Factsheet September 2007
2007年10月23日 - 5:50PM
ＲＮＳを含む英国規制内ニュース （英語）
RNS Number:1749G
Bramdean Alternatives Limited
23 October 2007
RNS Announcement
23rd October 2007
Factsheet September 2007
Bramdean Alternatives Limited
This Factsheet contains commentary and news for the calendar month ending 28th
September 2007, unless otherwise stated.
September Net Asset Values
Sterling shares: 97.19 pence
US Dollar shares: US$ 0.9747
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 28th September 2007 99.0p
Sterling class issue price (9th July 2007) 100.00p
Number of Sterling shares in issue 130,142,311
US Dollar class share price on 28th September 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
September Sterling NAV per share 97.19p
September US Dollar NAV per share US$ 0.9747
Total common assets US$ 250,242,729
Total Net Asset Value US$ 259,425,612
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
SEPTEMBER MARKET COMMENTARY
September will be remembered principally for the run on the Northern Rock bank,
a four-day crisis which ended only when the UK Government guaranteed all
deposits
at the bank. A month that started with plunging equity markets ended with
markets rallying strongly, led by emerging markets, with the MSCI emerging
market equity index ending the month 30% up on the year. The rally was triggered
by the US Federal Reserve cutting its main interest rate by 0.5% to 4.75%
mid-month.
However, the confidence in the equity markets belied continuing nervousness in
the debt markets. This was characterised by the ongoing reluctance of banks to
lend to one another because of doubts over the quality of collateral backing the
debt. Borrowing rates widened to levels not seen for more than twenty years and
the credit markets effectively froze as margins being demanded between the
commercial banks' lending rate and bank base rate quadrupled and the commercial
paper market, the mainstay of intra-day funding activity, ground to a halt. The
Fed easing failed to narrow the margins being demanded, indicating ongoing
unease about the quality of assets supporting bank debt.
At the end of the September, the dollar had fallen to a historic low against the
Euro; the dollar index fell to a low not seen since 1973. Commodities also had a
sharp recovery with gold trading up to a near-28 year high at $739 an ounce.
Signs of stress were to be seen in the mergers and acquisitions marketplace
where fundraising in the global equity capital markets of $148.6 billion during
the third quarter was half that achieved in the previous quarter. Elsewhere,
global M&A activity during August and September combined was still only 73% of
that seen in July alone.
Corporate bond issuance was also severely impacted, dragged down by high-yield
bond issuance of just $6.1 billion during the third quarter compared with $51.8
billion raised during the second quarter. Leveraged loans volumes fell 26% to
$65 billion in the third quarter compared with $88 billion in the third quarter
2006.
In private equity, a slow-down in new buy-out transactions is anticipated as it
becomes more difficult to raise debt to fund mega deals. Leading private equity
firms have stressed that it will become more important than ever to be able to
fundamentally improve the performance of acquired companies in order to achieve
acceptable returns on equity. Also noted is that it is likely to take longer for
transactions to be put together as bankers pore over the proposals and due
diligence tightens.
Signs of the slowdown are already apparent with the $10 billion-plus deals hit
hardest, falling 78% between the end of the second and third quarters.
Mid-market deals were also down, just over a third, but deals valued under $100
million were unaffected with both deal flow and deal value stable. In venture
capital, fundraising fell to its lowest level for 12 years.
PORTFOLIO NEWS
General
The Company's underlying performance in September was 2.0% for the Sterling
share class and 2.1% for the US Dollar share class*. The portfolio has minimal
exposure to sub-prime debt: one of the portfolio managers had made substantial
gains shorting sub-prime debt earlier this year, but this trade has been
substantially unwound. The Company is continuing with its monthly rolling
currency hedge of the majority of its U.S. dollar exposure and expects to keep
the hedge in place in the near term.
* Important Note
In September the formation costs were reallocated between the Sterling and US
Dollar Share Classes. Previously, these costs had been allocated solely to the
Sterling Share Class. This has resulted in a positive adjustment in the
Sterling Share Class of 0.02% and a negative adjustment in the US Dollar Shares
Class of 2.77%. Should this adjustment not have been made, the Sterling Share
Class NAV would have been 97.17 pence (+ 1.97% for September) and the US Dollar
Share Class NAV would have been US$ 1.0025 (+ 2.05% for September).
Private Equity and Specialty
The Company did not make any new commitments to additional private equity or
specialty funds in September, but it expects to continue with its private equity
and specialty investment programme going forward. Immediately following the end
of the month, the Company made an investment in Oaktree's OCM Opportunities
VIIb, a global distressed debt fund.
The private equity and specialty portfolio now has allocations to 2 secondary
funds, 6 private equity and venture capital funds, and 3 specialty funds.
Including the investment in OCM Opportunities VIIb, the Company has made
commitments to underlying private equity funds and underlying specialty funds
amounting to approximately #80.6 million. The total amount that has been
drawn-down on the commitments made is approximately #12.0 million with
approximately #333,000 having been drawn in September.
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 for some portion of the transitional portfolio.
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.
During September, the decision was made to reduce the Company's allocation to
Third Avenue at the beginning of October; this is in accordance with the
strategy to use the transitional portfolio to fund the Company's private equity
draw-downs.
Over the month of September, the portfolio performance was an increase of
approximately 2.3% in September on an unhedged basis. The portfolio benefited
from the performance of its long-biased funds, which recovered their losses from
August and more. Other large contributors to the Company's performance were the
allocations to Asia and to merger arbitrage. The largest detractor from
performance was the large allocation to cash.
Strategic hedge funds portfolio
The Company's strategic allocation to hedge funds is invested into 14 funds.
The aim of the portfolio is to complement the Company's other investments, in
particular providing diversification from traditional equities. Over the month
of September, the portfolio had a performance of 2.5%. While concentrated in a
small number of managers, the portfolio is diversified across different hedge
fund styles and strategies. The portfolio's managers - with the exception of two
- delivered strong returns over September.
- Equity Hedged - Performance was underpinned by a 9% gain from a UK long/short
manager which was added to the portfolio at the beginning of the month. The
bulk of profits arose from short positions in UK financials. The other long/
short strategies also performed well while a dedicated US short seller
underperformed due to the strong rally in US equities.
- Event Driven - Both managers delivered solid gains over the month. The US
special situations manager profited from its M&A positions as deal spreads
tightened due to the increased investor confidence. The distressed manager
benefited from tightening credit spreads, but the upside was limited due to
losses from hedges.
- Global Macro - A 6% gain from a commodity manager drove performance from this
style that benefited from a rebound in the resources sector. The other macro
manager incurred a slight loss due to the defensive positioning of its
portfolio.
- Managed Futures - After a strong August return, the style continued to perform
well with all three managers posting gains. The short-term traders benefited
from continuing volatility in financial markets and the multi-strategy manager
also delivered profits, with both directional and fundamental strategies
contributing positively.
- Relative Value - The multi-strategy manager posted positive returns from most
sub-strategies. The derivative arbitrage manager also benefited from a
favourable environment.
Outlook
Despite the euphoric market reaction to the Fed's rate cut, we recognise that
significant risks lie ahead with large uncertainty surrounding the robustness of
US economic and corporate earnings growth. We are already seeing weakness in Q3
earnings reports and most of our managers remain vigilant for further bouts of
market volatility. The strategic hedge fund portfolio maintains a significant
long volatility bias that is expected to provide strong diversification
irrespective of market directionality.
Geographical Allocation
Global 52.4%
North America 25.4%
Europe 18.7%
Asia & Other 3.5%
Portfolio Holdings Asset Allocation
Transitional 55.0%
Strategic Hedge Funds 29.5%
Private Equity 6.3%
Cash 6.7%
Specialty 2.5%
PORTFOLIO HOLDINGS (INVESTED CAPITAL) AS AT 28TH SEPTEMBER 2007
Manager Type Portfolio Weighting
Third Avenue Value Equity Offshore Fund Ltd. Transitional 10.6%
Overstone Global Equity Fund Transitional 6.7%
Cash Cash 6.7%
Platinum Grove Contingent Capital Offshore Fund Ltd. Transitional 6.2%
York European Opportunities Unit Trust Transitional 5.6%
Enso Global Equities Fund Ltd. Transitional 5.2%
Brencourt Enhanced Multi-Strategy International Ltd. Transitional 4.4%
Defender Ltd Transitional 4.0%
Paulson Advantage Plus Ltd. Strategic Hedge Funds 3.5%
York Asian Opportunities Unit Trust Transitional 3.4%
Rye Select Broad Market XL Portfolio Ltd. Strategic Hedge Funds 3.3%
Hard Assets 2X Fund Ltd. Strategic Hedge Funds 3.3%
Renaissance Institutional Equities Fund International L.P. Transitional 3.3%
Deephaven Global Multi-Strategy Fund Ltd. Strategic Hedge Funds 3.3%
Abchurch Europe Fund Ltd. Strategic Hedge Funds 3.2%
D.E. Shaw Oculus International Members Interest Strategic Hedge Funds 3.2%
Aarkad Plc Transitional 2.8%
Oak Hill Credit Alpha Fund Offshore Ltd. Transitional 2.8%
Lansdowne UK Equity Strategic Hedge Funds 2.5%
Strategic Recovery Fund II L.P. Specialty 2.1%
King Street Capital Ltd. Strategic Hedge Funds 2.0%
Greenpark International Investors III L.P. Private Equity 1.7%
Terra Firma Capital Partners III L.P. Private Equity 1.7%
Thomas H. Lee Parallel Fund VI L.P. Private Equity 1.6%
Kei Ltd. Strategic Hedge Funds 1.5%
Kaiser Trading Diversified 2X Segregated Portfolio Kaiser Strategic Hedge Funds 1.3%
Trading Diversified 2X Segregated Portfolio
IKOS Financial Too Fund Strategic Hedge Funds 1.2%
Goldman Sachs Capital Partners VI L.P. Private Equity 0.8%
Arcas Strategic Hedge Funds 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 L.P. Specialty 0.4%
AIG Special Situations Fund II L.P. Private Equity 0.0%
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 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.
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.
This Factsheet will be available on www.bramdeanalternatives.com in Word format
and in PDF format from this evening.
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
T+44 (0)20 7052 9272 F+44 (0)20 7052 9273 W www.bramdean.com
This information is provided by RNS
The company news service from the London Stock Exchange
END
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