24 Mar 2009 07:00
RNS Announcement
24 March 2009
Factsheet February 2009
Bramdean Alternatives Limited
This Factsheet contains commentary and news for the calendar month ended 27 February 2009, unless otherwise stated.
February Estimated Net Asset Values
Sterling shares: 96.36 pence
U.S. Dollar shares: US$0.7969
Overview
Bramdean Alternatives Limited, (the "Company") is a Guernsey-based Investment Company listed on the London Stock Exchange. The Company invests in a diversified portfolio of Private Equity Funds, Hedge Funds and other Specialty Funds.
| KEY FACTS | |
| Market Capitalisation | £76.3 million |
| Manager | Bramdean Asset Management LLP |
| Annual Management Fee | 1.5% |
| Performance fee | 10% subject to an 8% return and a high watermark |
| Company Brokers | JPMorgan Cazenove Cenkos Securities Plc |
| Sterling class share price on 27 February 2009 | 42.25p |
| Sterling class issue price (9 July 2007) | 100.00p |
| Number of Sterling shares in issue | 92,142,177 |
| U.S. Dollar class share price on 27 February 2009 | US$ 0.7000 |
| U.S. Dollar class issue price (9 July 2007) | US$ 1.00 |
| Number of U.S. Dollar shares in issue | 76,116,060 |
| Minimum investment | N/A |
| Dealing | Daily |
| Valuation | Monthly |
| NAV publication | Monthly |
| February Sterling Estimated NAV per share | 96.36 pence |
| February U.S. Dollar Estimated NAV per share | US$ 0.7969 |
| Total common net assets | US$ 187,563,790 |
| Total Estimated Net Asset Value | US$ 187,204,914 |
| Half-year end | 30 September 2009 |
| Financial year end | 31 March 2009 |
| Company Secretary and Administrator | RBC Offshore Fund Managers Limited |
| Registrar | Capita Registrars (Guernsey) Limited |
| Stock Exchange code (Sterling shares) | BRAL |
| Stock Exchange code (US Dollar shares) | BRAU |
| Sedol code (Sterling shares) | B1XCHB9 |
| Sedol code (US Dollar shares) | B1XCLF1 |
| ISIN code (Sterling shares) | GG00B1XCHB94 |
| ISIN code (US Dollar shares) | GG00B1XCLF11 |
FEBRUARY MARKET COMMENTARY
Credit markets achieved a modest degree of greater stability in February, but global stock markets collapsed still further. The S&P 500 index declined by 11%. The underlying problems affecting asset markets continued to be deep and pervasive, however, preventing any sustained rally in prices. The battered state of US and European financial institutions and the steep deterioration in the global economy have undermined investor confidence and forced up required risk premia.
US markets were particularly badly hit by a perception that the Obama administration had not yet got to grips with the details of a bank rescue plan. US economic data in February confirmed that the recession was much deeper than expected, with negative GDP growth of 6.2% (annual rate) in the fourth quarter. Global stock markets were generally weak, though Asia - still with the motor of Chinese growth - and continental Europe performed in general better than the US. The Nikkei 225 fell by 5.3%, while the Shanghai Composite Index was up by 14% on the year to date. The MSCI World Index fell by 9.3% in February. In Europe, the Dow Jones STOXX 600 fell 9.6% in February, while the FTSE 100 declined by 7.7%. In Germany, the DAX fell by 4.3% and in France the CAC 40 fell by slightly less than 2%.
In a time of economic turmoil, gold proved a safe haven, rising by 1.5%. Precious metals generally benefited from the investor flight to safety, with silver prices rising by 4.1% and platinum by 9.5%. The dollar - perhaps counterintuitively - was strong for the month, with the dollar index gaining 2.2%. It is likely that US Treasuries, as the most liquid government securities market in the world, attracted investor interest for the same reason as precious metals - though the painful adjustment to recession coupled with an exceptionally easy monetary policy are not likely to provide fundamental support.
PORTFOLIO NEWS
General
The underlying unaudited performance in February was 0.23% for the Sterling Share class and -0.80% for the US Dollar Share class. This compares with -0.32% and -0.88% returned by the HFRI Fund of Funds Composite Index and Credit Suisse/Tremont Hedge Fund Index respectively.
The discrepancy in performance between the two Share classes relates to currency. The Company hedges at the Share class level and the tactical default hedging ratio is currently zero with discretion to operate tactically within a range -30% to +30%. During February, the Company's currency manager, Mesirow Financial Currency Management, hedged the Company's Euro, US Dollar and Sterling exposure within both Share classes.
There were 30 holdings in the Company's overall Portfolio as at 27 February 2009. During the month, proceeds were received in relation to a partial redemption from Kaiser Trading Group Pty. 2XL. A subscription for Roy G Niederhoffer Negative Correlation Fund was also placed in February to be effective 1 March.
As reported in the recently published Interim Management Statement, Deephaven Capital Management LLC has made proposals to investors which relate to the Company's holding in Deephaven Global Multi-Strategy Fund Ltd. to which RMF Investment Management is responding. The Company also submitted a redemption notice in November 2008 to Aarkad plc, proceeds from which are not due until May 2009, although the manager has suspended redemptions until further notice. Aarkad is currently holding its NAV at the December 2008 valuation as a result of its redemption suspension. It has indicated, however, that February's performance was positive.
The Company continues its programme of tactically reducing its allocation to hedge funds, a strategy that the investment manager started to implement in December 2007. As a result, there have been partial redemptions during February from certain holdings in the Strategic Hedge Funds portfolio, which have also been made in order to maintain weightings within the overall allocation range for that portfolio. Further partial redemptions will be made over the coming months.
In December 2007, the Company's hedge fund holdings represented 86.3% of the Company's overall Portfolio. As at the end of February 2009, they represented 31.9% of the overall Portfolio. As a result of the repositioning of the Portfolio during the course of 2008, the Company holds 33.2% of its net assets in cash as at the end of February. The investment manager intends to maintain cash reserves in order to fund draw-downs from the Private Equity and Specialty Funds and also to protect the NAV in these continuing volatile markets. The investment manager also maintains a close dialogue with Mesirow regarding the tactical use of currency hedging.
The stand-out performers during February were Alydar Fund Limited and King Street Capital Ltd., with positive returns also reported by Kaiser Trading Fund and Kaiser Trading Diversified 2X Segregated Portfolio. During February, the sidepocket within Atticus European Fund Ltd., Deephaven Global Multi-Strategy Fund Ltd., DE Shaw Oculus Members Interest, Evergreen MAC Ltd., Kei Ltd., Lansdowne UK Equity Fund, and Paulson Advantage Plus Ltd. reported negative returns.
Private Equity and Specialty Funds
The Company has now made commitments to 18 underlying Private Equity Funds and underlying Specialty Funds amounting to approximately US$221.2 million, taking into account the U.S. Dollar's appreciation over the month. No new commitments have been made during February.
The total amount that has been drawn-down on the commitments made is approximately US$90.5 million, with approximately US$0.2 million of capital having been drawn-down in February. The Company has now received total distributions of US$3.8 million since inception, though no distributions were received in February.
Four capital calls were received from underlying Funds in February, though one of these was purely for regulatory capital purposes and was refunded the same day. Revaluations were received from two managers of the Company's Private Equity and Specialty Funds and these have been incorporated into the February NAV calculations. Both revaluations were downwards revaluations, reflecting falls in the values of market comparables and adverse currency movements. As stated in previous communications, downward valuations are to be expected given the exceptional market environment and it is likely that the Company will receive further fair market valuation write-downs, including valuations as at 31 December 2008, from some of its managers. As at February, six of the 18 private equity and specialty managers have reported their December 2008 year-end valuations; these have been reflected in the NAV of BAL. One other manager's portfolio is revalued every month.
Transitional portfolio
The portfolio held two Funds at the end of February 2009; these two Fund investments in the Transitional portfolio represent 7.3% of the Company's overall Portfolio as at 27 February 2009.
The Transitional portfolio returned 0.04%, including cash, but excluding currency movements, during February. Kaiser Trading Fund reported a positive return, while Aarkad's return was held at the December 2008 valuation as a result of its redemption suspension. The manager for Aarkad has indicated, however, that the portfolio's performance is positive.
Strategic Hedge Funds portfolio
The portfolio posted a small loss of -0.47% in a month when global equity markets registered heavy falls. All styles were slightly negative with the largest losses coming from equity hedged. YTD the portfolio has returned 1.91%.
PORTFOLIO HIGHLIGHTS
Equity Hedged - Despite a -9% loss from the MSCI World Stock Index, the style did a good job in preserving capital, losing less than 1%. The portfolio's US manager was moderately positive thanks to strong stock picking and good use of technicals to avoid areas of weakness. The style's loss was due to a UK manager, who suffered from selling in European financial stocks, where the manager has begun to establish long-term positions on the back of what it feels are compelling valuations.
Event Driven - The style was slightly down as small losses from a special situations manager pared gains from a distressed manager. The performance of the special situations manager was impaired by spread widening in the strategic deals to which it was exposed. The portfolio's distressed manager continues to perform strongly, posting a positive return thanks to its net short credit positioning.
Global Macro - The global trader posted a small loss. The manager's directional futures strategies incurred losses in a month characterised by market choppiness and reversals, while additional losses arose from a fundamental bearish view on the US dollar. Despite poor US economic data and ballooning fiscal deficits, the greenback continued to rally amid ongoing concerns over the health of European, Asian and Emerging Market economies.
Managed Futures - After six consecutive positive months, the style posted a slight loss. The primary reason for the underperformance was losses from a medium-term trend-following manager, who struggled amid the market reversals. The most costly trade was a long bias to the Japanese yen, which reversed lower following the emergence of a trade deficit due to huge declines in export volumes. One short-term trader did manage to profit during the month, benefiting from long exposure to interest rate markets, which generally rallied.
Relative Value - The portfolio's multi-strategy manager posted a small loss. Credit oriented strategies continued to prove damaging as liquidity remained confined to larger, more widely held instruments. Some of the esoteric trades which the manager holds such as CDS basis continued to hinder performance.
Outlook - Despite the strong market rally in March, little has changed to alter the view that shorting and volatility will be key return drivers in the month ahead. More long volatility exposure has been included in the portfolio, with the addition of another short-term trader, and the portfolio will continue to be managed with an emphasis on managers who can deliver uncorrelated returns.
Portfolio Highlights
Geographical Allocation
| North America 61.5% |
| Europe 17.6% |
| Global 16.7% |
| Asia & Other 4.2% |
Portfolio Holdings Asset Allocation
| Cash 33.2% |
| Strategic Hedge Funds 24.6% |
| Private Equity 23.1% |
| Specialty 11.8% |
| Transitional 7.3% |
PORTFOLIO HOLDINGS (INVESTED CAPITAL) ON 27 February 2009
| Manager | Type | Portfolio Weighting |
| Cash | Cash | 33.2% |
| Greenpark International Investors III LP | Private Equity | 6.3% |
| D.E. Shaw Oculus International Members Interest | Strategic Hedge Funds | 5.5% |
| Oaktree OCM Opportunities Fund VIIb LP | Specialty | 5.1% |
| Paulson Advantage Plus Ltd. | Strategic Hedge Funds | 4.6% |
| Aarkad Plc | Transitional | 4.5% |
| Thomas H Lee Fund VI LP | Private Equity | 4.2% |
| Lansdowne UK Equity Fund | Strategic Hedge Funds | 4.2% |
| King Street Capital Ltd. | Strategic Hedge Funds | 3.2% |
| Coller International Partners V LP | Private Equity | 3.0% |
| Deephaven Global Multi-Strategy Fund | Strategic Hedge Funds | 2.9% |
| MatlinPatterson Global Opportunities Partners III LP | Specialty | 2.9% |
| Kaiser Trading Fund SPC | Transitional | 2.8% |
| Goldman Sachs Capital Partners VI LP | Private Equity | 1.9% |
| Alydar Fund Limited | Strategic Hedge Funds | 1.8% |
| DFJ Athena LP | Private Equity | 1.8% |
| Lehman Brothers Venture Partners V LP | Private Equity | 1.5% |
| SVG Strategic Recovery Fund II LP | Specialty | 1.2% |
| Terra Firma Capital Partners III LP | Private Equity | 1.2% |
| Pine Brook Capital Partners LP | Specialty | 0.9% |
| AIG Brazil Special Situations II LP | Private Equity | 0.9% |
| Kaiser Trading Group Pty. 2XL | Strategic Hedge Funds | 0.9% |
| Silver Lake Partners III LP | Private Equity | 0.9% |
| Evergreen MAC | Strategic Hedge Funds | 0.8% |
| HIG Bayside Debt & LBO Fund II LP | Specialty | 0.7% |
| Rho Ventures VI LP | Private Equity | 0.7% |
| Resonant Music L.P. | Specialty | 0.7% |
| Thoma Bravo Fund IX LP | Private Equity | 0.7% |
| Quantitative Investment Mgmt/Kei Ltd. | Strategic Hedge Funds | 0.6% |
| Limetree Emerging Beachfront Land Investment Fund II, L.P. | Specialty | 0.1% |
| Atticus European Fund Ltd. | Strategic Hedge Funds | 0.1% |
DISCLAIMER
This Factsheet update has been produced by Bramdean Asset Management LLP, which is authorised and regulated by the Financial Services Authority ("FSA"). Bramdean Alternatives Limited (the "Company") has appointed Bramdean Asset Management LLP as the Investment manager of the Company.
This material constitutes a financial promotion for the purposes of the Financial Services and Markets Act 2000 (the "Act") and the handbook of rules and guidance issued from time to time by the FSA (the "FSA Rules").
This material is provided for information purposes, is intended for your use only and does not constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. This material has been provided specifically for the use of the recipient only and must be treated as proprietary and confidential information. It may not be passed on, nor reproduced in whole or in part under any circumstances without express written consent from Bramdean Asset Management LLP. The material provided is not intended to provide a sufficient basis on which to make an investment decision. Information and opinions presented in this material have been obtained or derived from sources believed by Bramdean Asset Management LLP and its affiliates ("Bramdean") to be reliable, but Bramdean makes no representation as to their accuracy or completeness. Bramdean accepts no liability for loss arising from the use of this material. Bramdean gives no representations or warranty that any indicative performance or return will be achieved in the future or that the investment objectives and policies from time to time of Bramdean Alternatives Limited (the "Company") will be achieved.
You should note that, if you choose to invest in the Company, your capital will be at risk and you may therefore lose some or all of any amount that you choose to invest. This material is not intended to constitute, and should not be construed as, investment advice.
Potential investors in the Company should seek their own independent financial advice. Bramdean neither provides investment advice to, nor receives and transmits orders from, investors in the Company nor does it carry on any other activities with or for such investors that constitute "MiFID or equivalent third country business" for the purposes of this FSA Rule.
PAST PERFORMANCE IS NOT A RELIABLE INDICATOR OF FUTURE RESULTS.
Please note that up-to-date information on the Company, including its monthly NAV and share prices, factsheets, Annual Report and Financial Statements, Prospectus and portfolio information can be found at www.bramdeanalternatives.com or via a link from www.bramdean.com.
Capita Registrar's helpline is 0871 664 0300 (Calls cost 10 pence per minute plus network extras). For callers outside the UK, please dial: +44 (0)20 8639 3399.
Registered Office: Canada Court, Upland Road, St. Peter Port, Guernsey, GY1 3QE, Channel Islands.
CONTACT DETAILS
Loretta Murphy, or lmurphy@bramdean.com
Bramdean Asset Management LLP, 35 Park Lane, London W1K 1RB, United Kingdom
T: +44 (0)20 7052 9272 F: +44 (0)20 7052 9273 W: www.bramdean.com