26 Feb 2009 17:05
RNS Announcement
26 February 2009
Factsheet January 2009
Bramdean Alternatives Limited
This Factsheet contains commentary and news for the calendar month ended 30th January 2009, unless otherwise stated.
January Estimated Net Asset Values
Sterling shares: 96.14 pence
U.S. Dollar shares: US$0.8033
Overview
Bramdean Alternatives Limited, (the "Company") is a Guernsey-based Investment Company listed on the London Stock Exchange. The Company invests in a diversified portfolio of Private Equity Funds, Hedge Funds and other Specialty Funds.
| KEY FACTS | |
| Market Capitalisation | £84.6 million |
| Manager | Bramdean Asset Management LLP |
| Annual Management Fee | 1.5% |
| Performance fee | 10% subject to an 8% return and a high watermark |
| Company Brokers | JPMorgan Cazenove Cenkos Securities Plc |
| Sterling class share price on 30th January 2009 | 46.75p |
| Sterling class issue price (9th July 2007) | 100.00p |
| Number of Sterling shares in issue | 92,142,177 |
| U.S. Dollar class share price on 30th January 2009 | US$ 0.7850 |
| U.S. Dollar class issue price (9th 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 |
| January Sterling Estimated NAV per share | 96.14 pence |
| January U.S. Dollar Estimated NAV per share | US$ 0.8033 |
| Total common net assets | US$191,399,981 |
| Total Estimated Net Asset Value | US$188,852,589 |
| Half-year end | 30th September 2009 |
| Financial year end | 31st 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 |
JANUARY MARKET COMMENTARY
The year opened to a month of unrelenting gloom as the scale of the global economic downturn became apparent. The International Monetary Fund projected world growth will fall to 0.5% in 2009, its lowest rate since Word War II. The IMF expects no recovery until the financial sector and credit markets' functionality are restored, but currently expects a gradual return to growth in 2010 with global growth forecast at 3%.
The slump in global demand has resulted in considerable pressure on commodity prices. The oil price continued to slide during January, falling another 6.5% to US$41.7 a barrel. The IMF has revised downwards its forecast oil prices for 2009 and 2010 to US$50 a barrel and US$60 a barrel respectively from its previous estimates for US$68 a barrel and US$78 a barrel for 2009 and 2010. Against this backdrop gold shone, rising over 5% to US$928 per troy ounce during January.
Global inflation continues to decline as a consequence of the contraction in economic activity and lower commodity prices. In developed economies, the IMF is expecting headline inflation to fall to a record low of 0.25% in 2009 from 3.5% in 2008 with a slow increase thereafter to 0.75% in 2010.
With negative data emerging from all quarters, the U.S. Dollar and Japanese Yen stood out as gainers in January. The U.S. Dollar continued to advance against both Sterling and the Euro, ending the month at $/£ 1.44 and $/€ 1.28.
Global equity markets remained under pressure throughout the month with negative returns reported across the principal financial indices. The FTSE-100 Index ended January down 6.4%; the FTSE Eurofirst 300 Index closed down 4.2%, while the S&P 500 Index lost 8.5% and the MSCI Word Index lost 8.9%.
PORTFOLIO NEWS
General
The underlying unaudited performance in January was -3.68% for the Sterling Share class and
-1.89% for the U.S Dollar Share class. This compares to gains of +0.8% and +1.09% for the HFRI Fund of Funds Composite Index and Credit Suisse/Tremont Hedge Fund Index.
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 January, the Company's currency manager, Mesirow Financial Currency Management, hedged the Company's Euro, U.S. Dollar and Sterling exposure within both Share classes.
There were 30 holdings in the Company's overall Portfolio as at 30 January 2009, following the write-down to zero of the holdings in Defender and Rye Select and further hedge funds redemptions. During the month, proceeds were received in relation to redemptions from Atticus European Fund Ltd., with the exception of a residual sidepocket relating to Atticus's holding in Deutsche Borse; Hard Assets 2X Fund Ltd., and Renaissance Institutional Futures Fund International LLC.
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 been indicated, however, that the performance in January 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 January 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 January 2009, they represented 37.6% of the overall Portfolio. As a result of the repositioning of the Portfolio during the course of 2008, the Company holds 27.4% of its net assets in cash as at the end of January. 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 January were Kei Ltd. and Paulson Advantage Plus Ltd., with positive returns also reported by Kaiser Trading Fund, Kaiser Trading Diversified 2X Segregated Portfolio, King Street Capital Ltd., Evergreen MAC Ltd., DE Shaw Oculus Members Interest and Alydar Fund Ltd. During January, the sidepocket within Atticus European Fund Ltd., Deephaven Global Multi-Strategy Fund Ltd. and Lansdowne UK Equity Fund reported negative returns.
Private Equity and Specialty Funds
The Company has now made commitments to eighteen underlying Private Equity Funds and underlying Specialty Funds amounting to approximately $221.7 million, taking into account the U.S. Dollar's appreciation over the month. No new commitments have been made during January.
The total amount that has been drawn-down on the commitments made is approximately
$90.3 million, with approximately $3.1 million of capital having been drawn-down in January. The Company received one distribution during January of US$1.45 million from Goldman Sachs Capital Partners VI L.P. and has now received total distributions of $3.8 million since inception.
Seven capital calls were received from underlying Funds. Revaluations were received from four managers of the Company's Private Equity and Specialty Funds and these have been incorporated into the January NAV calculations. Of these four revaluations, one was revalued upwards and three were revalued downwards, the most severe being Terra Firma Capital Partners III L.P. 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.
Transitional portfolio
The portfolio held two Funds at the end of January 2009 following the write-down of Defender in November 2008 and the redemption from Renaissance Institutional Futures Fund LLC. These two Fund investments in the Transitional portfolio represent 7.2% of the Company's overall Portfolio as at 30 January 2009.
The Transitional portfolio returned 0.1%, including cash, during January. Kaiser Trading Fund reported a positive return, while Aarkad's return was held at the December 2008 valuation as explained above.
Strategic Hedge Funds portfolio
The portfolio delivered a solid return amid heavy falls in global equity markets, with strongest returns from the Event Driven style. January was dominated by further weak economic data and fresh evidence that bank capital positions remain impaired. The portfolio held 10 Funds and returned 2.4% during January 2009.
Portfolio Highlights
Equity Hedged
The style was flat in an environment where the majority of regional indices posted losses. The declining European equity markets made it difficult for the UK manager to profit from any long exposure, as some of the large cap positions, such as Deutsche Post and HSBC, saw their share prices fall heavily. The U.S. manager's large short exposure to industrials paid off, as mounting poor economic data from the sector pushed the S&P Industrials Index down over 12%. The manager continues to run with a small net long positioning, but is generating alpha from both the long and the short side, as demonstrated by its positive return in a month when U.S. equities were down -8.5%.
Event Driven
It was a good start of the year for the style. A special situations manager benefited from the continued deterioration of the banking sector, where substantial short positions are in place. After profiting from shorts in U.S. banks, the manager has been focusing on Europe in recent months, and profited strongly from shorts in UK banks such as RBS, which saw large selling pressure. The distressed manager manoeuvred through the generally strengthening credit market, but maintained short credit exposure as part of its hedging programme.
Global Macro
Performance was positive during the month, with the manager employing a more dynamic trading approach focusing on liquid instruments and short-term trades. Largest performance contributors were in futures and foreign exchange asset classes, where gains were realised from short U.S. Dollar exposure.
Managed Futures
The style posted a strong return despite the slowing tempo of recently profitable trends, in particular the long bond rally. The strongest performer was a short-term trader, which not only switched into the downtrend for bonds early in the month, but also caught the negative mid-month reversal in the equity market, shifting into short equity positions and benefiting from the declines that followed. Elsewhere, another short-term trader posted a modest gain, and a trend-following manager generated a small profit from currency trading, where shorts in Sterling helped performance.
Relative Value
The style posted a loss. The multi-strategy manager ended the month slightly down as illiquid positions continued to be a drag on performance. Increased demand for convertible bonds and some liquid credit instruments did help performance, however, illiquid positions failed to participate in the rally. The manager continues to bring down exposure, and limited its flexibility during the month.
Portfolio Highlights
Geographical Allocation
| North America 62.6% |
| Global 17.4% |
| Europe 15.8% |
| Asia & Other 4.2% |
Portfolio Holdings Asset Allocation
| Strategic Hedge Funds 30.3% |
| Cash 27.4% |
| Private Equity 23.5% |
| Specialty 11.6% |
| Transitional 7.2% |
PORTFOLIO HOLDINGS (INVESTED CAPITAL) ON 30th January 2009
| Manager | Type | Portfolio Weighting |
| Cash | Cash | 27.4% |
| Greenpark International Investors III L.P. | Private Equity | 6.3% |
| Paulson Advantage Plus Ltd. | Strategic Hedge Funds | 6.3% |
| D.E. Shaw Oculus International Members Interest | Strategic Hedge Funds | 5.4% |
| Alydar Fund Ltd. | Strategic Hedge Funds | 5.0% |
| Oaktree OCM Opportunities Fund VIIb L.P. | Specialty | 5.0% |
| Aarkad Plc | Transitional | 4.5% |
| Lansdowne UK Equity Fund | Strategic Hedge Funds | 4.2% |
| Thomas H. Lee Parallel Fund VI L.P. | Private Equity | 4.1% |
| King Street Capital Ltd. | Strategic Hedge Funds | 3.1% |
| Coller International Partners V L.P. | Private Equity | 3.0% |
| Deephaven Global Multi-Strategy Fund Ltd. | Strategic Hedge Funds | 2.9% |
| MatlinPatterson Global Opportunities Partners III L.P. | Specialty | 2.9% |
| Kaiser Trading Fund | Transitional | 2.8% |
| Goldman Sachs Capital Partners VI L.P. | Private Equity | 1.9% |
| DFJ Athena | Private Equity | 1.9% |
| Kaiser Trading Diversified 2X Segregated Portfolio | Strategic Hedge Funds | 1.7% |
| Lehman Brothers Venture Partners V L.P. | Private Equity | 1.5% |
| Silver Lake Partners III L.P. | Private Equity | 1.3% |
| Terra Firma Capital Partners III L.P. | Private Equity | 1.2% |
| SVG Strategic Recovery Fund II L.P. | Specialty | 1.1% |
| AIG Brazil Special Situations II L.P. | Private Equity | 0.9% |
| Pine Brook Capital Partners L.P. | Specialty | 0.9% |
| Evergreen MAC Ltd. | Strategic Hedge Funds | 0.8% |
| HIG Bayside Debt & LBO II Fund L.P. | Specialty | 0.7% |
| Resonant Music I L.P. | Specialty | 0.7% |
| Thoma Bravo Fund IX L.P | Private Equity | 0.7% |
| Rho Ventures VI L.P. | Private Equity | 0.7% |
| Kei Ltd. | Strategic Hedge Funds | 0.6% |
| Atticus European Fund Ltd. | Strategic Hedge Funds | 0.1% |
| LimeTree Emerging Beachfront Land Investment Fund II L.P. | Specialty | 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").
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 give 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 Rules.
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