2011-07-31 Brait Multi Strategy
2
We have effected some changes in our strategic risk allocations whereby the Equity Fundamental strategy have been promoted to a senior strategy (up from 15% to 23%), the Equity Macro strategy have been demoted to a medium risk strategy (down from 22% to 11%), the Statistical Arbitrage strategy have been demoted to a sub junior strategy at 4% (down from 7%) and FI strategies remain unchanged at 23%, 23% and 16% for FI Derivative, FI Volatility and FI Tactical respectively. Commentary The Fund delivered positive performance of 1.9% for the month of July. Performance was largely driven by the contraction in implied cumulative tightening of policy amidst soft local and global economic data. The SA rates market implied cumulative tighteni ng of 200 bps over two years at the start of the month which contracted to 150 bps at month end. Whilst we are comfortable with the steepness of the curve between 1y and 2y (having significantly contracted from the excessively steep levels of Q1), the imminent tightening implied by the curve is questionable. If economic data keep surprising to the downside we believe growth concerns will dominate inflation concerns in policy outlook and the implied imminent tightening may be reversed to a more symmetrical risk of possible policy accommodati on amidst global and local economic uncertainty and its effect on consumer sentiment. On the equity front we have been positioned net short and defensive for most of the month. The Top40 index had a volatile July – falling 3.5% in 3 days, then retracing this in 2 days. By the end of the month it had declined 2.7%. With the benefit of hindsight, we know this was in fact the calm before the storm. While much was made of the inability of Congress to extend the debt ceiling, the really dangerous development for risk assets was the rapid rise in Spanish and Italian bond yields. While the resumption of bond purchases by the ECB has alleviated the immediate market pressure, the fundamental EMU dilemma remains – without fiscal union the Euro cannot survive, but it appears very unlikely that German voters will back this. Can the German and Brussels politicians force the issue without reference to the German electorate? When will a party emerge with “anti-Euro” credentials to take advantage of the obvious ground swell in German public opinion? At this point we can only quote J A Schumpeter: “What is the essence of economics? Politics, politics, politics.” Investment Proposition The Brait Multi Strategy Fund aims to deliver annualised net returns that exceed ZAR cash returns by 10-15% over r olling 3-year cycles. Emphasis is placed on achieving the return objective independent of the performance of the markets or any particular asset class. Brait Capital Management, a division of Brait South Africa Ltd, manages ZAR2.4 billion in hedge fund portfolios. Brait South Africa Ltd, is a subsidiary of the Brait group, a listed investment company established in 1991, which holds investments in various portfolio companies primarily in the retail and financial services sectors. Fund Manager The Fund Manager pursues alpha across multiple diverse investment strategies. Each discipline is managed by a focused investment professional. As a result the Fund benefits from an expanded opportunity set whilst maintaining the benefits associated with specialisation. A dynamic risk allocation process drives efficient capital utilisation, while the resulting exposure to multiple strategies with varying time frames ensures diversification of alpha streams. The Fund invests in South African opportunities and utilises a range of instruments across the equity, fixed income and currency asset classes, including derivatives. Brait Multi Strategy Cash Cumulative Performance Fund In cep ti on Da te 01 October 2006 Net A sset V alue 1,272,519,560 ( ZAR) Status Open Fund Currency ZAR Domicile South Africa Liquidity Monthly Notice 1 Calendar Month Manager Brait SA Ltd uditor Deloitte & Touche dministrator Maitland Prime Broker Rand Merchant Bank Key Information YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR 2006 -3.84% 0.95% -2.26% -5.12% 2007 1.78% 2.66% 2.69% -2.08% 4.31% 8.69% 3.21% -3.49% -1.44% -7.40% 1.95% 0.50% 10.95% 2008 1.81% 3.86% 2.21% 2.02% 4.87% 2.32% -1.54% -0.19% 1.95% 2.50% 6.16% 0.12% 29.15% 2009 2.10% -1.95% 5.45% 3.19% -0.65% 1.14% 2.72% 2.83% 0.66% 0.90% 6.11% 0.95% 25.80% 2010 2.96% -0.41% 2.04% 3.26% 1.34% 1.23% 0.83% 4.05% -0.20% 4.83% -1.63% -0.11% 19.55% 2011 -2.79% 2.54% 0.30% 1.49% 1.47% 1.34% 1.86% 6.28% All fund returns / statistics are shown net of fees and all other costs Performance Track Record (Lead Series) Contact Information page 1 of 2 [email protected] Client Administration Tel: +2721 673 7821 Email: [email protected] Rob Coombe - COO: Brait Capital Management Tel: +2721 673 7818 Email: [email protected] Lourens Pretorius - CEO: Brait Capital Management Tel: +2721 673 7830 Email: 31 July 2011 Fund Overview Brait Multi Strategy Fund
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We have effected some changes in our strategic risk allocations whereby the Equity Fundamental strategy have been promoted to a senior strategy(up from 15% to 23%), the Equity Macro strategy have been demoted to a medium risk strategy (down from 22% to 11%), the Statistical Arbitrage
strategy have been demoted to a sub junior strategy at 4% (down from 7%) and FI strategies remain unchanged at 23%, 23% and 16% for FIDerivative, FI Volatility and FI Tactical respectively.
Commentary
The Fund delivered positive performance of 1.9% for the month of July. Performance was largely driven by the contraction in implied cumulative
tightening of policy amidst soft local and global economic data. The SA rates market implied cumulative tightening of 200 bps over two years at thestart of the month which contracted to 150 bps at month end. Whilst we are comfortable with the steepness of the curve between 1y and 2y (havingsignificantly contracted from the excessively steep levels of Q1), the imminent tightening implied by the curve is questionable. If economic datakeep surprising to the downside we believe growth concerns will dominate inflation concerns in policy outlook and the implied imminent tighteningmay be reversed to a more symmetrical risk of possible policy accommodation amidst global and local economic uncertainty and its effect onconsumer sentiment.
On the equity front we have been positioned net short and defensive for most of the month. The Top40 index had a volatile July – falling 3.5% in 3days, then retracing this in 2 days. By the end of the month it had declined 2.7%. With the benefit of hindsight, we know this was in fact the calmbefore the storm. While much was made of the inability of Congress to extend the debt ceiling, the really dangerous development for risk assetswas the rapid rise in Spanish and Italian bond yields. While the resumption of bond purchases by the ECB has alleviated the immediate marketpressure, the fundamental EMU dilemma remains – without fiscal union the Euro cannot survive, but it appears very unlikely that German voters willback this. Can the German and Brussels politicians force the issue without reference to the German electorate? When will a party emerge with“anti-Euro” credentials to take advantage of the obvious ground swell in German public opinion? At this point we can only quote J A Schumpeter:“What is the essence of economics? Politics, politics, politics.”
Investment Proposition
The Brait Multi Strategy Fund aims to deliver annualised net returns that exceed ZAR cash returns by 10-15% over rolling 3-year cycles. Emphasisis placed on achieving the return objective independent of the performance of the markets or any particular asset class.
Brait Capital Management, a division of Brait South Africa Ltd, manages ZAR2.4 billion in hedge fund portfolios. Brait South Africa Ltd, is asubsidiary of the Brait group, a listed investment company established in 1991, which holds investments in various portfolio companies primarily inthe retail and financial services sectors.
Fund Manager
The Fund Manager pursues alpha across multiple diverse investment strategies. Each discipline is managed by a focused investment professional.As a result the Fund benefits from an expanded opportunity set whilst maintaining the benefits associated with specialisation. A dynamic riskallocation process drives efficient capital utilisation, while the resulting exposure to multiple strategies with varying time frames ensuresdiversification of alpha streams. The Fund invests in South African opportunities and utilises a range of instruments across the equity, fixed incomeand currency asset classes, including derivatives.
Brait Multi Strategy
Cash
Cumulative Performance
Fund Inception Date 01 October 2006
Net Asset Value 1,272,519,560 (ZAR)
Status Open
Fund Currency ZAR
Domicile South Africa
Liquidity Monthly
Notice 1 Calendar Month
Manager Brait SA Ltd
uditor Deloitte & Touche
dministrator Maitland
Prime Broker Rand Merchant Bank
Key Information
YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YEAR
2006 -3.84% 0.95% -2.26% -5.12%
2007 1.78% 2.66% 2.69% -2.08% 4.31% 8.69% 3.21% -3.49% -1.44% -7.40% 1.95% 0.50% 10.95%
2008 1.81% 3.86% 2.21% 2.02% 4.87% 2.32% -1.54% -0.19% 1.95% 2.50% 6.16% 0.12% 29.15%
2009 2.10% -1.95% 5.45% 3.19% -0.65% 1.14% 2.72% 2.83% 0.66% 0.90% 6.11% 0.95% 25.80%
2010 2.96% -0.41% 2.04% 3.26% 1.34% 1.23% 0.83% 4.05% -0.20% 4.83% -1.63% -0.11% 19.55%
2011 -2.79% 2.54% 0.30% 1.49% 1.47% 1.34% 1.86% 6.28%
All fund returns / statistics are shown net of fees and all other costs
Performance Track Record (Lead Series)
Contact Information page 1 of 2
Client Administration
Tel: +2721 673 7821
Email:[email protected]
Rob Coombe - COO: Brait Capital Management
Tel: +2721 673 7818
Email:[email protected]
Lourens Pretorius - CEO: Brait Capital Management
Tel: +2721 673 7830
Email:
31 July 2011Fund Overview
Brait Multi Strategy Fund
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Monthly Performance Attribution per Discipline Comparative Performance
Risk Budget Utilisation Total VaR and VaR Offset
Return Distribution Since Inception Risk Analysis Table
Since InceptionBrait Multi
StrategyAll Bond
IndexAll Share
Index
Standard Deviation p.a. 9.34 % 7.15 % 18.54 %
Downside Deviation p.a. 4.47 % 2.63 % 10.47 %
Sharpe Ratio 0.978 0.110 0.092
Sortino Ratio 2.04 0.30 0.16
Correlation 1.00 -0.18 0.02
Gain Periods 74.14 % 67.24 % 62.07 %
Largest Draw Down -11.92 % -7.34 % -40.44 %
95% Value at Risk (VaR) 4.94 % 4.04 % 10.49 %
This Fund Overview is for information purposes only and does not constitute either an offer or a recommendation to buy or sell any of the stocks mentioned or the fund itself. It is aprivate publication intended for private circulation and outlines the fund structure and past performance. The value of all investments can go down as well as up, and the past is notnecessarily a guide to future performance. Brait South Africa Limited is regulated by the Financial Services Board as an approved Discretionary Financial Service Provider (CategoryIIA) under the Financial Advisory and Intermediary Services Act (FSP Reg. No. 820). However, the Brait Multi Strategy Fund along with all other hedge funds in South Africa, isunregulated by the Financial Services Board.
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Brait Multi Strategy Fund
31 July 2011Fund Overview
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