AIA Altin Reg

 
TIDMAIA 
 
 

ALTIN market review and portfolio holdings

as of 1st January 2016

Baar, 21 January 2016 - ALTIN AG (SIX: ALTN, LSE: AIA), the Swiss alternative investment company listed on the London and Swiss stock exchanges, discloses its entire hedge fund portfolio holdings as part of its policy of full transparency to investors. The portfolio, which is well diversified across 40 underlying hedge funds, has achieved an NAV performance of +215.22%1 since its inception in December 1996.

ALTIN continues to deliver solid outperformance

The ALTIN share price was up +11.42% and +12.04% on the Swiss (SIX) and London (LSE) exchanges respectively in 2015. Over the past year, the share price discount to NAV has fallen significantly since the end of 2014, reducing from 21.8% to 14.8%, based on the latest estimates. 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 65.20% of assets invested in funds with monthly or better liquidity, allowing the manager to make allocation shifts when deemed necessary.

 
Portfolio as at 1st                               Total Portfolio (%) 
January 2016 
Macro                                               28.38% 
Cumulus Fund Leveraged                              2.81% 
Finisterre Global                                   3.24% 
Opportunity Fund 
Goldfinch Capital Management                        2.07% 
Offshore Ltd 
H2O Vivace                                          3.43% 
Quantica Managed                                    2.61% 
Futures Fund Inc 
Stone Milliner                                      3.67% 
Macro Fund Inc 
The Tudor BVI Global                                2.96% 
Fund Ltd 
Two Sigma Compass Enhanced                          7.59% 
Cayman Fund Ltd 
Equity Hedge                                        23.57% 
Arrow Offshore Ltd                                  1.97% 
Clearline Capital Partners                          3.21% 
Offshore Ltd 
Coatue Offshore Fund Ltd                            4.12% 
DB Platinum Ivory                                   1.63% 
Optimal Fund 
NPJ Global Opportunities                            3.00% 
Fund 
Passport Long Short Fund                            2.16% 
Verrazzano European                                 4.21% 
Focus Fund PLC 
Zeal China Fund Limited                             3.27% 
Event Driven                                        27.38% 
Aristeia International Ltd                          3.66% 
Contrarian Emerging Markets                         3.99% 
Offshore Fund Ltd 
Jana Nirvana Offshore                               4.84% 
Fund Ltd 
LLSOF LP                                            2.07% 
Merrill Lynch Investment Solutions - Castlerigg     1.26% 
Equity Event and  Arbitrage UCITS Fund 
Marathon Special Opportunity                        4.54% 
Fund Ltd 
Paulson Enhanced Ltd                                2.49% 
York European Focus                                 4.53% 
Unit Trust 
Relative Value                                      42.13% 
Acadian Global Leveraged Market                     3.03% 
Neutral Equity UCITS 
Atlas Enhanced Fund Ltd                             2.99% 
Capstone Vol Offshore Ltd                           3.04% 
Citadel Kensington Global                           6.54% 
Strategies Fund Ltd 
Claren Road Credit Fund Ltd                         0.88% 
Concordia Fixed Income                              1.52% 
Relative Value Ltd 
Millennium International                            4.56% 
Providence MBS Fund Ltd                             3.54% 
Stratus Feeder Ltd                                  4.58% 
Two Sigma Absolute Return Equity                    3.26% 
Enhanced Cayman Fund Ltd 
Visium Balanced Offshore                            2.89% 
Fund Ltd 
ZP Offshore Utility                                 5.30% 
Fund Ltd 
Protection                                          4.61% 
Conquest Macro Fund Ltd                             0.65% 
Fortress Convex                                     2.03% 
Asia Fund Ltd 
TailProtect Ltd                                     1.93% 
Special Investments                                 1.04% 
ALTIN AG                                            1.40% 
Total                                               128.51%2 
 
 

ALTIN: Q4 2015 commentary

The ALTIN portfolio was up during the last quarter of 2015, a period which witnessed relatively high levels of volatility, primarily driven by central banks' actions in the developed world and by the economic situation in emerging markets. It is noteworthy that, when observing monthly returns, ALTIN's performance turned out to be rather different from that of traditional asset classes, as well as that of the average hedge fund. In particular, ALTIN was slightly down in October when equities, bonds and hedge funds posted positive returns, whereas it was up in December when all these asset classes were down. It is worth mentioning that this happened despite the ALTIN's overall positive, albeit limited, beta to equities. This underlines the diversified nature of ALTIN's sources of return. Over the fourth quarter, most strategies in the portfolio were up with the notable exception of Credit, Protection and Trend-Following strategies. Finally, it is noteworthy that ALTIN ended the year in positive territory (+2.20% YTD, based on the latest estimates), 2% to 3% ahead of hedge fund and fund of fund indices, which were on average negative in 2015: the HFRI FoF Index and the MSCI World Net Return Index recorded -0.34% and -0.87% over the same period.

The Macro silo was ALTIN's best performance contributor, with most funds up over the quarter. The notable exceptions were a pure medium-term trend-following manager that was impacted by agricultural commodity positions as well as detrimental trading of equity indices and a US natural gas trader that lost some ground following a warmer-than-usual winter. The bulk of the performance came from the short-term systematic macro allocation and to a lesser extent from discretionary managers, which succeeded in capturing the US dollar up-trend with additional returns from long GIIPS sovereign bond exposure. It is also worth pointing out the good performance of a power and energy trader, which ended up being one of the best contributors for the quarter despite its relatively small sizing.

The overall positive trend in equity markets was supportive for the Equity Hedge allocation, which was the second largest contributor for the quarter. Regardless of region, sector or style focus, almost all managers were up. However, some fared better than others with major contributors being a Chinese and a European manager as well as a technology specialist. On a risk-adjusted basis these three funds substantially outperformed their respective markets. What is even more rewarding is that in 2015 the Equity Hedge allocation actually performed substantially better than global equities in absolute terms.

The Event Driven allocation was broadly negative with credit managers losing ground on the continuation of the energy complex sell-off and its impact on distressed and long high yield allocations. Additional negative performance was generated from two concentrated merger arbitrage and special situations specialists, with a few losses in healthcare and energy idiosyncratic positions significantly detracting performance in what was otherwise a mildly supportive environment for equities. There were however three positive contributors over the quarter: an emerging markets distressed fund, a European multi-event-driven manager and an equity activist.

The Relative Value silo was mostly positive, with the main contributor being a high-volatility quasi equity-market-neutral specialist in utility and midstream companies, which posted three positive monthly returns in a row following the violent disruptions that impacted that sector during the summer and early autumn. Generally speaking, equity market neutral and multi-strategy funds performed positively during a period that was particularly volatile for equity market neutral factors, with ultimately a positive outcome for momentum and quality, but a negative one for size and value. The only significant losses in that space came from sub-sector relative value bets in healthcare in October, mainly long specialty pharmaceuticals companies vs. the market, and relative value trades in emerging markets. It is also worth pointing out that interest rate and volatility arbitrage funds were also positive for the quarter and in particular in December, which supports the view that the end of ultra-loose monetary policies should support these strategies.

The sharp risk-on rally in October and, to a lesser extent, seesaw markets in December, were detrimental to the Protection allocation, which has been the worst contributor over the quarter. However, this style remains a positive contributor in 2015 thanks to the rebalancing that was implemented during the year.

From an allocation perspective, the portfolio remained relatively stable over the quarter, with changes mainly stemming from performance differences amongst managers. A macro-driven equity long-short manager entered the portfolio, while a trading-oriented macro manager was removed.

Top contributors YTD as of 31.12.2015 (estimated data)

 
 
    -- Two Sigma Compass Enhanced Cayman Fund Ltd +1.82% 
 
    -- Perceptive Life Sciences Offshore Fund Ltd +0.80% 
 
    -- Citadel Kensington Global Strategies Fund Ltd +0.77% 
 

Top detractors YTD as of 31.12.2015 (estimated data)

 
 
    -- Quantica Managed Futures Fund Inc -0.85% 
 
    -- Marathon Special Opportunity Fund Ltd -0.57% 
 
    -- Fortress Macro Fund Ltd -0.50% 
 

ALTIN: Portfolio profile to remain stable

January 21, 2016 12:30 ET (17:30 GMT)

For the time being the portfolio is expected to remain fairly stable and at this stage anticipated hedge fund reallocations should not dramatically change the profile of the Fund. It is to be emphasised that a significant portion of the portfolio is liquid enough to quickly take advantage of new investment opportunities should they arise during the course of the coming months.

Asset Allocation according to redemption frequency (including remaining lock-ups)

as at 1 January 2016

 
Daily                   6.10% 
Weekly                  7.28% 
Monthly                 51.82% 
Quarterly               53.18% 
Longer than Quarterly   10.13% 
Total                   128.51%2ALTIN's gross exposure 
                        stands at  128.51% as 
                        at 1 January 2016, vs. 128.45% as 1 October 2015 
 
 

ALTIN: not affected by redemption issues

ALTIN is a closed-ended and fixed capital fund and as such it is not faced with redemption requests. This provides the investment manager with the opportunity to select the best risk/reward opportunities in the hedge fund universe. Investors can freely buy and sell ALTIN shares on a daily basis on the London or Swiss stock exchanges, without the need to redeem at fixed redemption dates.

For further information, please contact:

 
Tony Morrongiello - Chief Executive Officer   Kinlan Communications 
Tel. +41 (0)41 760 62 60                      David Hothersall 
                                              Tel. +44 (0)20 7638 3435 
info@altin.ch                                 davidh@kinlan.net 
 
 

Note to Editors

About ALTIN AG

ALTIN AG was launched in 1996 and is listed on the SIX Swiss Exchange as well as on the London Stock Exchange. It ranks among Switzerland's leading alternative investment companies. Currently, ALTIN is invested in more than 40 hedge funds representing diverse investment strategies. Its objective is to generate an absolute compound annual return in USD terms with lower volatility than equity markets. Thanks to these characteristics and a low correlation with equity markets, ALTIN shares provide an ideal complement to all diversified portfolios.

www.altin.ch

1 Estimated NAV performance as at 31 December 2015

2

View source version on businesswire.com: http://www.businesswire.com/news/home/20160121005483/en/

 
This information is provided by Business Wire 
 
 

(END) Dow Jones Newswires

January 21, 2016 12:30 ET (17:30 GMT)