TIDMDTL
RNS Number : 9289O
Dexion Trading Limited
17 October 2012
Dexion Trading Limited (the 'Company')
September Net Asset Value
The net asset value of the Company's Shares as of 28 September
2012 is as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
134.14 pence +0.34% +0.20%
-------------- ---------------- ----------------
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 ('PMH') Class A shares
provided by PMH. The Investment Adviser and third party service
providers to PMH, rely on estimates of the value of Underlying
Funds in which PMH 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 PMH 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 PMH 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 PMH'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
Managers are of the view that global economic growth is slowing
with the outlook for both developed and emerging economies being
rather bleak. In the developed world, while many systemic market
risks have been significantly reduced at the periphery, Europe is
in a recession, and while the US continues to outperform its other
global counterparts, it almost inevitably faces some form of fiscal
tightening in 2013. Emerging countries' economies are undergoing
the burden brought on by the slowdown in the developed world and
are also suffering from the slowdown in China as well as from
decreased commodity demand. Although the growth outlook is dire,
this environment nonetheless sets the stage for a myriad of
investment opportunities that the company's managers appear well
positioned to capture. First, they believe that the ECB's recent
actions, which have removed substantial tail risks from the
markets, make for a clearer investment landscape. In addition, the
ECB has clearly indicated that it will not tolerate markets to
price in a break-up of the eurozone, nor high funding stresses at
the periphery. This sets the stage for profitable trading
opportunities in European peripheral bond markets. Furthermore,
managers are playing the 'global accommodative policy' theme in
both emerging and developed markets as global slowdown concerns
clearly necessitate rates to remain low and even decrease further
in certain regions. Many managers also believe that easy monetary
policy should continue to lend support to risk assets (i.e.
equities and high yielding currencies) in this environment. As
policy, data and market sentiment can move rapidly and geopolitical
risks, particularly in the Middle East, may unexpectedly emerge,
macro managers remain best positioned to react quickly should major
market disruptions occur.
Market Overview
Market optimism that was prevalent in August carried over to the
first part of September with risk assets rallying on the back of
the ECB's announcement of a bond buying programme, which eased
fears of a eurozone break-up. Intensifying speculation over further
stimulus in the US also served to boost risk assets through the
Federal Reserve's 13 September 2012 announcement of an open-end QE3
programme and extension of its 'lower for longer' pledge until
mid-2015. Shortly after mid-month a slew of disappointing
manufacturing reports in the US, Europe and China sparked global
growth concerns and the QE3 rally started to lose momentum. As the
month drew to an end, investors refocused their concerns on the
eurozone, particularly Spain, where social tensions continued to
rise amid unease over whether Spain would request a formal bailout.
Disappointing data in the US, including a dramatic decline in US
durable goods orders, worse than expected GDP estimates and a fall
in the Chicago Purchasing Managers Index to levels not seen since
2009, served to further suppress risk appetites.
Global equities markets ended the month higher, although some of
the gains captured early in the month were offset during the latter
part of the month. In the US, gains early in the month were driven
primarily by QE3 expectations, but this euphoria waned in the
second half as concerns centred on the looming fiscal cliff and an
unclear economic situation in China. European equities similarly
reached an intra-month high on 14 September 2012 on the back of
Draghi's bond buying programme and the German constitutional
court's dismissal of efforts to block the European Stability
Mechanism; however, they declined towards the end of the month
given fears surrounding the euro crisis. Emerging markets generally
outperformed developed markets, amid China's approved plans for RMB
1 trillion in infrastructure spending and speculation throughout
the month that it would further increase its economic stimulus.
Equity positioning remains relatively light and is dominated by
small long exposure in the US and Europe.
Developed market government bond yields ended the month higher
as investors avoided safe haven assets in the early part of
September; however, some gains were recouped later in the month as
global growth fears resurfaced. Peripheral eurozone bond yields
moved lower during the month following the ECB announcement
regarding the bond buying programme which provided the intended
relief for those markets. In the developed world, exposure is
primarily focused on long positions at the short end of the
European yield curve, as managers believe ongoing regional weakness
will only lead to further monetary easing. Some believe that the
ECB may even cut rates before year-end. Managers continue to
tactically trade peripheral bond markets, where spreads are likely
to narrow. In the emerging world, many yield curves are pricing in
too few rate cuts and, in some cases, a large amount of rate hikes.
Yet all these countries need to have accommodative monetary
policies and as such, managers are selectively long emerging market
bonds.
The foreign exchange sector underwent significant volatility
during the month, with the US dollar ultimately ending lower than
most of its global counterparts on the back of continued
accommodative policy by the Federal Reserve. The euro moved sharply
higher against the US dollar in the first half of September, rising
over 4% to an intra-month high of 1.31. The euro gave back some
gains in the latter half of the month amid general risk aversion,
but renewed its upward trend towards the end of the month following
weak economic data in the US and better-than-expected, though
questionable, Spanish bank stress test results. The Japanese yen
appreciated against the US dollar despite the Bank of Japan's
efforts to weaken the currency by increasing its asset purchase
programme by Yen10 trillion. Commodity and emerging market
currencies rose during the month, with notable gains in the New
Zealand dollar and Mexican peso, which rose by 3.4% and 3.8%,
respectively. Managers are generally short the US dollar as a
result of the most recent accommodative policy by the Fed. Long
positions are dominated by emerging market currencies that should
benefit from reflationary measures to boost certain assets, as well
as the search for yield. These include Asian currencies and certain
Latin American currencies such as the Mexican peso.
Crude oil prices moved significantly lower given the unexpected
surge of inventories as production and imports rebounded from
Hurricane Isaac, Saudi Arabia announced it may take action to lower
prices and OPEC indicated supplies are ample. Conversely, natural
gas prices climbed significantly given reports of smaller than
normal inventory gains as well as decreasing concerns that US
stockpiles would reach storage limits before the winter weather
boosts demand. Speculation that increasing demand from electricity
generators - a result of fuel switching - would help reduce
oversupply also boosted prices. Grains prices, particularly for
soybeans and corn, moved considerably lower on the back of
speculation that drought effects throughout the US midwest during
the summer would not be as austere as previously thought. Precious
metals prices rose amid persistent uncertainties and aggressive
monetary policy measures, increasing their appeal as a store of
value. Exposure in the sector is dominated primarily by long
exposure to gold.
Strategy Overview
Discretionary: +1.37%. Managers who performed particularly well
during the month were those who continued to tactically trade
European peripheral sovereign bonds in order to capitalise on
narrowing spreads. Particularly profitable positions included long
Irish, Spanish and Portuguese bonds. In addition, emerging
markets-focused managers with long exposure to credit and
currencies fared well. Long exposure to gold also proved
profitable. Managers' constructive bias towards equities was
rewarding; however, some managers did give back much of the early
gains during the second half sell-off as a result of an untimely
increase in their exposure.
Systematic: -1.44%. Losses were particularly pronounced among
the non-trend following managers. Long positions in emerging market
currencies, as well as short positions in the euro, were the
primary detractors of performance. In addition, short exposure to
oil and long exposure to US and German fixed income were also
detrimental. The allocation to trend following managers also
suffered amid the sharp reversals in September. Long positions in
bonds and crops were the primary contributor to losses.
Natural resources: +1.41%. Gold and gold equities were the
largest contributor to positive returns in September as gold prices
appreciated 5%. In addition, long positions in natural
resource-related equities further contributed to performance.
Relative value arbitrage: +0.61%. Statistical arbitrage and
liquidity arbitrage strategies profited during the month,
offsetting losses from fundamental equity market neutral
managers.
Strategy Allocation Number of Performance by
as of 28 September managers as strategy %
% of
28 September
-------------------------- -------------------- -------------- ------------------
September YTD
-------------------------- -------------------- -------------- ---------- ------
Discretionary(1) 54 22 +1.37 +3.30
-------------------------- -------------------- -------------- ---------- ------
Natural resources 8 10 +1.41 +2.44
-------------------------- -------------------- -------------- ---------- ------
Relative value arbitrage 6 3 +0.61 +1.21
-------------------------- -------------------- -------------- ---------- ------
Systematic(1) 24 11 -1.44 -0.32
-------------------------- -------------------- -------------- ---------- ------
Cash 8 - - -
-------------------------- -------------------- -------------- ---------- ------
Total 100 45(1)
-------------------------- -------------------- -------------- ---------- ------
(1) Discretionary and systematic have one manager in common.
Strategy returns are in US$, net of underlying manager fees
only, and not inclusive of either Dexion Trading's or PMH's fees
and expenses.
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/9289O_-2012-10-17.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
MSCFFAFDWFESEIS
Dexion Trading (LSE:DTL)
過去 株価チャート
から 6 2024 まで 7 2024
Dexion Trading (LSE:DTL)
過去 株価チャート
から 7 2023 まで 7 2024
