Factsheet August 2007
2007年10月6日 - 12:35AM
ＲＮＳを含む英国規制内ニュース （英語）
RNS Number:2591F
Bramdean Alternatives Limited
05 October 2007
RNS Announcement
5th October 2007
Factsheet August 2007
Bramdean Alternatives Limited
This Factsheet contains commentary and news for the calendar month ending 31st
August 2007, unless otherwise stated.
AUGUST NET ASSET VALUES
Sterling shares: 95.29 pence
US Dollar shares: US$ 0.9824
Overview
Bramdean Alternatives Limited, (the "Company") is a Guernsey-based Investment
Company listed on the London Stock Exchange. The Company invests in a
diversified portfolio of private equity funds, hedge funds and other specialty
funds.
KEY FACTS
Total issued share capital #131 million
Manager Bramdean Asset Management LLP
Annual Management Fee 1.5%
Performance fee 10% subject to an 8% return
and a high watermark
Company Brokers Cenkos Securities Plc
Sterling class share price on 31st August 2007 100.75p
Sterling class issue price (9th July 2007) 100.00p
Number of Sterling shares in issue 130,142,311
US Dollar class share price on 31st August 2007 US$ 1.02
US Dollar class issue price (9th July 2007) US$ 1.00
Number of US Dollar shares in issue 1,785,000
Minimum investment N/A
Dealing Daily
Valuation Monthly
NAV publication Monthly
August Sterling NAV per share 95.29p
August US Dollar NAV per share US$ 0.9824
Total common assets US$ 253,847,082
Total Net Asset Value US$ 251,900,728
Half-year end 30th September 2007
Financial year end 31st March 2008
Company Secretary Royal Bank of Canada
and Administrator Offshore Fund Managers Limited
Registrar Capita Registrars (Guernsey) Limited
Stock Exchange code (Sterling shares) BRAL
Stock Exchange code (US Dollar shares) BRAU
Sedol code (Sterling shares) B1XCHB9
Sedol code (US Dollar shares) B1XCLF1
ISIN code (Sterling shares) GG00B1XCHB94
ISIN code (US Dollar shares) GG00B1XCLF11
August Market Commentary
The financial markets experienced a severe amount of turbulence in August.
Volatility dramatically increased, with the Chicago Board Options Exchange
Volatility Index (VIX), one of the key market indicators of volatility, hitting
a peak of 37.5%, its highest level ever since it began trading in 2004. The VIX
ended the month at around 25%; it had been trading below 10% in the first
quarter of 2007.
The sudden jump in volatility negatively impacted many hedge funds that use
computer-driven statistical arbitrage strategies; their trading systems did not
cope with a market environment that was statistically several standard
deviations outside of normal trading conditions, and they suffered large
draw-downs during the month. In addition, many funds that depended on the carry
between high and low yielding currencies had to unwind their positions, causing
large moves in those currencies, e.g., the New Zealand dollar (a high-yielding
currency) fell dramatically against the Japanese yen (a low-yielding currency).
A few financial institutions around the world reported sharp losses on their
U.S. sub-prime portfolios that hurt their creditworthiness and amount of
regulatory capital. This greatly increased counterparty risk between financial
institutions, as lenders did not know whether the borrowers were creditworthy.
As many lenders tightened credit terms and increased the liquidity in their own
portfolios, the amount of short-term credit in the market dwindled, causing
overnight lending rates to soar. This impacted many financial institutions
dependent on short-term financing and forced many to de-lever their portfolios
by selling their more liquid positions, such as stocks and commodities.
The European Central Bank and the U.S. Federal Reserve injected billions of
dollars into the markets in order to provide liquidity back into the markets and
bring overnight lending rates back down towards their target rates. In
mid-August, an extremely sharp fall in the equity markets caused the Federal
Reserve to cut its discount rate by 0.50% and to encourage the major banks to
borrow from its discount window to provide the market with a measure of
confidence that the Central Bank would step in to ensure that financial markets
would continue to function in an orderly manner. This caused the equity markets
to rally, and the equity markets had recovered a substantial portion of their
losses in August by the end of the month.
PORTFOLIO NEWS
General
The Company is now substantially invested after the completion of pending
subscriptions into funds within the transitional and hedge funds portfolios at
the beginning of August.
In mid-July, the Company invested with Third Avenue, a transitional investment.
In order to allow the Company to publish its July NAV in a timely manner, this
investment was valued at cost in the reported July NAV. Were the Company to have
valued its holding with Third Avenue at its market value on 31st July, the
reported July NAV would have been 96.42 pence (as opposed to the 96.79 pence
reported) and US$0.9948 (as opposed to the US$0.9985 reported) for the Sterling
and US Dollar share classes respectively. This means that the underlying
performance in August was -1.2% for the Sterling share class and -1.2% for the
US Dollar share class.
The portfolio has minimal exposure to sub-prime debt: one of the portfolio
managers had made substantial gains shorting sub-prime debt earlier this year,
but this trade has been substantially unwound.
The Company implemented a monthly rolling currency hedge of the majority of its
U.S. dollar exposure and expects to keep the hedge in place in the near term.
Private Equity and Specialty
The Company did not make any new commitments to additional private equity or
specialty funds in August, but it expects to continue with its private equity
and specialty investment programme going forward.
The Company has made commitments to underlying private equity funds and
underlying specialty funds amounting to approximately #75.1 million. The total
amount that has been drawn-down on the commitments made is approximately #11.8
million, with #2.4 million having been drawn in August. The Company also
received distributions of approximately #216,000 from its private equity
secondaries funds; these distributions will be reinvested back into the Company.
Transitional Portfolio
Our transitional portfolio is designed to reflect private-equity type
characteristics while commitments to our private equity funds are awaiting
capital draw-downs. It is also structured to preserve that capital over the
medium term and to be liquid so that the Company may meet its draw-down calls.
There are two parts of the investment strategy within the transitional portfolio
- the first is made up of investments in specialist global equity managers,
long-short equity and event-driven managers as these classes demonstrate the
most similar characteristics to private equity. The second strategy is to reduce
exposure to market risk through market neutral funds. The Company may seek to
implement portfolio protection through the use of derivatives from time to time.
The transitional portfolio's proximity to private equity means that those
investments in equity-correlated assets will not perform well during short term
equity market downturns, however these investments are counter-balanced by
investments in market neutral funds.
In total, the portfolio currently consists of 11 funds.
Over the month of August, the portfolio had a small draw-down of approximately
1%. The portfolio benefited from a large allocation to cash. The largest
detractors from performance were two equity biased funds. These funds recovered
these losses in September. Detail on this performance will be reported in our
September Factsheet.
Strategic hedge funds portfolio
The Company's strategic allocation to hedge funds invested into 11 hedge funds'
managers on 1st August. The aim of the portfolio is to complement the Company's
other investments in particular providing diversification from traditional
equities. Over the month of August, the portfolio had a small draw-down of less
than 1%. While concentrated in a small number of managers, the portfolio is
diversified across different hedge fund styles and strategies. In summary,
strong returns from a short-term trading fund and an event-driven manager helped
minimize the impact of losses sustained elsewhere in the portfolio. Highlights
of the portfolio are as follows:
- Long-short equity - This part of the portfolio incurred a draw-down mainly
through one of the manager's long positions in financials. In addition, the
Company invested in a premium European long/short equity manager, which remains
hard closed.
- Relative Value - The portfolio is invested with two relative value
managers. Positive performance derived from US and Asian volatility books, and
a long FX volatility bias was outweighed by losses from exposure to relative
value credit trades.
- Event Driven - One of the managers held a significant short allocation to
US sub-prime mortgages for the past year. The continuation of the well
publicised problems in this area provided this manager with further profits. The
manager's merger arbitrage & special situations books also contributed.
- Distressed - The manager's negative performance was impacted by the
tightening of credit derivative spreads and the volatility experienced by global
equities, but both Bramdean and RMF are increasingly confident about the outlook
for opportunities in this strategy.
- Global Macro - A multi-strategy commodity manager sustained a loss with
equity positions, which was responsible for the bulk of the negative
performance. In addition, a small exposure to equity statistical arbitrage
strategies within the other global macro fund detracted from returns.
- Managed Futures - The increase in volatility provided mixed conditions for
the managed futures managers. On the negative side, the absence of clear trends
made it difficult for the multi-strategy managed futures manager, with the
largest loss coming from currency trading. On the positive side, the systematic
short-term trader benefited from the gyrations across markets to make
significant gains from both long and short positions. The manager was able to
post a substantial double digit return for the month.
OUTLOOK
Despite the Federal Reserve action on interest rates, the outlook for markets in
the coming months is uncertain, as the unwinding of the problems in the U.S.
sub-prime mortgage market is set to continue for some time. The Company is
expected to benefit from diversification across different alternative
strategies. Managers of the Company's long-term illiquid investments have a good
track record of managing through difficult market environments. In addition,
both Bramdean and RMF have and will continue investing in funds that are
expected to benefit from poor market conditions.
Geographical Allocation Allocation %
Global 52
North America 29
Europe 16
Asia & Other 3
Portfolio Holdings Allocation %*
Transitional 55
Strategic Hedge Funds 27
Cash 9
Private Equity 6
Specialty 3
* Based on market value as at 31/08/07
Manager Type Portfolio Weighting
Third Avenue Value Equity Offshore Fund Ltd. Transitional 10.5%
Cash Cash 9.3%
Overstone Global Equity Fund Transitional 6.3%
Platinum Grove Contingent Capital Offshore Fund Transitional 6.3%
Ltd.
York European Opportunities Unit Trust Transitional 5.6%
Enso Global Equities Fund Ltd. Transitional 5.4%
Brencourt Enhanced Multi-Strategy International Transitional 4.4%
Ltd.
Defender Ltd Transitional 4.1%
Paulson Advantage Plus Ltd. Strategic Hedge Funds 3.6%
Renaissance Institutional Equities Fund Transitional 3.4%
International L.P.
Rye Select Broad Market XL Portfolio Ltd. Strategic Hedge Funds 3.4%
D.E. Shaw Oculus International Members Interest Strategic Hedge Funds 3.3%
York Asian Opportunities Unit Trust Transitional 3.3%
Deephaven Global Multi-Strategy Fund Ltd. Strategic Hedge Funds 3.3%
Abchurch Europe Fund Ltd. Strategic Hedge Funds 3.3%
Hard Assets 2X Fund Ltd. Strategic Hedge Funds 3.2%
Oak Hill Credit Alpha Fund Offshore Ltd. Transitional 2.8%
Aarkad Plc Transitional 2.8%
Strategic Recovery Fund II L.P. Specialty 2.1%
King Street Capital Ltd. Strategic Hedge Funds 2.1%
Thomas H. Lee Parallel Fund VI L.P. Private Equity 1.7%
Greenpark International Investors III L.P. Private Equity 1.7%
Terra Firma Capital Partners III L.P. Private Equity 1.7%
Kei Ltd. Strategic Hedge Funds 1.5%
Kaiser Trading Diversified 2X Segregated Portfolio Strategic Hedge Funds 1.3%
IKOS Financial Too Fund Strategic Hedge Funds 1.2%
Goldman Sachs Capital Partners VI L.P. Private Equity 0.6%
Coller International Partners V L.P. Private Equity 0.5%
Ivory Offshore Flagship Fund Ltd.. Strategic Hedge Funds 0.5%
MatlinPatterson Global Opportunities Partners III Specialty 0.4%
L.P.
Transitional investments: The Company will seek to avoid return dilution caused
by holding amounts that are not committed or are committed, but not yet drawn-
down, on both underlying private equity funds and underlying specialty funds by
investing such amounts in a range of transitional investments, which may include
equity hedge, senior debt, mezzanine and market neutral funds.
Strategic Hedge funds: The part of the Company's portfolio which is managed by
RMF Investment Management - Nassau branch.
This Factsheet will be available on www.bramdeanalternatives.com in Word format
and in PDF format from this evening.
Please note that up to date information on the Company, including its monthly
NAV and share prices, fact sheets, Prospectus and portfolio information can be
found at www.bramdeanalternatives.com.
Capita Registrar's helpline is 0870 162 3121.
Registered Office: Canada Court, Upland Road, St. Peter Port, Guernsey, GY1 3QE,
Channel Islands.
CONTACT DETAILS
Amanda McCrystal, or amccrystal@bramdean.com
Bramdean Asset Management LLP. 100 Brompton Road London SW3 1ER, United Kingdom
T+44 (0)20 7052 9272 F+44 (0)20 7052 9273 W www.bramdean.com
This Factsheet has been produced by Bramdean Asset Management LLP, authorised
and regulated by the Financial Services Authority. It is aimed solely at
shareholders of Bramdean Alternatives Limited and it should not be relied upon
by any other person.
Please note that Bramdean Asset Management LLP has obtained information from a
wide variety of sources for the content of this Factsheet. Whilst it has made
reasonable endeavours to verify such information, this Factsheet should not be
used as the exclusive basis of any investment decisions. It relates to a
relatively short time period whilst many of the investments of Bramdean
Alternatives Ltd are of a long-term nature.
Bramdean Alternatives Limited invests in high risk alternative investment
vehicles. It is aimed at professional or sophisticated investors who intend to
hold their investment for the longer term. If you are not a professional or
sophisticated investor you should take independent financial advice in relation
to any proposed investment in Bramdean Alternatives Limited.
This information is provided by RNS
The company news service from the London Stock Exchange
END
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