Interim Management Statement


 

TIDMDTL 
 
RNS Number : 2875W 
Dexion Trading Limited 
16 November 2010 
 

16 November 2010 
                             DEXION TRADING LIMITED 
 
                          INTERIM MANAGEMENT STATEMENT 
 
This interim management statement relates to the period from 1 July 2010 to the 
date of publication of this statement and has been prepared solely to provide 
additional information in order to meet the relevant requirements of the UK 
Listing Authority's Disclosure and Transparency Rules, and should not be relied 
on by Shareholders, or any other party, for any other purpose. 
 
This statement provides: 
1.  An explanation of material events and transactions that have taken place 
during the period under review and their impact on the financial position of the 
Company; and 
2.  A general description of the financial position and performance of the 
Company during the period under review. 
 
Overview 
Dexion Trading Limited is a Guernsey authorised, closed-ended investment company 
listed on the main market of the London Stock Exchange under the Premium listing 
regime. The Company is a feeder fund into Permal Macro Holdings Ltd ("Permal 
Macro"), and, as such, the Company's investment objective and policy mirror that 
of Permal Macro. Permal Macro's current investment objective is to provide 
investment returns that have a lower risk than traditional investment returns 
and, over time, to achieve returns above those of the market. The Permal Macro 
asset allocation policy is currently structured so as to target an annualised 
return over the medium term of approximately 8% to 12% with annualised 
volatility of 4% to 6% (although the Investment Adviser may alter this 
allocation policy at any time at its sole discretion without reference or 
notification to the Company). 
 
NAV performance as of 30 September 2010 (being the latest published final NAV) 
 
+-----------------------+--------+-------+----------+----------+----------+----------+--------------+ 
|                       |  Q3    |  YTD  |    3Y    |    5Y    |   Inc    |   Vol    |    Sharpe    | 
|                       |  2010  | (%)1  |(%)1,2,5  |(%)1,2,5  |(%)1,2,5  |(%)1,2,5  |Ratio1,2,3,5  | 
|                       |  (%)1  |       |          |          |          |          |              | 
+-----------------------+--------+-------+----------+----------+----------+----------+--------------+ 
| Dexion Trading NAV    | 4.01%  |3.02%  |  4.35%   |  5.68%   |  5.53%   |  5.65%   |    0.30      | 
+-----------------------+--------+-------+----------+----------+----------+----------+--------------+ 
| MSCI World Index      |13.89%  |3.01%  |  -7.75%  |  1.85%   |  3.30%   |  17.96%  |    0.02      | 
| Gross (TR) (US$)4     |        |       |          |          |          |          |              | 
+-----------------------+--------+-------+----------+----------+----------+----------+--------------+ 
| JPM Global Gov't Bond | 7.95%  |8.35%  |  8.74%   |  7.32%   |  5.66%   |  7.29%   |    0.37      | 
| Index (TR) (US$)4     |        |       |          |          |          |          |              | 
+-----------------------+--------+-------+----------+----------+----------+----------+--------------+ 
|                       |        |       |          |          |          |          |              | 
| Source: Dexion        |        |       |          |          |          |          |              | 
| Capital plc           |        |       |          |          |          |          |              | 
| (calculation),        |        |       |          |          |          |          |              | 
| Bloomberg (data)      |        |       |          |          |          |          |              | 
+-----------------------+--------+-------+----------+----------+----------+----------+--------------+ 
 
1      NAV performance data is net of all fees and expenses. DTL invests solely 
in Class A GBP Shares in Permal Macro, which shares are hedged into Sterling at 
the PMH level.  Returns on the GBP Shares are shown with the effect of such 
currency hedging which had a negative effect on the NAV performance of the GBP 
Shares over the period. 
2      Annualised and based on monthly data. Inception of DTL taken as November 
2004. 
3      Risk free rate is average 1M GBP LIBOR since November 2004 (3.81%) for 
DTL and average of 1M USD LIBOR since November 2004 (2.94%) for US$ indices. 
4      MSCI World Index and JPM Global Gov't Bond Index annualised since 
November 2004. 
5      On 1 October 2007 DTL became a feeder fund of Permal Macro. Prior to this 
date DTL had a different investment objective and policy and was managed by FRM 
Investment Management Limited.  Accordingly, performance figures prior to 1 
October 2007 may not be indicative of or relevant to DTL's performance as it is 
currently constituted. 
The information in this table has not been subject to audit. 
The statistics shown in the table above are for illustrative purposes only and 
do not represent forecasts of returns or volatility. 
 
The latest available and published estimated NAV as of 9 November 2010 was as 
follows: 
 
+------------+-------------+ 
|    NAV     |    YTD      | 
|            |Performance  | 
+------------+-------------+ 
|  138.02    |   +5.73%    | 
|   pence    |             | 
+------------+-------------+ 
 
Investment Adviser's Review: July - September 2010 
 
References to the Portfolio are, where the context requires, to the portfolio of 
Permal Macro, of which the Company is a feeder fund. 
 
Performance by Strategy 
 
Discretionary 
The majority of returns over the quarter were generated from long exposure to 
emerging market currencies versus the US dollar, including Asian currencies such 
as the Korean won and Malaysian ringgit, Central American currencies including 
the Mexican peso as well as commodity currencies, namely the Brazilian real and 
Australian dollar. Late in the quarter, other currency crosses such as long the 
Australian dollar versus the New Zealand dollar proved profitable.  Within fixed 
income, long positions in emerging market rates and bonds, including those in 
Brazil and Mexico, generated positive returns.  During the flight-to-quality 
towards the middle of the quarter, some managers recorded gains from long 
exposure to government bonds, primarily in the US.  Toward the end of the 
quarter, as QE increasingly became a magnet for risk assets, managers benefited 
from the 'risk-on' trade through their long equity exposure. 
 
Natural Resources 
Strong returns resulted from long exposure to agricultural commodities, namely 
long positions across the grains complex.  Long positions in crude oil and in 
energy-related equities also contributed to performance as did price increases 
in gold and gold-related equities.  Some managers' performance was marginally 
offset by small losses in natural gas positions amid significant price 
volatility. 
 
Relative Value Arbitrage 
Within the fixed income relative value group, gains were made tactically trading 
the European and US yield curves as the shape of these curves shifted early in 
the quarter.  After some setbacks in August for both equity market neutral and 
fixed income relative value from long equity positioning and extreme volatility 
in certain sectors of the fixed income market, these managers registered gains 
in September, with equity market neutral managers particularly capitalising on 
the strong rally in stocks. 
 
Systematic 
Non-trend following managers fared particularly well, initially from long 
exposures across multiple points of the US yield curve and long global equity 
index positions.  Both trend and non-trend following managers benefited 
significantly from the rally in fixed income in August, with one trend follower 
doing particularly well from directional long positions in US and German fixed 
income, as well as yield curve flattening positions in the US.  Managers also 
made gains in precious metals, namely gold, and from short exposure to the US 
dollar. 
 
Investment Adviser Portfolio Outlook 
 
Fixed Income 
Despite record low yields, many of the Company's managers remain long US 
Treasuries.  Managers believe that given softening US data and further QE, 
interest rates are not going up anytime soon.  Managers are generally expressing 
this view via longer dated bonds as low rates continue to push investors further 
out on the curve.  Although this remains a high conviction theme, some managers 
have recently reduced the size of their positioning as this has become a crowded 
trade. In Europe, managers expect weakness at the periphery to continue. 
Aggressive austerity plans increase the probability that these countries may 
slip back into a recession.  As such, managers hold positions that benefit from 
the widening of peripheral government bonds over German government bonds. 
 
Currencies 
The Company's managers anticipate that the US dollar will continue to fall in 
anticipation of another round of QE.  Short term, this looks likely to result in 
US dollar weakness vis-à-vis the euro.  However, over the longer term, the 
Fund's managers are cautious the euro given fiscal concerns, particularly in the 
peripheral countries.  Several of the Fund's managers also continue to be 
bullish the Australian dollar due to the region's robust growth, which is likely 
to press the RBA to raise rates into year-end.  Select emerging market 
currencies are attractive given relatively higher yields and stronger economic 
performance compared to developed markets. 
 
Equities 
As long as markets expect QE, US equities should perform well.  As such, many of 
the Company's managers are cautiously long, with the expectation that equities 
will likely correct if and when a QE announcement is made (i.e., a classic case 
of 'buy the rumour, sell the news').  Emerging market equities are expected to 
perform well, barring a full-blown 'double-dip' in the developed world. 
 
Commodities 
The natural resources space is expected to face volatility following September's 
momentum driven rally.  That said, macroeconomic factors should continue to be 
at the forefront of underlying price movements, as investors weigh the potential 
for stable economic growth in both the emerging and developed economies. 
Despite this short-term volatility, long-term fundamentals remain strong for 
numerous commodities given strong emerging market demand and supply constraints. 
 
Material Events since 1 July 2010 
 
August 2010 
Half Yearly Report 
On 27 August 2010 in accordance with DTR 6.3.5, the Company released its Interim 
Financial Report for the six months ended 30 June 2010. 
 
Investor Information 
The latest available portfolio information can be accessed by eligible 
Shareholders via www.dexioncapital.com/index.php/dexion-products/dexiontrading 
 
Enquiries: 
 
Chris Copperwaite 
Dexion Capital (Guernsey) Limited 
 
Tel: + 44 (0) 1481 743940 
End of announcement 
 
This information is provided by RNS 
            The company news service from the London Stock Exchange 
   END 
 
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