Net Asset Value(s)


 

TIDMDTL 
 
RNS Number : 6871C 
Dexion Trading Limited 
18 November 2009 
 

Dexion Trading Limited ("the Company") 
 
 
October Net Asset Value 
 
 
The net asset value of the Company's Shares as of 30 October 2009 is as 
follows:- 
 
 
GBP Shares 
 
 
+---------------+--------------+--------------+ 
|      NAV      |     MTD      |     YTD      | 
|               | Performance  | Performance  | 
+---------------+--------------+--------------+ 
| 129.18 pence  |    -0.02%    |    +9.87%    | 
+---------------+--------------+--------------+ 
 
 
In calculating the Company's Net Asset Value the Company's Administrator will 
rely solely upon the valuation of GBP denominated Permal Macro Holdings Limited 
("Permal Macro") Class A shares provided by Permal Macro. The Investment Adviser 
and third party service providers to Permal Macro, rely on estimates of the 
value of Underlying Funds in which Permal Macro invests, which are provided, 
directly or indirectly, by the managers or administrators of those Underlying 
Funds and such valuations may not be considered 'independent' or may be subject 
to potential conflicts of interest. Such estimates may be produced as at 
valuation dates which do not coincide with valuation dates for Permal Macro and 
may be unaudited or may be subject to little verification or other due diligence 
and may not comply with generally accepted accounting practices or other 
valuation principles. The Investment Adviser may not have sufficient information 
to confirm or review the completeness or accuracy of information provided by 
those managers or administrators. In addition, these entities may not provide 
estimates of the value of Underlying Funds in which Permal Macro invests on a 
regular or timely basis or at all with the result that the values of such 
investments may be estimated by the Investment Adviser. Both weekly estimates 
and bi-monthly valuations may be based on valuations provided as of a 
significantly earlier date and hence the published valuation may differ 
materially from the actual value of Permal Macro's portfolio. Other risk factors 
which may be relevant to this valuation are set out in the Company's prospectus 
dated 12th March 2008. 
 
 
Monthly Portfolio Review 
 
 
Investment Adviser Portfolio Outlook 
 
 
Despite global economic data continuing to support the impression that the worst 
of the financial crisis is over, the Portfolio's managers remain consistent in 
the belief that the current recovery is unsustainable. The anticipated impact of 
the withdrawal of the quantitative easing strategies, which have thus far 
provided considerable support to investor sentiment and asset prices, continue 
to cause significant concerns. 
 
 
The Investment Adviser understands that the Portfolio's managers anticipate that 
the major central banks are likely to be forced to maintain their accommodative 
policies for a longer period in order to support global growth, and that this 
policy stance will no longer be a globally coordinated effort. Consequently, 
with the likelihood of the global central bank policy becoming increasingly 
differentiated, the opportunity set for global macro managers becomes even more 
diverse. 
 
 
Market Overview 
 
 
The equity markets' price movements during the month demonstrated that the 
announcement of mixed economic data had led investors to question the 
sustainability of the latest rally in asset prices; while third quarter US GDP 
beat analyst expectations it also led to concerns that recent positive economic 
data has been distorted by large and unsustainable levels of stimulus. The 
Reserve Bank of Australia became the first major central bank to raise interest 
rates since the crisis began, sparking speculation that other central banks may 
follow. However, the US Federal Reserve Bank Chairman reiterated that 
"accommodative policies will likely be warranted for an extended period", but 
added that he is prepared to remove these measures should the recovery reignite 
inflation. The European Central Bank left its benchmark rate unchanged and 
provided no indication as to when it might begin to unwind its stimulation 
measures. 
 
 
Major equity markets rallied in the first half of the month as, in the US, the 
Dow Jones Industrial Average climbed past the 10,000 mark for the first time in 
a year following positive Q3 earnings announcements. However, later in the 
month, some gains were lost amid a general decline in consumer confidence, new 
home sales and consumer spending. European and UK equity markets moved in 
conjunction with the US indices during the month and were further depressed by 
negative UK GDP data indicating the longest recession on record in the UK. 
Japanese equities followed a similar pattern, as markets rallied in the first 
half of the month, encouraged by positive news in the manufacturing sector and 
Australia's interest rate rise, but later falling as a strengthening Yen weighed 
on exporters. Some of the Portfolio's managers remain cautious in their equity 
positioning, believing that the rallies are unsustainable. However, other 
managers do hold long positions, believing prices are likely to continue rising 
as a result of a strong disconnection between some fundamental valuations and 
pricing activity. The return of liquidity to the equity markets has increased 
some investors' interest in risk-seeking trades and there may also be a 
"seasonal effect" as equities often emerge from a traditionally weak period 
during the fourth quarter. As a consequence, some managers believe that equities 
may very well still have further positive performance potential. 
 
 
Major government bonds markets lacked a clear direction and ended the month 
mostly unchanged despite intra-month volatility, particularly at the front end 
of the yield curve. The US 10-year yields moved higher during the first part of 
the month as favourable economic data lured investors into equities and 
commodities. Longer dated yields in the UK and Europe likewise moved higher on 
news of increased industrial output in France, Italy and Germany, as well as 
signs that the rate of unemployment in the UK is slowing. Most major government 
bond yields reversed at the end of the month on renewed concerns over the 
sustainability of the global economic recovery and came under further pressure 
as a result of falling equity markets. Yields in Japan rose modestly as the 
Japanese unemployment rate unexpectedly improved. Within fixed income markets, 
many of the Portfolio's managers believe that the major central banks will 
maintain low rates for an extended period, as shown by the long positions they 
have taken at the front end of yield curves in major developed countries. While 
these trades have been profitable and managers continue to hold these positions, 
others have started to reduce exposure to this trade. At the long end of the 
curves, the debate continues as to whether deflationary pressures or 
inflationary fears will ultimately gain the upper hand. 
 
 
In currencies, the US Dollar continued its downward slide following speculation 
that foreign central banks may be rebalancing their reserves away from the US 
Dollar. The US Dollar was particularly weak against commodity currencies, which 
benefitted from rising commodity prices. However, the downward trend of the US 
Dollar reversed late in the month as investors' concerns over the withdrawal of 
stimulus measures resulted in increased risk aversion, a move that benefitted 
the US Dollar and Yen. The Yen was also buoyed by the Bank of Japan's 
announcement that it would end unconventional stimulus measures. Sterling was a 
strong performer against the US Dollar, principally due to speculation that the 
Bank of England may pause in its quantitative easing program. The Australian 
Dollar also posted strong returns against the US Dollar on the back of the 
Reserve Bank of Australia's 25bps increase in interest rates. 
 
 
However, whilst certain of the Portfolio's managers believe that the US Dollar 
is considerably oversold, the majority of the Portfolio's managers continue to 
maintain a bearish bias towards the US Dollar over the longer term. In addition, 
managers remain aware of the upcoming G20 meeting in November, and are mindful 
that any discussions with respect to global rebalancing could have significant 
currency implications. The Investment Adviser understands that it is widely 
believed that commodity-based currencies will continue to outperform the major 
currencies as demand for commodities remains high and investors seek increased 
yields. Furthermore, the Portfolio's managers believe that Asian currencies 
(ex-Japan) will continue to appreciate against the US Dollar and the Yen, given 
Asia's strong recovery and a particularly strong recovery of domestic demand. 
 
 
Commodity prices ended October higher despite selling off towards month-end 
following the strengthening of the US Dollar. Within the energy sector, crude 
oil gained +9%, initially rising on signs of economic improvement, but later 
dropping marginally on concerns that demand is not improving enough to justify 
the recent increase in price. Natural gas continued to see wide price swings 
before ending the month higher in anticipation of the impending winter heating 
months. The price of gold increased due primarily to US Dollar weakness, while 
base metals also ended the month higher, despite declines at month end. 
Agricultural commodities were mixed during the month, with cotton, wheat, corn 
and soybeans all ending higher, while sugar declined. The Portfolio's managers 
maintain a bullish outlook on the commodity sector. Prices should continue to be 
supported by accommodative monetary policy in the developed markets and economic 
strength in the emerging markets. Managers are particularly bullish on gold as 
the US Dollar continues to weaken. 
 
 
Strategy Overview 
 
 
Discretionary: +0.66%. Positive trades were principally made in foreign exchange 
via certain commodity currency crosses, namely the Australian Dollar versus the 
New Zealand Dollar, as well as in selected emerging market currencies versus the 
US Dollar. The volatility in rates benefited managers positioned with a long 
volatility bias in these markets. Small gains were made by managers with long 
positions at the front ends of yield curves and through long exposure to 
commodities, primarily in the agricultural sector. 
 
 
Systematic: -0.98%. The sudden change in investors' risk appetites was 
particularly difficult for the Portfolio's trend-following managers. Most of the 
losses occurred in the equity and currency sectors. However, the non 
trend-following managers saw positive returns during the month, as they 
benefitted from short positions at the longer end of the US Treasury yield 
curve, as well as from short US Dollar and long equity positions. 
 
 
Natural Resources: +0.81%. The reversal in performance of natural resource 
equities near month-end dampened performance, with long positions in exploration 
and production related equities hit particularly hard. However, those managers 
with exposure to emerging markets outperformed during the month. 
 
 
Relative Value Arbitrage: +0.27%. After a period of underperformance, equity 
market neutral managers saw positive performance this month as the so called 
"junk" rally appeared to subside and equities with superior fundamentals began 
to outperform lower quality stocks. 
 
 
+-----------------------+---------------+--------------+-------------+--------+ 
| Strategy              |  Allocation   |  Number of   |    Performance by    | 
|                       |    as of      | Managers as  |      Strategy        | 
|                       |  30 October   |    of 30     |          %           | 
|                       |      %        |   October    |                      | 
+-----------------------+---------------+--------------+----------------------+ 
|                       |               |              |  October    |  YTD   | 
+-----------------------+---------------+--------------+-------------+--------+ 
| Discretionary§        |      54       |      23      |    0.66     | 16.39  | 
+-----------------------+---------------+--------------+-------------+--------+ 
| Natural Resources     |      4        |      9       |    0.81     | 20.17  | 
+-----------------------+---------------+--------------+-------------+--------+ 
| Relative Value        |      4        |      5       |    0.27     |  4.20  | 
| Arbitrage             |               |              |             |        | 
+-----------------------+---------------+--------------+-------------+--------+ 
| Systematic§           |      27       |      10      |    -0.98    |  4.09  | 
+-----------------------+---------------+--------------+-------------+--------+ 
| Cash                  |      11       |      -       |      -      |   -    | 
+-----------------------+---------------+--------------+-------------+--------+ 
| Total                 |      100      |     46§      |             |        | 
+-----------------------+---------------+--------------+-------------+--------+ 
 
 
§ Discretionary and Systematic have one manager in common. 
 
 
Strategy returns are in US$ and net of underlying manager fees only, and not 
inclusive of Dexion Trading's fees and expenses. 
 
 
Voting Rights and Capital 
 
 
The Company's share capital consists of 101,386,049 GBP shares with voting 
rights. This figure may be used by shareholders as the denominator for the 
calculations by which they will determine if they are required to notify their 
interest in, or a change to their interest in the Company under the FSA's 
Disclosure and Transparency Rules. 
 
 
Supplementary Information 
 
 
Click on, or paste the following link into your web browser, to view a full 
review of the Dexion Trading Limited portfolio. 
 
http://www.rns-pdf.londonstockexchange.com/rns/6871C_-2009-11-18.pdf 
 
This information is provided by RNS 
            The company news service from the London Stock Exchange 
   END 
 
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