TIDMDTL
RNS Number : 2774Z
Dexion Trading Limited
13 March 2012
Dexion Trading Limited ("the Company")
February Net Asset Value
The net asset value of the Company's Shares as of 29 February
2012 is as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
136.98 pence +1.11% +2.32%
-------------- ---------------- ----------------
In calculating the Company's Net Asset Value the Company's
Administrator will rely solely upon the valuation of GBP
denominated Permal Macro Holdings Limited ("PMH") Class A shares
provided by PMH. The Investment Adviser and third party service
providers to PMH, rely on estimates of the value of Underlying
Funds in which PMH invests, which are provided, directly or
indirectly, by the managers or administrators of those Underlying
Funds and such valuations may not be considered 'independent' or
may be subject to potential conflicts of interest. Such estimates
may be produced as at valuation dates which do not coincide with
valuation dates for PMH and may be unaudited or may be subject to
little verification or other due diligence and may not comply with
generally accepted accounting practices or other valuation
principles. The Investment Adviser may not have sufficient
information to confirm or review the completeness or accuracy of
information provided by those managers or administrators. In
addition, these entities may not provide estimates of the value of
Underlying Funds in which PMH invests on a regular or timely basis
or at all with the result that the values of such investments may
be estimated by the Investment Adviser. Both weekly estimates and
bi-monthly valuations may be based on valuations provided as of a
significantly earlier date and hence the published valuation may
differ materially from the actual value of PMH's portfolio. Other
risk factors which may be relevant to this valuation are set out in
the Company's prospectus dated 12th March 2008.
Monthly Portfolio Review
Investment Adviser Portfolio Outlook
Managers remain reasonably optimistic about the US economic
prospects, as economic data, particularly within the employment and
housing sectors, continues to improve, thereby supporting consumer
confidence and household spending. Additionally, despite the
absence of additional stimulus, the Fed remains willing to lend
maximum support to the recovery through its "lower for longer"
policy. Some managers, however, believe that any sharp
deterioration of the eurozone situation could adversely affect the
nascent recovery. In Europe, managers note that the ECB's Long Term
Refinancing Operation ("LTRO") has helped to reduce the tail risk
in the markets, providing support for risk assets and some respite
for banks. The financial sector, however, remains in a fragile
state. These steps are unlikely to be sufficient to prevent a
recession and a comprehensive solution to aid the region's weaker
countries has yet to be put forward. Austerity measures will also
continue to exert pressure on these economies. In Japan the fiscal
situation remains precarious and the trade deficit has deteriorated
due to increasing oil prices and the larger than expected supply
chain disruptions. In the emerging markets growth is slowing. This
has certainly been the case in China and the decision making
process from Chinese policymakers, namely their persistent focus on
tightening measures towards the housing sector, has not helped
matters. Managers note that a few emerging market central banks and
policymakers, such as the Turkish central bank, have been engaging
in unorthodox policies and is, therefore, which is a reason for
caution.
Market Overview
The risk rally continued in February with investors disregarding
ongoing concerns in Europe amid favourable economic data in the US.
Unemployment figures fell from 8.5% to 8.3%, and throughout much of
the month US data continued to hold up. The situation in Europe
proved more complicated, with Greece missing multiple deadlines to
approve conditions for another bailout, but ultimately resulted in
an agreed EUR130 billion rescue package. There was some further
welcome news in Europe with a EUR530 billion take-up by eurozone
banks for the second LTRO operation, slightly more than
expected.
Global equities posted solid returns in February. Once again,
positive employment reports, as well as an increase in US
manufacturing, suggested that US economic growth was sustainable.
Stocks were somewhat sluggish half way through the month,
particularly in Europe, as negotiations on the Greek debt private
sector involvement and EU/IMF bailout package proceeded at a very
slow pace. However, the upward momentum in stock prices resumed on
the back of more promising US data, including an uptick in housing
starts and the Empire/Philadelphia Fed manufacturing indices.
Developed and emerging market stocks benefited from increased
buying. Japanese stocks were the best performers, with the Nikkei
225 returning 10.5% due to surprise additional easing by the Bank
of Japan. Managers short-term bullish stance towards risk assets is
being expressed via long exposures to US equity indices, given
improvements in the employment and housing sectors. Managers also
hold long positions in emerging markets equity indices, which have
been buoyed by the surge in investor risk appetite. Long positions
in the Nikkei have proved profitable as Japan's export-driven
economy benefitted from a weaker yen.
Breaking with the recent trend, government bond prices generally
ended the month lower. In the US, further positive US data drove
prices lower as investors left the relative safety of bonds for
higher yielding assets. The US 10-year note saw some buying
interest ahead of mid-month on the back of Germany's rejection of
the Greek austerity plan, as well as towards the end of the month,
supported by "Operation Twist" buybacks. However, prices fell after
the Fed's Chairman, Ben Bernanke, failed to hint at QE3. In the UK,
the 10-year Gilt followed a similar path, posting a steep loss on
the final day of the month after reports showing UK consumer
confidence was at the highest level since June and increasing
mortgage approvals led to speculation that the UK may avoid a
recession. In the eurozone, German 10-year yields finished the
month only slightly higher, while peripheral yields were mixed,
with Spanish yields rising marginally, whereas Portuguese and
Italian ones declined. Government bond trading is very tactical in
nature, particularly in the US. Some managers believe that the
positive economic data and the rally in risk assets makes a case
for more bearish positioning, while others continue to hold long
exposures, especially at the front-end, based on the Fed's "lower
for longer" policy. Certain managers hold long exposures to
peripheral sovereign bonds, in particular given the LTRO, while
others have implemented spread trades amongst these various
sovereigns.
Despite eurozone challenges, the euro appreciated versus the US
dollar for most of February as investors believed that the ECB's
LTRO had taken a significant amount of tail-risk out of the region.
The US dollar strengthened versus the yen, which weakened
considerably on the back of the surprise easing announcement by the
Bank of Japan. Conversely, emerging market and commodity currencies
ended higher versus the US dollar, despite highly volatile
intra-month price action. Managers have long positions in emerging
market and commodity currencies, namely the Singapore dollar, the
Mexican peso, the Chilean peso, the Australian dollar and the
Canadian dollar. They note that many emerging market currencies
have yet to fully recover from their 2011 sell-offs. Managers also
hold short exposures to the Japanese yen as the fiscal situation in
Japan continues to deteriorate. Although many managers hold a short
bias to the euro, some have reduced the exposure in light of the
currency's recent rally.
The natural resources sector was generally positive, with many
commodities and commodity-related equities delivering gains amid
positive economic data, namely from the US, and further liquidity
injections by the developed central banks, in particular the ECB.
Commodities, measured by the Dow Jones-UBS Commodity Index, were up
+2.7%, while commodity-related equities, measured by the S&P
North American Natural Resources Sector Index, were up +4.4%. The
energy sector rose significantly, with oil prices increasing as a
result of heightened geopolitical risk tied to Iran and the
possibility of a pre-emptive response by Israel. Additionally, the
effects of the EU and US sanctions on Iranian oil exports
contributed to escalating tensions and higher oil prices. Despite
exceptionally high inventories and forecasts showing milder weather
across much of the US, natural gas prices only marginally increased
for the month. In the metals sector, strong demand from the global
automobile market supported many platinum group metals, such as
palladium, while silver remained the best-performing commodity
year-to-date, rallying on the back of positive economic data. On
the other hand, gold prices declined, primarily due to the Fed
giving no signs of new stimulus. Agricultural commodity performance
was mixed, with soybeans, the month's best performer, and sugar
prices finishing considerably higher as drier weather across South
America increased the potential for crop damage. Finally, increased
coffee production and lower demand for cotton resulted in weakening
prices. Commodity exposure is dominated by long exposure to oil in
light of the unrelenting geopolitical tensions, especially in Iran.
A global economic recovery, should it look sustainable, will also
be supportive of oil prices. To a lesser extent, they have long
positioning in gold given their general lack of conviction in
certain policymakers.
Strategy Overview
Discretionary: +1.31%. Managers generally benefited from the
"risk-on" trade expressed across a variety of asset classes. In the
equity sector, long exposures to developed and emerging markets
stocks contributed to returns. Within currencies, long positions in
emerging market and commodity currencies proved beneficial as did
short positions in the Japanese yen. In the commodities space, long
exposures to oil also proved beneficial to returns. In fixed
income, those managers who held long positions in Italian versus
Spanish bonds, as well as long positions in certain emerging market
bonds, were able to achieve positive returns.
Systematic: +0.99%. Trend-following managers were positive for
the month and profited primarily from their long exposures to
energy and equity indices in the US, Europe and Asia. These gains
were only very slightly offset by long exposures to bonds and
precious metals. On the non-trend following side, gains from long
exposures to equities were somewhat offset by losses derived from
long exposures to the Japanese yen and short exposures to the euro.
Long exposures to US and German government bonds also proved
detrimental to the non-trend followers.
Natural Resources: +3.47%.Long positions in energy contributed
positively to performance. Gains were also generated from long
exposures to the agricultural sector, in particular soybeans. Long
positions in gold detracted marginally.
Relative Value Arbitrage: +1.07%.Managers continued to benefit
from lower equity correlations throughout the month.
Number of
Allocation Managers as
as of 29 February of Performance by
Strategy % 29 February Strategy %
-------------------------- ------------------- ------------- -----------------
February YTD
-------------------------- ------------------- ------------- --------- ------
Discretionary(1) 51 22 +1.31 +2.88
-------------------------- ------------------- ------------- --------- ------
Natural Resources 9 11 +3.47 +6.66
-------------------------- ------------------- ------------- --------- ------
Relative Value Arbitrage 5 3 +1.07 +1.67
-------------------------- ------------------- ------------- --------- ------
Systematic(1) 30 12 +0.99 +2.07
-------------------------- ------------------- ------------- --------- ------
Cash 5 - - -
-------------------------- ------------------- ------------- --------- ------
Total 100 47(1)
-------------------------- ------------------- ------------- --------- ------
(1) Discretionary and Systematic have one manager in common.
Strategy returns are in US$, net of underlying manager fees
only, and not inclusive of either Dexion Trading's or PMH's fees
and expenses.
Supplementary Information
Click on, or paste the following link into your web browser, to
view a full review of the Dexion Trading Limited portfolio.
http://www.rns-pdf.londonstockexchange.com/rns/2774Z_-2012-3-13.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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