Odey absolute return enero 2014
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Transcript of Odey absolute return enero 2014
12 Upper Grosvenor Street, London, W1K 2ND ~ Tel +44 (20) 7208-1400 Fax: +44 (20) 7208-1401 ~ www.odey.com
Authorised and Regulated by the Financial Conduct Authority
■ The fund made +0.4% in January with a MSCI Daily TR Net World return of -3.0%.
■ Short equities contributed +2.57%, short equity index futures
+1.00%, equity index options +0.66%, long equities -1.25% and short government bond futures -1.61%.
■ Notable positive contributions came from long KPN (+1.11%), long
United Continental (+0.78%), short Ashmore (+0.75%), long a March 2014 FTSE 100 put (6650) (+0.66%), short Aberdeen (+0.38%), short the Dax index future (+0.38%) and short Kemira (+0.35%).
■ Notable negative contributions came from short the 10 year Gilt
future (-0.94%), long Best Buy (-0.84%), short the 10 year treasury future (-0.59%), long Ethan Allen (-0.59%), long Rockhopper (-0.47%) and short Netflix (-0.39%).
Note: Allocation and attribution figures are taken at close of business whereas fund performance is taken at 10am.
Source for 3 tables above: Internal unaudited figures. All
performance figures quoted are net of fees. Past performance is
not a reliable indicator of future performance
Source for above table and chart: Capita Financial Managers &
MSCI. Calculation on a NAV basis with net income reinvested
as at 31-Jan-14.
Commentary is provided on a quarterly basis.
The investment objective of the Fund is to achieve a positive absolute return over
a 12 month period independent of market conditions. Capital is at risk and there
is no guarantee that a positive return will be delivered over any one or a number
of 12 month periods.
The Fund will seek to achieve its investment objective by investing in or taking
exposures (using both long and synthetic short positions) to a range of asset
classes worldwide. The Fund may therefore invest in any, or all, of the following:
equities and equity related securities (including OTC derivatives), fixed and/or
floating rate debt securities issued by governments and/or corporate entities,
closed ended funds, collective investment scheme, derivatives, forward foreign
exchanges contracts, currencies and cash and cash equivalents.
James Hanbury
Portfolio Manager
Jamie Grimston
Portfolio Manager
Enquiries:
Andrew King
Tel: +44 20 7208-1454
Email: [email protected]
Sarah St. George
Tel: +44 20 7208-1432
Email: [email protected]
31-Jan-2014
% Nav
Long Equity 139.6
Short Equity -104.4
Government Bond -61.9
Corporate Bond 0.2
£ I Class (p) 295.05
£ R Class (p) 288.37
$ Class (p) 1.58
€ Class (p) 1.71
Fund Size (£m) 921.61
Inception Date
Primary Cash
Secondary MSCI Daily TR Net World
31-Ja n-2014
11-May-09
£ Fund Index Rel.
1-month 0.38 -2.97 3.35
3-month 5.34 -2.18 7.52
1-year 36.59 11.93 24.66
3-year 90.33 27.16 63.17
YTD 0.38 -2.97 3.35
1yr to 31-Jan-2014 36.59 11.93 24.66
1yr to 31-Jan-2013 35.86 15.41 20.45
1yr to 31-Jan-2012 2.57 -1.56 4.13
1yr to 31-Jan-2011 24.36 19.01 5.35
Inc. to 29-Jan-2010 21.83 13.68 8.15
Since Inception 188.37 72.04 116.33
CAGR since inception 25.10 12.16 12.94
31-Ja n -2014
2009 2010 2011 2012 2013 2014
January -0.6 7.5 6.9 6.6 0.4
February -0.6 2.8 8.9 3.1
March 0.8 1.7 2.2 1.3
April 2.9 1.0 -1.5 2.0
May 3.9 -2.5 2.4 -3.5 7.9
June 1.9 -4.7 -1.2 3.7 1.1
July 2.2 3.3 -1.2 0.9 3.4
August 6.3 -4.9 -11.0 3.6 1.1
September 8.9 9.2 1.0 3.0 4.9
October -1.5 2.3 3.8 4.1 1.8
November -1.1 2.7 -3.0 1.4 2.0
December 0.4 7.2 0.4 2.3 2.9
YTD 22.5 15.0 3.1 36.3 45.0 0.4
Since Incept ion
50
100
150
200
250
300
350
May-09 May-10 May-11 May-12 May-13
Odey Absolute Return(£)
MSCI Daily TR Net World
BBA LIBOR GBP 3 Month
50
100
150
200
250
300
350
May-09 May-10 May-11 May-12 May-13
Odey Absolute Return(£)
MSCI Daily TR Net World
BBA LIBOR GBP 3 Month
12 Upper Grosvenor Street, London, W1K 2ND ~ Tel +44 (20) 7208-1400 Fax: +44 (20) 7208-1401 ~ www.odey.com
Authorised and Regulated by the Financial Conduct Authority
Currency exposure is shown net of all assets held by the
fund, including any forward currency positions.
This is a marketing communication from Odey which is not intended to be viewed as a piece of independent investment research.
© 2013 Odey Asset Management LLP (“OAM”) has approved this communication which is for private circulation only, and in the UK is directed to persons who are professional clients or eligible
counterparties for the purposes of the FCA’s Conduct of Business Sourcebook and it is not intended for and must not be distributed to retail clients. It does not constitute an offer to sell or an
invitation to buy or invest in any of the securities or funds mentioned herein and it does not constitute a personal recommendation or investment taxation or any other advice. The information and
any opinions have been obtained from or are based on sources believed to be reliable, but accuracy cannot be guaranteed. Past performance does not guarantee future results and the value of all
investments and the income derived therefrom can decrease as well as increase. Investments that have an exposure to currencies other than the base currency of the fund may be subject to exchange
rate fluctuations. This communication and the information contained therein may constitute a financial promotion for the purposes of the Financial Services and Markets Act 2000 of the United
Kingdom (the “Act”) and the rules of the FCA. This communication is not subject to any restrictions on dealing ahead. The distribution of this communication may, in some countries, be restricted by
law or regulation. Accordingly, anyone who comes into possession of this communication should inform themselves of and observe these restrictions. OAM is not liable for a breach of such
restrictions or for any losses relating to the accuracy, completeness or use of information in this communication, including any consequential loss. Please always refer to the fund’s prospectus. OAM
whose company No. is OC302585 and whose registered office is at 12 Upper Grosvenor Street, London, W1K 2ND, is authorised and regulated by the Financial Conduct Authority.
At 31-Jan-14
At 31-Jan-14 At 31-Jan-14
Internal unaudited figures Internal unaudited figures
Internal unaudited figures
Internal unaudited figures
Comparators Primary: Cash; Secondary: MSCI World TR Net
Fund inception date 11 May, 2009
Fund type UK Long / Short UCITS IV
Base currency £
Share classes £R, £I, €I & $I (Acc.)
Dealing / Valuation Daily forward to 10am / 10am
Front end fee Up to 4%
Annual Management fee (£R) 1.25% & (£I, €I & $I) 0.75%
Performance fee basis 20% of the increase in the value per share of the
fund between the beginning and the end of the year.
Fees crystallise annually. Losses carried forward.
Anti-dilution fee May apply 0.75% to NAV on subs/reds
Min. investment R £5,000; £I, €I & $I £100,000
Dividends Accumulation shares only
Authorised Corporate Director (ACD) Capita Financial Managers Ltd
Auditor Ernst and Young LLP
Price reporting Prices published daily in FT
ISIN R: GB00B55NGR79, £I: GB00B55NGS86
€I: GB00B3SX1S66, $:GB00B3Z00X80
SEDOL R: B55NGR7, £I: B55NGS8, €I: B3SX1S6, $:B3Z00X8
Internal unaudited figures
At 31-Jan-14
At 31-Jan-14
Internal unaudited figures
At 31-Jan-14
-0.60 -0.10
0.10 0.10 0.20 0.20
100.10
-20
0
20
40
60
80
100
120
EU
R
USD
AU
D
SEK
NO
K
CA
D
GBP
At 31-Jan-14
-40
-30
-20
-10
0
10
20
Auto
s & C
om
ponen
ts
Ban
ks & Fin
ance
Busin
ess Services
Chem
icals
Com
mercial Services
Constru
ction
Energy
Engr. &
Man
ufactu
ring
Food, B
ev & T
obacco
Health
care
Househ
old
Goods
Index
Insu
rance
Leisure &
Hotels
Med
ia
Min
ing &
Metals
Oth
ers
Real E
state
Retail
Softw
are & Services
Tech
nolo
gy Hard
ware
Teleco
mm
unicatio
ns
Tran
sport
Utilities
Long
Short-60
-40
-20
0
20
40
60
Australia
Austria
Berm
uda
Can
ada
Chin
a
Cyp
rus
Euro
pean
Countries
Finlan
d
France
Germ
any
Gib
raltar
Guern
sey
Ireland
Israel
Japan
Korea (So
uth
)
Luxem
bourg
Neth
erlands
Russian
Federatio
n
Spain
Swed
en
Switzerlan
d
UK
US
Virgin
Islands -
British
Long
Short
Rank Security Strategy Notional Exposure (%)
1 Regus Long 7.1
2 Koninklijke KPN Long 6.7
3 Sky Deutschland Long 5.2
4 Toyota Industries Corp Long 4.5
5 Samsung Electronics Co Long 4.3
-150
-100
-50
0
50
100
150
200
May-09 May-10 May-11 May-12 May-13
Long Equity Exposure
Short Equity Exposure
Net Equity Exposure
1-year 3-year Inc.
Fund annual s.dev. 6.82 11.84 12.68
Index annual s.dev. 10.27 10.96 12.82
alpha 2.37 1.34 1.21
beta 0.29 0.73 0.62
Correlation 0.47 0.69 0.64
Sharpe Ratio 4.59 1.83 1.75
Fund info Ratio 2.21 1.55 0.99
Fund tracking error 11.15 10.07 11.3
Treynor 125.1 31.87 37.91
Sortino ∞ 2.39 2.41
Rank Security Strategy Notional Exposure (%)
1 US 10Yr Note (CBT Mar14 Short 29.7
2 Long Gilt Future Mar14 Short 29.6
3 DAX INDEX FUTURE Short 10.6
4 FTSE 100 IDX FUT Short 8.9
5 FTSE 100 Index Short 7.0