7 Jan 2009 13:24
RNS Announcement
7 January 2009
Factsheet November 2008
Bramdean Alternatives Limited
This Factsheet contains commentary and news for the calendar month ended 30th November 2008, unless otherwise stated.
November Estimated Net Asset Values
Sterling shares: 95.52 pence
U.S. Dollar shares: US$0.8138
Overview
Bramdean Alternatives Limited, (the "Company") is a Guernsey-based Investment Company listed on the London Stock Exchange. The Company invests in a diversified portfolio of private equity funds, hedge funds and other specialty funds.
| KEY FACTS | |
| | |
| Market Capitalisation | £110.2 million |
| | |
| Manager | Bramdean Asset Management LLP |
| | |
| Annual Management Fee | 1.5% |
| | |
| Performance fee | 10% subject to an 8% return and a high watermark |
| | |
| Company Brokers | JPMorgan Cazenove Cenkos Securities Plc |
| | |
| Sterling class share price on 28th November 2008 | 66.00p |
| | |
| Sterling class issue price (9th July 2007) | 100.00p |
| | |
| Number of Sterling shares in issue | 92,142,177 |
| | |
| U.S. Dollar class share price on 28th November 2008 | US$ 0.9950 |
| | |
| 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 |
| | |
| November Sterling Estimated NAV per share | 95.52 pence |
| | |
| November U.S. Dollar Estimated NAV per share | US$ 0.8138 |
| | |
| Total common assets | US$198,626,294 |
| | |
| Total Estimated Net Asset Value | US$196,999,889 |
| | |
| 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 |
| | |
NOVEMBER MARKET COMMENTARY
The month opened with the election of Barack Obama as the next U.S. President.
Global economic news continued to confirm a deteriorating picture. In the UK, the IMF forecast UK growth would be -1.3% in 2009; retail sales in October 2008 showed their first monthly drop since April 2005; UK property prices continued to fall, losing 2.6% during November to give an annual fall of 14.9%, as measured by the Halifax House Price Index.
Central banks continued to take unprecedented steps to ease monetary policy. The Bank of England cut interest rates by 1.5% to 3%, the lowest level since 1955. In the U.S., the Federal Reserve cut the Fed Funds rate to 1% while the European Central Bank cut rates by 0.5% to 3.25%.
Sterling continued to depreciate, falling to its lowest level in six years mid-month as statistics reported UK unemployment rising from 5.4% at the end of the second quarter to 5.8% at the end of the third quarter. The UK's CBI forecast that the UK would enter a recession as severe as that of 1991 with unemployment expected to reach 9% or 3 million by 2010. UK inflation in October fell back to an annualised 4.5% from 5.2% in September 2008. The UK Chancellor of the Exchequer announced a £20 billion fiscal stimulus with VAT cut from 17.5% to 15% as of 1 December 2008 to January 2010. He also announced a new higher income tax on incomes over £150,000 and a 0.5% increase in National Insurance Contributions from both employers and employees.
U.S. economic news was equally negative with producer prices falling by 2.8% in October after a 0.4% fall in September. House prices of new homes in the U.S. fell by 7% during October while new home sales fell by 5.3% during October, the lowest level since 1991, and retail sales fell by 1% during October, the sharpest fall for seven years.
With markets and investors seeing little reason to support Sterling, the currency lost a further 5% during the month against the U.S. Dollar to $/£ 1.533 and locked onto a course that threatened parity against the Euro after a month-end close of £/€ 0.827. Oil continued to slide as demand sank, ending November at US$54.44.
Equity markets continued to fall, but at a slower rate than in October: the FTSE-100 index lost 2.0%; the FTSE Eurofirst 300 Index declined by 7.2%; the S&P 500 Index lost 7.5%; and the MSCI World Index fell by 6.7%.
BERNARD L. MADOFF INVESTMENT SECURITIES LLC
The Company has recently made two announcements through the London Stock Exchange's regulatory information service ("RNS") on 12 and 18 December 2008 regarding its exposure to certain hedge funds which, directly or indirectly, had trading accounts with Bernard L. Madoff Investment Securities LLC ("BMIS"), a securities broker dealer based in New York. Both announcements are available to view on the Company's website: www.bramdeanalternatives.com in the News Centre section.
The Company holds two investments that, directly or indirectly, have trading accounts with BMIS. The first is Rye Select Broad Market XL Portfolio Ltd. ("Rye Select"), an investment which represented 4.4% of the Company's net asset value as at 31 October 2008. The second is Defender Ltd. ("Defender"), which represented 5.1% of the Company's net asset value as at 31 October 2008.
On Friday 12 December 2008, the Company received a letter from Defender informing the Company that the Federal Bureau of Investigation in the U.S. had arrested Mr. Madoff, the founder of BMIS, on charges of alleged securities fraud.
Further to the announcement on 12 December 2008, the Company has decided, in consultation with its auditors PwC CI LLP, to take a full provision against its investments in Rye Select and Defender to nil in the calculation of the November 2008 net asset value, which was announced via RNS on 18 December 2008.
As at the close of business on 28 November 2008, the net asset value of the Company was as follows:-
| Share class | Net Asset Value 28th November 2008 | Net Asset Value 31st October 2008 | Performance |
| GBP Shares | 95.52 pence | 101.78 pence | -6.15% |
| US$ Shares | US$ 0.8138 | US$ 0.9028 | -9.86% |
Prior to the decision to write down the investments in Rye Select and Defender, the November 2008 valuation showed an increase of 4.17% in the Sterling Share class and a fall of 0.05% in the U.S. Dollar Share class. The November 2008 valuation now shows a fall of 6.15% in the Sterling Share class and a fall of 9.86% in the U.S. Dollar Share class, having included that full provision. In November 2008, the HFRI Fund of Funds Composite Index and the Credit Suisse/Tremont Hedge Fund Index fell by 1.93% and 4.15% respectively.
The Company will continue to monitor the situation in respect of its investments in Rye Select and Defender and will make every appropriate effort to seek recovery of the assets. The Company will inform investors of any new information as it becomes available. On 16 December 2008, a statement was issued by the primary U.S. regulatory authority, the Securities and Exchange Commission, in connection with the investigation into Bernard Madoff and BMIS. A full transcript of this statement can be found by following this link: http://www.sec.gov/news/press/2008/2008-297.htm
PORTFOLIO NEWS
General
The underlying unaudited performance in November was -6.15% for the Sterling Share class and
-9.86% for the U.S Dollar Share class, after the provisions taken against the holdings in Rye Select and Defender, as measured against the October 2008 NAV. This compares to falls of
-1.93% and -4.15% for the HFRI Fund of Funds Composite Index and Credit Suisse/Tremont Hedge Fund Index. As stated above, prior to the decision to write down the investments in Rye Select and Defender, the November 2008 valuation showed an increase of 4.17% in the Sterling Share class and a fall of 0.05% in the U.S. Dollar Share class.
The discrepancy in performance between the two Share classes is caused by the continued strengthening of the U.S. Dollar, which appreciated by a further 5% against Sterling during November. The Company hedges at the Share class level with the Sterling Share class hedging during November 35% of its U.S. Dollar and Euro exposure, while the U.S. Dollar Share class hedged 70% of its Euro and Sterling exposure. Since 8 December 2008, the default hedge ratio has been reduced to zero on both Share classes to limit the impact on cash balances from the currency hedging. This position remains under constant review and is taken only as a tactical measure. As set out in the October 2008 Factsheet, Mesirow Financial Currency Management manages the hedging policy tactically.
There were 32 holdings in the Company's overall Portfolio, following the write-down of the holdings in Defender and Rye Select, at the end of November. During the month, no additional redemptions became effective. As reported over the year to date, the Company has been reducing the Portfolio's exposure to certain holdings given the continuing equity market volatility and the global economic downturn. As part of that strategy, the Company has submitted redemption notices to Deephaven Global Multi-Strategy Fund Ltd., Atticus European Fund Ltd., Hard Assets 2X Fund Ltd., Renaissance Institutional Futures Fund International LLC ("RIFF"), Aarkad plc, together with a partial redemption notice to Rye Select.
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. In December 2007, the Company's hedge fund holdings represented 86.3% of the Company's overall Portfolio. As at the end of November 2008, they represented 46.0% of the overall Portfolio. As a result of the repositioning of the Portfolio during the course of 2008, the Company holds 21.5% of its net assets in cash as at the end of November. 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 stand-out performers during November were Evergreen MAC Ltd., Kei Ltd., Paulson Advantage Plus Ltd. and Lansdowne UK Equity Fund, with positive returns reported also by Renaissance Institutional Futures Fund International LLC, Aarkad plc, Kaiser Trading Fund and Kaiser Trading Diversified 2X Segregated Portfolio. During November, Atticus European Fund Ltd. and Deephaven Global Multi-Strategy Fund Ltd. reported negative returns.
Private Equity and Specialty
The Company has now made commitments to eighteen underlying Private Equity Funds and underlying Specialty Funds amounting to approximately $222.0 million, taking into account the U.S. Dollar's appreciation over the month. No new commitments have been made during November.
The total amount that has been drawn-down on the commitments made is approximately
$83.4 million, with approximately $4.0 million of capital having been drawn-down in November. The Company received no distributions during November and has now received total distributions of $2.3 million since inception.
Capital calls were received from seven of the underlying Funds. Revaluations were received from six managers of the Company's Private Equity and Specialty Funds and these have been incorporated into the November NAV calculations. Of these six revaluations, three were revalued upwards and three were revalued downwards. 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 from some of its managers over the coming months.
Transitional Portfolio
The portfolio held three Funds at the end of November 2008 following the write-down of Defender. These three Fund investments in the Transitional portfolio represent 9.9% of the Company's overall Portfolio as at 30 November 2008.
The Transitional portfolio returned -14.8%, including cash, during November with the return impacted by the write-down of the holding in Defender Ltd. The Transitional portfolio has returned an unaudited -22.7%, including cash, in the calendar year-to-date compared with -19.4% year-to-date return for the HFRI Fund of Funds Composite Index and -19.04% for the Credit Suisse/Tremont Hedge Fund Index. Since inception, the Transitional portfolio has returned -21.6%.
The portfolio's holdings in Aarkad plc, RIFF and Kaiser Trading Fund all showed positive returns during November.
As reported in the October 2008 Factsheet, redemption notices have been submitted to both Aarkad plc and RIFF. In the short term, the proceeds, once received, will be held in cash, pending reinvestment in due course.
Strategic Hedge Funds Portfolio
Following on the heels of October's severe conditions, equities exhibited high levels of volatility in November. Despite the erratic market environment, the portfolio would have returned a small gain but for the Company's holding in Rye Select.
The portfolio posted a loss during the month. The portfolio held 11 Funds and returned -11.7% during November 2008 and has returned an unaudited -10.6% in the calendar year-to-date. Since inception, the portfolio has returned an unaudited -2.1%.
Portfolio Highlights
Equity Hedged
The style was slightly up this month. Managers that reduced exposure were not necessarily rewarded as they were unable to take advantage of the month-end rally. Our UK manager benefited from successful long positions in Telecommunications and short positions to international property companies. Our U.S. manager was impacted through long exposure to industrials and financials.
Event Driven
The style posted a gain. One manager posted strong returns following the closing of the Anheuser Busch/Inbev deal. Further disarray spread through the credit markets, and our distressed manager produced a positive return on the back of its short credit positioning.
Global Macro
Performance was down following another challenging month. With Central Banks cutting rates across all regions, our global trader was able to post a small gain from its exposure to currencies. Commodity markets reacted in line with mounting recessionary news, with crude prices continuing to fall in response to weakening demand, creating instability for our energy-focused manager.
Managed Futures
It was an outstanding month for the style, with the continuation of well-established trends beneficial for both short term traders and long-term trend followers. Interest rate futures trended higher in the falling interest rate environment, driving performance. Our managers with heavier equity shorts performed well given continued falls across indices.
Relative Value
Any gains in the portfolio were offset by losses from relative value and the portfolio's exposure to Rye Select. A drawdown also came from our multi-strategy manager's U.S. Credit book, as well as from the significant mark down of distressed bank debt and airline credit positions.
Portfolio Highlights
Geographical Allocation
| North America 56.1% |
| Global 23.5% |
| Europe 16.6% |
| Asia & Other 3.8% |
Portfolio Holdings Asset Allocation
| Strategic Hedge Funds 36.1% |
| Private Equity 23.3% |
| Cash 21.5% |
| Transitional 9.9% |
| Specialty 9.2% |
PORTFOLIO HOLDINGS (INVESTED CAPITAL) ON 30th November 2008
| Manager | Type | Portfolio Weighting |
| Cash | Cash | 21.5% |
| Greenpark International Investors III L.P. | Private Equity | 5.5% |
| Paulson Advantage Plus Ltd. | Strategic Hedge Funds | 5.4% |
| D.E. Shaw Oculus International Members Interest | Strategic Hedge Funds | 5.3% |
| Alydar Fund Ltd. | Strategic Hedge Funds | 4.7% |
| Oaktree OCM Opportunities Fund VIIb L.P. | Specialty | 4.3% |
| Aarkad Plc | Transitional | 4.2% |
| Lansdowne UK Equity Fund | Strategic Hedge Funds | 4.2% |
| Hard Assets 2X Fund Ltd. | Strategic Hedge Funds | 4.0% |
| Thomas H. Lee Parallel Fund VI L.P. | Private Equity | 4.0% |
| Renaissance Institutional Futures Fund International LLC | Transitional | 3.0% |
| Deephaven Global Multi-Strategy Fund Ltd. | Strategic Hedge Funds | 2.9% |
| King Street Capital Ltd. | Strategic Hedge Funds | 2.9% |
| Coller International Partners V L.P. | Private Equity | 2.8% |
| Kaiser Trading Fund | Transitional | 2.6% |
| Goldman Sachs Capital Partners VI L.P. | Private Equity | 2.6% |
| MatlinPatterson Global Opportunities Partners III L.P. | Specialty | 2.5% |
| Terra Firma Capital Partners III L.P. | Private Equity | 2.0% |
| Kaiser Trading Diversified 2X Segregated Portfolio | Strategic Hedge Funds | 2.0% |
| Kei Ltd. | Strategic Hedge Funds | 2.0% |
| Evergreen MAC Ltd. | Strategic Hedge Funds | 1.8% |
| DFJ Athena | Private Equity | 1.4% |
| Lehman Brothers Venture Partners V L.P. | Private Equity | 1.4% |
| Silver Lake Partners III L.P. | Private Equity | 1.2% |
| SVG Strategic Recovery Fund II L.P. | Specialty | 0.9% |
| AIG Brazil Special Situations II L.P. | Private Equity | 0.8% |
| Atticus European Fund Ltd. | Strategic Hedge Funds | 0.8% |
| Pine Brook Capital Partners L.P. | Specialty | 0.7% |
| 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 | 0.4% |
| Rho Ventures VI L.P. | Private Equity | 0.4% |
| LimeTree Emerging Beachfront Land Investment Fund II L.P. | Specialty | 0.2% |
This Factsheet has been produced by Bramdean Asset Management LLP, authorised and regulated by the Financial Services Authority. It is aimed solely at shareholders of Bramdean Alternatives Limited and it should not be relied upon by any other person.
Please note that Bramdean Asset Management LLP has obtained information from a wide variety of sources for the content of this Factsheet. Whilst it has made reasonable endeavours to verify such information, this Factsheet should not be used as the exclusive basis of any investment decisions. It relates to a relatively short time period whilst many of the investments of Bramdean Alternatives Limited are of a long-term nature.
Bramdean Alternatives Limited invests in high risk alternative investment vehicles. It is
aimed at professional or sophisticated investors who intend to hold their investment
for the longer term. If you are not a professional or sophisticated investor you should take independent financial advice in relation to any proposed investment in Bramdean Alternatives Limited.
Please note that up to date information on the Company, including its monthly NAV and share prices, fact sheets, Prospectus and portfolio information can be found at www.bramdeanalternatives.com.
This Factsheet will be available on www.bramdeanalternatives.com in PDF format in due course.
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
Amanda McCrystal, or amccrystal@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