
------------------------------- --------------
Fixed Income 3.8%
------------------------------- --------------
Multiple Strategy 10.7%
------------------------------- --------------
FP Incubator Fund 2.9%
------------------------------- --------------
Portfolio Liquidity
The table below shows the current liquidity profile of the
portfolio.(3)
Time to cash flow Proportion
------------------------ -----------
Within 3 months 14.3%
------------------------ -----------
3 to 6 months 61.7%
------------------------ -----------
6 to 12 months 9.8%
------------------------ -----------
Greater than 12 months 14.2%
------------------------ -----------
Total 100.0%
------------------------ -----------
Material Events
Since the 1(st) July 2011 to date, the Company has purchased
3,331,000 of its shares for cancellation at an average discount of
15.02%. Further to the announcement of 28(th) April 2011 where the
Board offered a redemption facility for up to 15% of the shares in
issue (per Share class), on 27(th) July 2011 the Company received
requests in respect of 107,714,995 (53.09% of the shares in issue
at that time) Sterling Shares and 2,948,843 (25.12% of the shares
in issue at that time) Euro Shares. In accordance with the terms of
the redemption facility, 30,431,930 Sterling Shares and 1,760,972
Euro Shares will be redeemed on 30(th) September 2011 at their
prevailing NAV on that date and proceeds will be distributed after
the deduction of expenses associated with the redemption of the
Shares.
Fauchier Partners
19(th) August 2011
(1) Contributions are expressed in US dollars after fees of the
underlying hedge funds in ARTL's portfolio, but before Fauchier
Partners' fees and the effect of currency hedges.
(2) The above allocations exclude cash and cash in transit.
(3) The directors of the Company believe that it is more meaningful to measure the liquidity of the portfolio's underlying funds on a cash-settled basis rather than a value-date basis. The table therefore assumes that (i) redemption notice had been given to all underlying funds as at 30th June 2011; (ii) a one-month period elapses before settlement of redemption terms is made by the underlying funds; (iii) any "audit holdbacks" permitted by an underlying fund's redemption terms are imposed in full; (iv) any applicable "soft lock-up" fees of 5% or under would be paid by the Company; (v) where there is currently no firm indication from the underlying manager on the expected timing of the receipt of redemption proceeds, the relevant amount is included in the "greater than 12 months" category. Cash and short-term receivables are included in the "0-3 months" category.
The directors believe that the table is therefore very
conservative because, in practice, settlement periods tend to be
shorter and audit holdbacks are not always imposed. However, it
should still be emphasised both that the information in the table
is based on estimates and also that it may not be an indication of
the Company portfolio's future liquidity.
For the purposes of comparison with other funds which may
prepare their liquidity disclosures on a value-date basis (which
excludes settlement periods) rather than a cash-settled basis as
used above, the relevant percentages for the Company portfolio on a
value-date basis as at 30th June 2011 are: under three months 67%;
between three and twelve months 19%; greater than twelve months
14%.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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