Factsheet March 2009
29 April 2009 - 1:41AM
UK Regulatory
TIDMBRAL
RNS Number : 3150R
Bramdean Alternatives Limited
28 April 2009
Factsheet March 2009
Bramdean Alternatives Limited
This Factsheet contains commentary and news for the month ended 31 March 2009,
unless otherwise stated.
March Estimated Net Asset Values
Sterling shares: 92.94 pence
U.S. Dollar shares: US$0.7740
Overview
Bramdean Alternatives Limited, (the "Company") is a Guernsey-based Investment
Company listed on the London Stock Exchange. The Company invests in a
diversified portfolio of Private Equity Funds, Hedge Funds and other Specialty
Funds.
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| KEY FACTS | |
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| Market Capitalisation | GBP67.1 million |
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| Manager | Bramdean Asset Management LLP |
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| Annual Management Fee | 1.5% |
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| Performance fee | 10% subject to an 8% return and |
| | a high watermark |
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| Company Brokers | JPMorgan Cazenove |
| | Cenkos Securities Plc |
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| Sterling class share price on 31 March | 40.5p |
| 2009 | |
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| | |
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| Sterling class issue price (9 July | 100.00p |
| 2007) | |
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| | |
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| Number of Sterling shares in issue | 92,142,177 |
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| U.S. Dollar class share price on 31 | US$ 0.56 |
| March 2009 | |
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| | |
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| U.S. Dollar class issue price (9 July | US$ 1.00 |
| 2007) | |
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| | |
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| Number of U.S. Dollar shares in issue | 76,116,060 |
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| Minimum investment | N/A |
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| Dealing | Daily |
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| Valuation | Monthly |
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| NAV publication | Monthly |
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| March Sterling Estimated NAV per share | 92.94p |
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| March U.S. Dollar Estimated NAV per | US$ 0.7740 |
| share | |
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| Total common net assets | US$ 182,068,407 |
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| Total Estimated Net Asset Value | US$ 181,655,593 |
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| Half-year end | 30 September 2009 |
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| Financial year end | 31 March 2009 |
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| Company Secretary and Administrator | RBC Offshore Fund Managers |
| | Limited |
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| | |
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| Registrar | Capita Registrars (Guernsey) |
| | Limited |
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| Stock Exchange code (Sterling shares) | BRAL |
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| Stock Exchange code (US Dollar shares) | BRAU |
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| Sedol code (Sterling shares) | B1XCHB9 |
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| Sedol code (US Dollar shares) | B1XCLF1 |
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| ISIN code (Sterling shares) | GG00B1XCHB94 |
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| ISIN code (US Dollar shares) | GG00B1XCLF11 |
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| | |
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MARCH MARKET COMMENTARY
Global stock markets rallied strongly in March, owing to expectations that sharp
easing of monetary policy and bank rescue schemes would support a recovery in
the financial sector and real economy. The S&P 500 rose by 8.7%, with a ripple
effect through other developed stock markets. Investor expectations were buoyed
by the Federal Reserve's announcement that it would expand the money supply by
buying up to $300 billion in government securities - the policy of quantitative
easing. Bond prices also rose sharply, with 10-year Treasury yields falling by
nearly 50 basis points on that day alone. While yields retraced some of that
ground later in the month, fixed income markets still recorded positive returns.
The European Central Bank cut interest rates by 25 basis points to 1.50%. The
Bank of England's policy of quantitative easing boosted asset and sterling
returns, Libor rates fell and corporate credit conditions generally improved in
the developed economies.
Nonetheless, trading was volatile overall and the mood of investors remained
highly uncertain. Economic data indicated a deep global recession. A key
indicator was the US unemployment rate, which rose to its highest level for a
quarter of a century, at 8.5%. In Europe too, business conditions were grim,
with the German IFO Business Confidence Index reaching its lowest reading for 25
years. Japan recorded even more depressed levels of confidence, with the Tankan
Survey collapsing to -58 in March compared with -24 in December.
In currency markets, the dollar depreciated against the euro owing to the
aggressive easing of monetary policy in the US. The yen depreciated most
dramatically, however, against all major currencies, reflecting exceptionally
weak economic conditions. Emerging market currencies and equity markets showed
strong gains, reflecting the attractions of high-yielding assets.
PORTFOLIO NEWS
General
The underlying unaudited performance in March was -3.55% for the Sterling Share
class and
-2.87% for the US Dollar Share class. This compares with 0.06% and 0.65%
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. During part of the month, the Company's currency manager, Mesirow
Financial Currency Management, hedged the Company's Euro, US Dollar and Sterling
exposure within both Share classes. The tactical default hedging ratio was zero
with discretion to operate tactically within a range -30% to +30%. The currency
hedge was taken off during March and will continue to be reviewed going forward
to determine whether currency hedging will need to be implemented again.
There were 31 holdings in the Company's overall Portfolio as at 31 March 2009.
During the month, proceeds were received in relation to a partial redemption
from Paulson Advantage Plus Ltd. A subscription for Roy G. Niederhoffer Negative
Correlation Fund became 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.
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 March
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 March 2009, they represented 32.1%
of the overall Portfolio. As a result of the repositioning of the Portfolio
during the course of 2008, the Company holds 32.8% of its net assets in cash as
at the end of March. The investment manager intends to maintain cash reserves in
order to fund draw-downs from the Private Equity and Specialty Funds.
The stand-out performers during March were the sidepocket within Atticus
European Fund Ltd. and Lansdowne UK Equity Fund, with positive returns also
reported by Alydar Fund Limited, DE Shaw Oculus Members Interest, King Street
Capital Ltd., and Paulson Advantage Plus Ltd. During March, Deephaven Global
Multi-Strategy Fund Ltd., Evergreen MAC Ltd., Kaiser Trading Fund, Kaiser
Trading Diversified 2X Segregated Portfolio, Kei Ltd., and Roy G. Niederhoffer
Negative Correlation Fund reported negative returns.
Private Equity and Specialty Funds
The Company has now made commitments to 18 Private Equity and Specialty Funds
amounting to approximately US$223 million, taking into account the U.S. Dollar's
depreciation over the month. No new commitments have been made during March.
The total amount that has been drawn-down on the commitments made is
approximately US$94.6 million, with approximately US$4.1 million of capital
having been drawn-down in March. The Company has now received total
distributions of US$3.9 million since inception, with one distribution received
in March.
Seven capital calls were received from underlying Funds in March. Revaluations
were received from 13 managers of the Company's Private Equity and Specialty
Funds and these have been incorporated into the March NAV calculations; 11
revaluations were downwards revaluations, reflecting falls in the values of
market comparables and adverse currency movements, while two revaluations were
upwards. 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 March 2009, from some of its managers. As at March, all 18
private equity and specialty managers have reported their December 2008 year-end
valuations, and five of the 18 have reported their March 2009 quarter-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 March 2009; these two Fund
investments in the Transitional portfolio represent 7.5% of the Company's
overall Portfolio as at 31 March 2009.
The Transitional portfolio returned -0.14%, including cash, but excluding
currency movements, during March. Kaiser Trading Fund reported a negative
return, while Aarkad's return has been held at the December 2008 valuation as a
result of its redemption suspension.
Strategic Hedge Funds portfolio
The portfolio posted a small gain of +0.45% as disappointing returns from
directional managed futures and relative value managers outweighed gains
elsewhere. YTD the portfolio has returned +2.15%.
PORTFOLIO HIGHLIGHTS
Equity Hedged - In line with the equity bear market rally, the style reported an
impressive return, largely driven by the UK manager. The manager correctly
anticipated a market rebound and had increased both its net exposure as well as
its exposure to beaten down energy stocks over the month. The US fund continued
its positive run, with strong performance for the fourth month in a row driven
largely by good stock picking in consumer discretionary stocks.
Event Driven - The style posted a gain as both equity and credit orientated
strategies performed. Despite its net short exposure, the distressed manager was
still able to post a profit from long positions in the portfolio. Both special
situations managers finished up on the month, with one manager profiting from
CDS positions in banks.
Global Macro - The global trader posted a healthy gain in March. The manager's
directional futures strategies were the main contributors to positive energy
trading results, with additional gains from active swap trading within the
European yield curve. The manager's equity statistical arbitrage model was well
positioned to capture the reversal in US equity markets and profited from
significant levels of stock and sector dispersion.
Managed Futures - The style reported a large drawdown from short term traders
and long term trend followers alike, driven by unfavourable price action in
stock indices, long term bonds and currencies. The trend follower was hit by
losses from a rebound in equities, which inflicted losses on established short
positions. Short term traders also suffered losses from short equity positions
amid a surge in global share values.
Relative Value - The multi-strategy manager posted a loss this month with mixed
returns across strategies. While the manager's volatility strategy benefited
from increasing convertible bond valuations, the European and US credit books
lost money from mark-to-market losses on positions with deteriorating
fundamentals.
Outlook - Little has changed overall. Despite the recently positive tone in
global equity markets, significant economic and earnings risks remain and the
portfolio is positioned with minimal directional exposure as a result.
Portfolio Highlights
Geographical Allocation
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| North America 58.96% |
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| Europe 21.38% |
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| Global |
| 17.04% |
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| Asia & Other 2.62% |
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Portfolio Holdings Asset Allocation
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| Cash |
| 32.77% |
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| Strategic Hedge Funds 24.61% |
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| Private Equity |
| 22.84% |
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| Specialty |
| 12.31% |
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| Transitional 7.47% |
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PORTFOLIO HOLDINGS (INVESTED CAPITAL) ON 31 March 2009
+--------------------------------------------+------------------+-----------+
| Manager | Type | Portfolio |
| | | Weighting |
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| Cash | Cash | 32.8% |
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| Greenpark International Investors III LP | Private Equity | 6.1% |
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| D.E. Shaw Oculus International Members | Strategic Hedge | 5.7% |
| Interest | Funds | |
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| Oaktree OCM Opportunities Fund VIIb LP | Specialty | 5.3% |
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| Aarkad Plc | Transitional | 4.6% |
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| Lansdowne UK Equity Fund | Strategic Hedge | 4.6% |
| | Funds | |
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| Thomas H Lee Fund VI LP | Private Equity | 3.8% |
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| King Street Capital Ltd. | Strategic Hedge | 3.3% |
| | Funds | |
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| Deephaven Global Multi-Strategy Fund | Strategic Hedge | 3.0% |
| | Funds | |
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| Kaiser Trading Fund SPC | Transitional | 2.8% |
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| Paulson Advantage Plus Ltd. | Strategic Hedge | 2.8% |
| | Funds | |
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| Coller International Partners V LP | Private Equity | 2.8% |
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| Alydar Fund Limited | Strategic Hedge | 1.9% |
| | Funds | |
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| Terra Firma Capital Partners III LP | Private Equity | 1.9% |
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| SVG Strategic Recovery Fund II LP | Specialty | 1.9% |
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| DFJ Athena LP | Private Equity | 1.8% |
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| Goldman Sachs Capital Partners VI LP | Private Equity | 1.8% |
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| MatlinPatterson Global Opportunities | Specialty | 1.7% |
| Partners III LP | | |
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| Tenaya Capital V, L.P.* | Private Equity | 1.4% |
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| HIG Bayside Debt & LBO Fund II LP | Specialty | 1.3% |
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| Pine Brook Capital Partners LP | Specialty | 1.0% |
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| Roy G. Niederhoffer Negative Correlation | Strategic Hedge | 1.0% |
| Fund Ltd. | Funds | |
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| Resonant Music L.P. | Specialty | 1.0% |
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| Silver Lake Partners III LP | Private Equity | 0.9% |
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| AIG Brazil Special Situations II LP | Private Equity | 0.9% |
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| Kaiser Trading Group Pty. 2XL | Strategic Hedge | 0.9% |
| | Funds | |
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| Evergreen MAC | Strategic Hedge | 0.8% |
| | Funds | |
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| Thoma Bravo Fund IX LP | Private Equity | 0.7% |
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| Rho Ventures VI LP | Private Equity | 0.7% |
+--------------------------------------------+------------------+-----------+
| Quantitative Investment Mgmt/Kei Ltd. | Strategic Hedge | 0.6% |
| | Funds | |
+--------------------------------------------+------------------+-----------+
| Limetree Emerging Beachfront Land | Specialty | 0.1% |
| Investment Fund II, L.P. | | |
+--------------------------------------------+------------------+-----------+
| Atticus European Fund Ltd. | Strategic Hedge | 0.1% |
| | Funds | |
+--------------------------------------------+------------------+-----------+
*note: formerly Lehman Brothers Venture Partners V L.P.
Transitional Investments: The Company will seek to avoid return dilution caused
by holding amounts that are not committed or are committed, but not yet
drawn-down, on both underlying private equity funds and underlying specialty
funds by investing such amounts in a range of transitional investments, which
may include equity hedge, senior debt, mezzanine and market neutral funds.
Strategic Hedge Funds: The part of the Company's portfolio which is managed by
RMF Investment Management, Nassau branch.
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
This information is provided by RNS
The company news service from the London Stock Exchange
END
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