TIDMABR
RNS Number : 5956X
Absolute Return Trust Limited
17 February 2012
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 31(st) December
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 31(st) December 2011, the Net
Asset Value per share of ARTL decreased by -0.6% in Sterling to
GBP1.2935 per GBP1 share and -0.9% in Euro terms to EUR0.9463 per
EUR1 share. At the close of business on 30(th) December 2011 the
mid market price of ARTL's Sterling shares on the London Stock
Exchange was 107.25p (Euro shares EUR0.855), representing a
discount of 18% to the Net Asset Value of the portfolio at the
31(st) December 2011 (10% for euro shares).
The performance of ARTL's portfolio for the three months to
31(st) December 2011 is set out below:
GBP EUR
--------------- ------- -------
October 2011 1.06% 0.99%
--------------- ------- -------
November 2011 -0.71% -0.74%
--------------- ------- -------
December 2011 -0.95% -1.22%
--------------- ------- -------
The Eurozone crisis, the prospect of austerity induced recession
and the possibility of a hard landing in China made for highly
volatile markets with a series of strong rallies and reversals as
investors reacted to the unfolding political machinations. The
financial system remained a major focus of concern, especially in
Europe, where the ECB announced unprecedented measures to allay
some of the market's short-term concerns about bank and sovereign
funding while European politicians struggled to agree tighter
fiscal rules.
Most major equity indices, with the exception of the Nikkei,
made gains over the quarter albeit on increasingly small trade
volumes. US Treasuries retained their attraction as a safe haven,
with the yield on 10-year US government debt ending the year around
all time lows at 1.88%. By contrast the yield on Italian 10-year
bonds ended 2011 at 7.11%, a level approximately 50% higher than at
the start of the year.
Credit markets were up with high-yield bonds generally
outperforming investment grade securities. The spread over US
Treasuries on high-yield US corporate bonds, as measured by BarCap,
narrowed by more than 100 basis points to just below 700.
The Euro gave up its previous gains, falling to a 10-year low
against the Japanese Yen and dropping around 3% against the US
Dollar. Precious metals suffered sharp price falls towards year end
with the price of gold finishing around $1560/oz. Commodity markets
displayed significant amounts of dispersion with the oil price
rising by c. 25% while that of natural gas declined by c. 19%.
Strategy Contribution
Set out below is the contribution to ARTL's performance by
strategy for the three months to 31(st) December 2011.
Strategy Contribution([1])
------------------------------- ------------------
Macro -0.18%
------------------------------- ------------------
Equity Long Bias 0.51%
------------------------------- ------------------
Equity Hedged High Volatility -0.21%
------------------------------- ------------------
Equity Hedged Low Volatility -0.19%
------------------------------- ------------------
Short Bias -0.26%
------------------------------- ------------------
Specialist Credit 0.01%
------------------------------- ------------------
Event Driven 0.12%
------------------------------- ------------------
Volatility Trading -0.20%
------------------------------- ------------------
Fixed Income 0.02%
------------------------------- ------------------
Multiple Strategy -0.23%
------------------------------- ------------------
FP Incubator Fund -0.07%
------------------------------- ------------------
Macro managers were down a little. The Eurozone crisis continued
to provide opportunities for managers to make money, notably from
the steepening of the Euro yield curve and from trades focussed on
European bank stress. Commodity markets proved more challenging
with one manager's losses in short petrochemical positions
subsuming gains in precious metals.
Our Fixed Income manager was marginally up. Gains predominantly
came from directional trading of Euro interest rates and short Euro
positions, but were largely offset by losses as 10-year German
rates fell markedly towards year end.
The Equity Long Biased managers were up, with their performance
benefitting from the positive trend in markets as well as their
individual stock selections. The best performing manager saw gains
from core Energy, Technology and Industrials positions, while his
short names provided little drag.
The Equity Hedged strategies were down in aggregate. Most of the
managers spent the quarter cautiously positioned with low net
exposure, resulting in performance that was driven more by
developments at their underlying invested companies than the
overall market direction. Healthcare positions and a Leisure
business generated good gains for one manager, while the Financials
book of a value-orientated manager received a boost from two
insurance-related names that responded well to an improved business
outlook. By contrast an Energy and Utility specialist lost money as
some of the most structurally challenged companies in his sector
rallied the hardest resulting in his short book underperforming,
while for another manager Energy and Technology-related companies
dragged on performance. After a good run in the third quarter, the
Short Bias managers struggled against the rising market. Although
the strategy as a whole was down the managers saw a variety of
outcomes, with company specific developments accounting for the
dispersion in their performance.
The Event Driven strategy was up a little with the activist
managers generating the bulk of the gains as they successfully
drove through changes at their underlying invested companies. For
example, one manager performed particularly well as a core holding
in a US Retail business reacted positively to recent personnel
changes at the board level that the manager had helped to bring
about. These gains were offset in large part by a write-down in the
value of one manager's position in a Technology business in
response to delays in the company's ambitious mobile
telecommunications plan.
The Specialist Credit managers were flat after a relatively
quiet quarter. Most funds were positioned with low net exposure and
defensive names, while one manager saw modest gains stemming from
senior debt, distressed debt and post-reorganisation equity
positions.
Multiple Strategy funds derived small gains from European
asset-backed securities, but these were offset by losses from one
manager whose long precious metals exposure suffered in December's
sharp sell-off.
The table below shows the composition of ARTL's portfolio by
strategy as at 31(st) December 2011:
Strategy Allocation[2]
------------------------------- --------------
Macro 12.4%
------------------------------- --------------
Equity Long Bias 7.3%
------------------------------- --------------
Equity Hedged High Volatility 24.5%
------------------------------- --------------
Equity Hedged Low Volatility 9.1%
------------------------------- --------------
Short Bias 3.5%
------------------------------- --------------
Specialist Credit 8.3%
------------------------------- --------------
Event Driven 16.7%
------------------------------- --------------
Volatility Trading 0.8%
------------------------------- --------------
Fixed Income 4.0%
------------------------------- --------------
Multiple Strategy 10.9%
------------------------------- --------------
FP Incubator Fund 2.5%
------------------------------- --------------
Portfolio Liquidity
The table below shows the current liquidity profile of the
portfolio[3].
Time to cash flow Proportion
------------------------ -----------
Within 3 months 16.3%
------------------------ -----------
3 to 6 months 61.7%
------------------------ -----------
6 to 12 months 11.2%
------------------------ -----------
Greater than 12 months 10.8%
------------------------ -----------
Total 100.0%
------------------------ -----------
Material Events
During the fourth quarter of 2011, the Company purchased
3,091,000 Sterling shares for cancellation at an average discount
of 17.7%. Since the 1(st) January 2012 to date, the Company has
purchased a further 627,000 of its Sterling shares for cancellation
at an average discount of 16.9%. Further to the announcement of
29(th) November 2011 where the Board offered a redemption facility
for up to 6% of the shares in issue (per Share class), on 27(th)
January 2011 the Company received requests in respect of 32,214,382
(19.36% of the shares in issue at that time) Sterling Shares and
247,242 (2.58% of the shares in issue at that time) Euro Shares. In
accordance with the terms of the redemption facility, 8,631,528
Sterling Shares and 224,243 Euro Shares will be redeemed on 31(st)
March 2012 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
17(th) February 2012
[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 31(st) December 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 31(st) December 2011 are: under three months
72%; between three and twelve months 17%; greater than twelve
months 11%.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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