AIA Altin Reg

 
TIDMAIA 
 
 

ALTIN market review and portfolio holdings as of 1st October 2015

Baar, 15 October 2015 - ALTIN AG (SIX: ALTN, LSE: AIA), the Swiss alternative investment company listed on the London and Swiss stock exchanges, today discloses its entire hedge fund portfolio holdings as part of its policy of full transparency to investors. The portfolio, featuring more than 40 underlying hedge funds, is particularly well diversified and has a NAV performance of +211.70%1 since its inception in December 1996.

ALTIN continues to deliver solid outperformance

After the +8.60% share price appreciation in 2014, the positive share price trend continued in 2015, with ALTIN shares rising by a further +13.63% by the end of September. Over the same period, the share price discount to NAV has fallen significantly since the beginning of 2015, reducing from 21.8% to 12.1%. In the year to end September the NAV is up +1.06% (estimated). Thanks to the permanent capital base provided by its structure, the ALTIN portfolio can be allocated to funds that require a slightly longer lock-up but offer potentially higher returns, without incurring any liquidity mismatch. The portfolio remains however highly liquid, with 62.06% of assets invested in funds with monthly or better liquidity, allowing the manager to make allocation shifts when deemed necessary.

 
Portfolio as at 1st October 2015                       Total Portfolio (%) 
Macro                                                  29.04% 
Cumulus Fund Leveraged                                 2.49% 
Finisterre Global Opportunity Fund                     3.20% 
Fortress Macro Fund Ltd                                2.40% 
Goldfinch Capital Management Offshore Ltd              2.29% 
H2O Vivace                                             3.25% 
Quantica Managed Futures Fund Inc                      2.84% 
Stone Milliner Macro Fund Inc                          3.56% 
The Tudor BVI Global Fund Ltd                          2.90% 
Two Sigma Compass Enhanced Cayman Fund Ltd             6.11% 
Equity Hedge                                           22.46% 
Arrow Offshore Ltd                                     2.10% 
Clearline Capital Partners Offshore Ltd                3.21% 
Coatue Offshore Fund Ltd                               3.87% 
DB Platinum Ivory Optimal Fund                         1.66% 
NPJ Global Opportunities Fund                          3.00% 
Passport Long Short Fund                               1.02% 
Verrazzano European Focus Fund PLC                     4.56% 
Zeal China Fund Limited                                3.04% 
Event Driven                                           28.35% 
Aristeia International Ltd                             3.77% 
Contrarian Emerging Markets Offshore Fund Ltd          3.92% 
Jana Nirvana Offshore Fund Ltd                         4.88% 
LLSOF LP                                               2.18% 
Merrill Lynch Investment Solutions - Castlerigg        1.33% 
Equity Event and  Arbitrage UCITS Fund 
Marathon Special Opportunity Fund Ltd                  4.78% 
Paulson Enhanced Ltd                                   3.03% 
York European Focus Unit Trust                         4.46% 
Relative Value                                         40.89% 
Acadian Global Leveraged Market Neutral Equity UCITS   3.26% 
Atlas Enhanced Fund Ltd                                2.97% 
Capstone Vol Offshore Ltd                              2.99% 
Citadel Kensington Global Strategies Fund Ltd          6.46% 
Claren Road Credit Fund Ltd                            1.26% 
Millennium International                               4.44% 
Providence MBS Fund Ltd                                3.96% 
Stratus Feeder Ltd                                     4.46% 
Two Sigma Absolute Return Equity                       3.02% 
Enhanced Cayman Fund Ltd 
Visium Balanced Offshore Fund Ltd                      3.13% 
ZP Offshore Utility Fund Ltd                           4.94% 
Protection                                             5.23% 
Conquest Macro Fund Ltd                                1.13% 
Fortress Convex Asia Fund Ltd                          2.09% 
TailProtect Ltd                                        2.01% 
Special Investments                                    1.07% 
ALTIN AG                                               1.41% 
Total                                                  128.45%2 
 
 

ALTIN: Q3 2015 commentary

ALTIN's portfolio was down for the quarter under review, albeit in a relatively benign fashion in light of the meaningful setbacks experienced by financial markets. From a global perspective the third quarter of this year was the worst in four years for risky assets. During the period, concerns on global growth gained momentum due to a combination of a Chinese slowdown, a recession in Brazil and related weaknesses in commodity prices. Risk aversion escalated in late September when the Federal Reserve delayed hiking rates in a move that should have supported equity markets, but instead fuelled more fears over the outlook for international growth. With regards to the portfolio, there has been a significant dispersion of returns across styles, with roughly equal positive contributions from Relative Value, Macro and Protection almost entirely offsetting the nearly identical negative contributions from Equity Hedge and Even Driven. Most importantly, ALTIN's portfolio remains positive year-to-date and well positioned to generate good risk-adjusted returns irrespective of future market direction.

The Macro silo witnessed significant dispersion across discretionary and systematic funds, but also and more importantly, across styles and trading time horizons. Naturally, long equity positioning, which was a common trade across managers, was detrimental to performance, whilst long bonds and short commodities were the winning trades for the quarter. In terms of trading style, medium-term trend-following strategies suffered heavily at the beginning of the quarter, only recovering losses at the end of September on the back of the rally in government bonds. On the other hand, fundamental value-type positions as well as shorter-term trading styles, especially when implemented in a diversified and robust portfolio construction framework, managed to limit losses or even to be positive, sometimes quite significantly so.

Equity Hedge managers were nearly all down, with the exception of a technology specialist, as virtually no area across the globe was immune to the quarter's sell-off. That being said, managers entered the quarter with typically larger short books than they had had at the beginning of the year. In the US, Equity Hedge managers were exposed to growth stocks, which suffered the most during the market downturn, while utilities and staples held up well, but were relatively underweighted in managers' portfolios. European managers fared better across this adverse environment because of a more variable exposure to equity beta and a more defensive positioning overall. Whilst this hampered returns in the first half of the year, it provided significant downside protection in the third quarter. Elsewhere, the allocation to Asia was the worst performer as Chinese equities suffered a very sharp quarterly decline after being a strong positive contributor to performance earlier in the year. However, it is worth noting that the Chinese manager in the portfolio remains positive year-to-date.

Almost all Event Driven managers were down during the quarter, with the notable exception of an emerging market distressed fund. In the equity space, the bulk of the negative performance came from special situations books, where losses were not only stock specific, but also due to broad market moves. Risk-arbitrage books withstood the correction better, but higher volatility levels pushed some merger spreads to widen dramatically over the period. In addition, M&A in the healthcare sector (which had been a strong contributor to performance for Event-Driven funds until recently) saw adverse developments triggered by Hilary Clinton's comments on curbing drug prices. This particularly impacted a handful of crowded healthcare stocks. The semi-conductor sector was also under pressure due to macro concerns, but in that sector managers see the pull back as creating more value going forward. In credit markets, dynamics are starting to shift, as the ending of ample liquidity is threatening companies with poor fundamentals. When combined with a slump in energy prices, this led the allocation to distressed energy companies to be one of the largest performance detractors. However, despite all those headwinds, many Event Driven managers took the opportunity during a sometimes indiscriminate sell-off to add to their strongest convictions.

Within Relative Value most managers were positive, with the best performers being a systematic multi-strategy fund and a quantitative equity market neutral fund. Interestingly, the market dynamic during the period seemed to be triggered by asset allocators, and possibly quantitative directional strategies, rather than by some hedge fund deleveraging event. This is clear when looking at equity market factors (momentum, size, etc.), which were relatively immune or even positive during the quarter. It explains the good performance of market neutral strategies and, if necessary, underlines their diversification benefits.

The good performance of multi-manager platforms is also a testament of their risk management ability, especially with keeping their sometimes highly levered portfolios unexposed to broad market shifts. Aside from equity strategies, volatility and fixed income arbitrage funds also managed to produce positive returns, as the long-awaited pick-up in volatility and dispersion finally reached these markets.

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October 15, 2015 12:30 ET (16:30 GMT)

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