TIDMDTL
RNS Number : 3189R
Dexion Trading Limited
16 November 2012
Dexion Trading Limited (the 'Company')
October Net Asset Value
The net asset value of the Company's Shares as of 31 October
2012 is as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
132.51 pence -1.22% -1.02%
-------------- ---------------- ----------------
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
With the outcome of the US presidential election now decided,
some of the uncertainty has been lifted, although the Investment
Adviser believes that the shadow of the fiscal cliff now hangs over
the markets. Risk levels amongst the discretionary managers were
fairly low in the run up to the elections but now that some of the
ambiguity has been resolved, clearer market trends will start to
re-emerge and managers will gradually and cautiously increase risk
once more. While markets may initially trade downwards at the
outset of President Obama's re-election, they are likely to
eventually rally as participants take into account the fact that a
continued low interest rate environment remains supportive of risk
assets. The economic environment in Europe continues to be very
fragile, with the periphery weighed down by austerity measures and
core European countries showing weakness.
Market Overview
Renewed concerns over global growth weighed on markets during
the month, with the IMF cutting global growth forecasts. Economic
data in the US was generally positive, including
better-than-expected employment, manufacturing and housing reports.
However, these reports were overshadowed by disappointing US third
quarter earnings and uncertainty ahead of the US elections. The
European crisis continued to weigh on markets with little progress
made in the way of reforms. Concerns focused on the ability of
Greece to secure its next installment of rescue funds, while Spain
continued to insist that the country would not ask for a bailout.
In addition, Europe's economic data proved disappointing with
worse-than-expected PMI and Ifo data. On a more positive note,
economic reports in China generally met or exceeded market
expectations, but uncertainty remained over the November leadership
transition and the longer-term direction of the Chinese
economy.
Equity markets experienced mixed results. The developed markets
ended lower (as measured by the MSCI World Index), with US equities
falling around 2%, while European and Japanese stocks rallied
slightly. Disappointing earnings reports were the primary driver of
underperformance in US equities, while in Europe stocks benefited
from diminished stresses in the eurozone and Japanese equities rose
ahead of the Bank of Japan's decision to expand monetary easing.
Emerging markets declined overall during the month. Managers
generally continue to favour long equity positioning in the US and
Europe based on the extremely low level of rates brought about by
accommodative monetary policy. Managers are also establishing some
long exposure in the Nikkei, which stands to benefit from further
monetary easing and a weaker Japanese yen.
Developed market government bond yields rose modestly in
October, although prices lacked any clear direction. In the US,
yields rose early on, following speculation that positive economic
data would lead the Federal Reserve to curtail its latest round of
monetary easing. Later in the month, developed market yields in
general increased as economic data out of China showed signs of
stabilising and as positive European developments emerged, with
Germany increasingly softening its opposition to Spanish aid
requirements and Moody's retaining Spain's investment grade rating.
Peripheral yields ended the month lower on the back of these
developments. In the developed world, exposure is focused on long
positions at the short end of the European yield curve, given
ongoing economic concerns. Managers continue to find profitable
trading opportunities in European peripheral bond markets, with
tactical long exposures to bonds in these regions. In the US the
bias is to be short the long end of the curve in anticipation of
inflationary pressures increasing. In the emerging world, managers
continue to be selectively long emerging market sovereign bonds as
these countries also need accommodative monetary policies.
Foreign exchange price movements were driven primarily by
central bank action. The Japanese yen was one of the more notable
movers during the month, falling 2.3% against the US dollar in
response to the Bank of Japan's decision to expand its
asset-purchase programme for the second time in two months. The
Canadian dollar also fell sharply against the US dollar, declining
by 1.6% as the Bank of Canada delivered conflicting messages over
its next monetary policy steps. The euro rallied marginally against
the US dollar as peripheral country debt continued to stabilise.
Emerging market currencies saw inflows into Asia, with the Korean
won, Chinese yuan and Singapore dollar rallying; while the South
African rand and Indian rupee fell sharply as South Africa
continued to be affected by political instability, and India
further reduced its cash reserve ratio. Managers are generally
short the Japanese yen versus the US dollar, with some increasing
their exposure to this trade as the Bank of Japan seems
increasingly likely to implement further monetary easing.
Short-term managers maintain a bearish bias towards the US dollar
against various other currencies, but in the long term the bias for
the currency is to rise, especially against the euro, based on the
US economic strength. 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.
Commodity prices declined in October. The Dow Jones-UBS
Commodity Index fell 3.9% and the S&P North American Natural
Resources Sector Index fell by 2.0%. Crude oil prices sold off for
a second consecutive month as US output climbed to the highest
level in more than 15 years, US jobless claims increased more than
expected and commodity prices declined in conjunction with equity
markets as a number of companies missed quarterly earnings
expectations. Likewise, gasoline prices fell as US refineries
completed seasonal repairs. Conversely, natural gas prices were up
for the second consecutive month, advancing to a ten-month high as
colder weather set in across the US. Industrial metals were
negatively impacted after the World Bank cut its forecast for East
Asia's economy and the IMF cut its forecasts for world economic
growth. Weaker economic data out of China also pushed industrial
metals prices lower. Gold prices fell as a stronger US dollar
curbed demand. Grain prices declined sharply as growing conditions
in the US and South America improved. Exposure in the sector is
dominated primarily by long exposure to gold and to a lesser extent
oil.
Strategy Overview
Discretionary: -0.45%. Performance was relatively balanced
between positive and negative contributors. On the negative side,
losses were derived primarily from a continuation of the same
themes that had proved profitable in September, namely how the
extra liquidity, from monetary easing programmes, would be
supportive of risk assets. As such, long positions in commodities,
US equities and emerging market credit were among the most costly
trades. On the positive side, bullish positioning proved lucrative
in Europe, where long positions in European peripheral bonds (e.g.
Spain) and, to a lesser extent, European equities contributed
positively to returns. Short exposure to the Japanese yen was also
beneficial.
Systematic: -2.90%. Losses were widespread, with declines across
most sectors. During the month, managers generally had outsized
positions as a result of the low implied volatility levels, leading
to sharper losses as many sectors suffered reversals. Among the
trend following managers, long positions in US equities and
commodities, particularly gold and oil, short positions in the euro
and long positions in US and German bonds, proved equally costly.
Non-trend following managers suffered losses in currencies, with
long Japanese yen and Canadian dollar positions proving especially
detrimental to performance.
Natural resources: -1.09%. Long positions in oil proved
detrimental, despite a notable lack of fundamental reasons for the
decline in oil prices. Long positions in gold and gold equities
offset some of the previous month's gains on the back of a
better-than-expected US employment report, diminishing its safe
haven appeal.
Relative value arbitrage: +0.14%. While statistical arbitrage
strategies suffered during the month, fundamental equity market
neutral strategies offset losses due to strong gains from short
positions.
Strategy Allocation Number of Performance by
as of 31 October managers as strategy %
% of
31 October
-------------------------- ------------------ ------------- -----------------
October YTD
-------------------------- ------------------ ------------- --------- ------
Discretionary(1) 54 22 -0.45 +2.84
-------------------------- ------------------ ------------- --------- ------
Natural resources 8 10 -1.09 +1.32
-------------------------- ------------------ ------------- --------- ------
Relative value arbitrage 6 3 +0.14 +1.35
-------------------------- ------------------ ------------- --------- ------
Systematic(1) 23 10 -2.90 -3.21
-------------------------- ------------------ ------------- --------- ------
Cash 9 - - -
-------------------------- ------------------ ------------- --------- ------
Total 100 44(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/3189R_-2012-11-16.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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