TIDMDTL
RNS Number : 0128H
Dexion Trading Limited
13 June 2013
Dexion Trading Limited (the "Company")
May Net Asset Value
The net asset value of the Company's Shares as of 31 May 2013 is
as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
141.63 pence +1.36% +4.83%
-------------- ---------------- ----------------
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 12 March 2008.
Monthly Portfolio Review
Investment Adviser Portfolio Outlook
The discretionary macro managers have become a bit more cautious
in light of recent spikes in market volatility and the hit to risk
sentiment. Nonetheless, they are generally constructive,
particularly with respect to the US economy, where employment and
housing data remains strong. They continue to be negative towards
Europe as growth in the region remains anemic. In Japan, many
believe that the "reflation trade" continues to be supported by the
joint initiative between the new government and the central bank.
Even more importantly, the macro managers maintain a high level of
conviction in the investment opportunity set which appears likely
to continue being a driver of positive returns.
Market Overview
The month began on a relatively optimistic note with
better-than-expected employment data in the US and anticipation of
continued liquidity as the ECB cut its key interest rates by 25bps.
Weakness in the US service sector supported expectations that the
Federal Reserve will continue its bond buying program and the risk
rally was further bolstered amid strong first quarter earnings in
the US. However, price action took a sharp turn later in the month
as comments from the Federal Reserve Chairman, Bernanke, to the
Joint Economic Committee led to speculation that the Fed would
begin tapering QE sooner than expected. Bernanke's initial comments
were interpreted as "more of the same", but the Q&A session
reversed this tone as he stated that QE could be pared back at "one
of the next few meetings" should data allow. This sparked a sharp
rise in volatility and a sell-off in risk assets that continued
into the month end.
Global equity markets ended the month slightly higher despite
the month end rout, with the MSCI World (local currency) ending up
1.1%. Markets were driven higher through much of the month, despite
mixed economic data, on expectations that global central banks
would continue to keep markets liquid. The Nikkei had a
particularly strong start to the month as the US dollar broke the
Yen100 level for the first time in more than four years. However,
markets gave back some gains late in the month on the back of weak
manufacturing data in China and increasing speculation that the US
Federal Reserve may scale back its asset purchasing programme.
Asian equities reacted particularly violently with the Nikkei
giving back all of the month's previous gains, ending the month
down nearly 1%, including a single day decline of -7.3% on May 23.
Managers have long exposure to US, Japanese and European equities
based on the explicit pursuit of reflationary policy by central
banks through very low rates and asset purchases. They have
nonetheless reduced their long Nikkei exposure in light of
heightened market volatility.
Major global bond yields finished higher - driven by strong
sell-offs in longer-dated maturities - on broadly positive US
economic data and the possibility of an early reduction in the
Fed's QE program. In Japan, JGBs experienced a sharp sell-off as
Japanese equities rallied early in the month. Emerging market bonds
also sold off particularly sharply as Japanese investors were heavy
net buyers of foreign bonds. In the US, managers are short US
treasuries in light of continued solid economic data. In Japan,
managers have small short exposure to JGBs. In Europe, however,
managers are maintaining long positions along the euro curve given
the sustained continued economic malaise, and are still long Greek
bonds, which continue to be supported by the ECB's OMT
operations.
The US dollar generally strengthened versus other major global
counterparts as the US economy continued to slowly improve and due
to the possibility that the Fed may taper its bond purchasing
program sooner than anticipated. The euro depreciated versus the US
dollar after the ECB cut its key interest rate and eurozone GDP
data was weaker than expected. The Japanese yen continued to
decline versus the US dollar, weakening beyond Yen100 for the first
time since 2009 as a result of the BoJ's aggressive monetary
policy. The US dollar also appreciated versus commodity currencies,
most notably the Australian dollar, which suffered from concerns of
slowing Chinese growth, slowing commodity demand, and from the RBA
lowering its key interest rate as a result of higher unemployment
and slowing economic growth. Developed market focused managers have
a long US dollar bias, particularly against commodity currencies,
given the continued pressure on the asset class. They also maintain
shorts in the Japanese yen, believing that the reflation trade has
further to run. Emerging market focused managers continue to be
long currencies with strong supporting fundamentals, such as the
Mexican peso.
Commodity prices moved broadly lower on the strengthening US
dollar. Crude oil prices fell as US inventories climbed, global
demand weakened, concerns persisted that the Fed may cut debt
purchases, and after Keystone - a major Canadian crude oil pipeline
- resumed service. Crude oil prices were also weighed down by a
drop in US consumer spending and soaring eurozone unemployment.
Gasoline prices declined on speculation that supplies are rising as
refineries restored units to production. Natural gas prices tumbled
late in the month, bringing to an end a three-month rally, as
forecasts predicted mild weather in the US, impacting demand
expectations. Gold prices continued to move downwards as the US
dollar strengthened, investor appetite for riskier assets
increased, and uncertainty persisted about the direction of Fed
policy. Most base metals prices, including copper, advanced as
supply unexpectedly tightened and global central bank stimulus
moves raised investor confidence that industrial metals demand
would climb. Agricultural commodity prices finished broadly lower,
with corn prices declining as the USDA forecasted record
inventories despite lower yields from a late start to the planting
season. Conversely, soybean prices advanced on concerns about US
supplies tied to increased export demand and delayed plantings as a
result of excessive rain. Whilst light, exposure is generally
expressed through short gold positions.
Strategy Overview
Discretionary: +2.97%. May was yet another strong month for
discretionary macro as managers made money across asset classes. In
currencies, they benefited from their long US dollar bias
particularly against commodity currencies and the Japanese yen.
Fixed income also proved accretive with profits stemming from short
the US 10 years and, to a far lesser extent, short JGBs. Their
constructive view on equities also paid off with long positions in
US, Japanese and European equity indices adding to gains. A timely
reduction of risk in the "Japan trade" (i.e. long the Nikkei and
short the yen) proved very beneficial given the Nikkei's sell off
in the last few days of the month. Small profits also came from
commodities, namely managers' short gold exposure.
Systematic: -1.24%. The trend following managers suffered from
the uptick in bond yields, as the long-term trend of higher bond
prices reversed during the month. Additionally, losses resulted
from long positions in commodity currencies, such as the Australian
and Canadian dollars. Among the non-trend following managers
performances were more mixed, with gains coming from those managers
who held short positions in the New Zealand and Australian dollars,
and losses coming from those managers long the Japanese yen.
Natural resources: -1.83%. Losses this month stemmed from long
positions in gold as well as long positions in emerging market and
gold-related equities.
Relative value arbitrage: +0.77%. Gains were driven by
fundamental stock picking and statistical arbitrage.
Strategy Allocation Number of Performance by
as of 31 May managers as strategy %
% of
31 May
-------------------------- -------------- ------------- -----------------
May YTD
-------------------------- -------------- ------------- -------- -------
Discretionary(1) 60 20 +2.97 +9.19
-------------------------- -------------- ------------- -------- -------
Natural resources 5 8 -1.83 -6.28
-------------------------- -------------- ------------- -------- -------
Relative value arbitrage 7 3 +0.77 +6.94
-------------------------- -------------- ------------- -------- -------
Systematic(1) 20 9 -1.24 +1.74
-------------------------- -------------- ------------- -------- -------
Cash 8 - - -
-------------------------- -------------- ------------- -------- -------
Total 100 39(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/0128H_-2013-6-13.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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