TIDMDTL
RNS Number : 2642D
Dexion Trading Limited
14 May 2012
Dexion Trading Limited ("the Company")
April Net Asset Value
The net asset value of the Company's Shares as of 30 April 2012
is as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
134.48 pence -0.69% +0.46%
-------------- ---------------- ----------------
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
Despite the recent weak economic data, in particular the
increase in unemployment claims and indications of slowing global
growth, the significant liquidity in the markets should offer risk
assets the opportunity to overcome this phase of negative
sentiment. Managers believe that the recent decline in the US
labour market appears to be the result of weather-related
influences after an unusually warm winter. Their optimism on the US
recovery also finds support in corporate earnings which have
generally surprised to the upside. Other positive factors include
strong manufacturing numbers; however, should US data continue to
prove disappointing there may be cause for concern. Managers are
also reasonably constructive towards emerging markets, particularly
Asia, where the data has been encouraging. The surge in China's new
Yuan loans has been particularly encouraging and therefore
eliminates any potential fears of a hard landing. Managers' bearish
stance is still generally centred on Europe, where the situation
remains precarious, particularly the slow growth caused by the
austerity measures and where the recent elections in Greece and
France are keeping anxiety levels elevated. Discretionary macro
managers continue to exhibit "pro-risk" positioning, believing that
the US recovery, in particular, is reasonably underpinned, although
some managers have nonetheless brought down exposures given the
reversals in April.
Market Overview
Markets grew increasingly risk averse in April with a renewed
crisis in Europe as the focus shifted from Greece to Spain; bond
auctions early in the month proved particularly weak, borrowing
costs rose sharply and its credit rating was downgraded by a major
ratings agency. Additionally, investors focused on the outcome of
several key elections in Europe, in particular France, and markets
feared that the positive effects from the Long Term Refinancing
Operation facility may be fading. In the US, economic data was
broadly weaker with the exception of housing and retail sales
figures, but this was largely offset by a strong start to the
earnings season, as well as equity markets being flat to slightly
negative. Chinese economic data was more positive in April, with
the country reporting improved manufacturing figures, but first
quarter GDP growth came in lower-than-expected at 8.1%.
After a strong first quarter, equity markets posted
disappointing returns in April. The month got off to a difficult
start following the release of the Federal Open Market Committee
("FOMC") minutes, which contained no indication that there would be
an additional round of QE. This was not helped by renewed focus on
the eurozone crisis after a poorly-traded Spanish bond auction and
the disappointing Chinese GDP numbers. Strong US first quarter
earnings and other more successful bond auctions in the eurozone
helped equity prices remain positive into mid-month, but gains were
generally not able to offset the losses earlier in the month and
the MSCI World ended down -1.5%. Performance from China stood out
during the month, with the Shanghai Stock Exchange Composite Index
rising 5.9% as better overall data during the month overshadowed
the weaker GDP figure. Optimism on the US recovery is expressed via
long S&P futures and other sectors of the economy that stand to
benefit from a strong US consumer. Risk in the equities space is
also dominated by long positions in Japanese equities.
Government bond prices rallied given the general "risk-off"
sentiment which dominated price action. Early in the month, US
yields rose following the FOMC minutes, which led investors to
believe that there would be no further quantitative easing.
However, most of the disappointing data reports through the rest of
the month kept prices high. In Europe, German bund yields declined,
while yields on peripheral country bonds generated mixed returns,
with yields widening in Spain, Italy and Portugal. Spanish banks
continued to be at the centre of eurozone fears, briefly driving
Spanish yields to over 6% half way through the month. Managers are
expressing their optimistic outlook on the US economy via short
exposure to US Treasuries. In their opinion, yields remain too low
relative to growth and inflation expectations. They are conveying
their pessimism towards Europe via long positions at the front-end
of the curve and given the deteriorating growth outlook believe
further rate cuts may be planned. Emerging market-focused managers
are communicating the "lower for longer" theme through long
exposure to emerging market bonds such as Brazil and Mexico.
The US dollar generated varied results versus its counterparts
during the month, with the most notable move being a relative
strengthening of the Japanese yen. After weakening sharply during
the first quarter of the year, the Japanese yen appreciated 3.8%
against the US dollar on the back of safe-haven buying. The euro
ended the month lower against the US dollar, with the currency
initially impacted by the poorly-traded Spanish bond auction,
although it did strengthen later in the month as the Federal
Reserve reiterated its commitment to low interest rates. Sterling
rallied against both the US dollar and the euro, despite data
showing that the UK had dipped back into recession. Performance
within commodity and emerging market currencies was also mixed; the
Brazilian real fell sharply as Brazil's central bank maintained its
easing tone and this was significantly reflected in its
disappointing performance versus the US dollar. The latter
appreciated sharply (over 4%) against the Brazilian real. Managers
continue to be short the Japanese yen in light of the poor fiscal
situation and the Bank of Japan's policy easing stance. They also
hold short positions in the euro given the unsettled situation in
Europe, although in fairly small size as the path of the currency
has often been at odds with fundamentals. They hold long exposure
to emerging market currencies, in particular those that they
believe will benefit from US outperformance (e.g. Mexican peso and
Canadian dollar), as well as others such as the Korean won and the
Malaysian ringgit, based on improving fundamentals. Some managers
have also initiated long positions in sterling given the upside
surprises in inflation in the UK.
The natural resources sector experienced mixed performance in
April, with high dispersion across underlying commodity markets and
commodity-related equities generally registering losses. The energy
sector also generated mixed results with Brent crude oil ending the
month at down 2.8%, just below US$120/barrel, after touching a high
of approximately US$126/barrel early in the month, reflecting
concerns that Europe's debt crisis may curb oil consumption. News
of international talks with Iran on the country's nuclear program
also led prices to decline. Conversely, WTI crude oil prices ended
the month higher, rising 1.8% to approximately US$105/barrel, in
anticipation that the Seaway pipeline reversal would be completed
earlier than expected. Later in the month, a significant reversal
took place which saw US natural gas prices rise 7.5% on the back of
speculation that decreased prices would prompt production cuts and
encourage higher demand from power plants. Industrial metals prices
finished flat amid better than expected Chinese economic data,
while gold prices weakened marginally. Precious metals-related
equities, both large and small-cap companies, experienced a sharp
fall in prices. Performance of agricultural commodities was mixed;
soybeans were again the month's best performer, resulting from
concerns that reduced production in South America would boost
demand for US supplies. Commodity exposure continues to be
dominated by long exposure to oil in light of geopolitical tensions
and, to a lesser extent, managers also hold long positioning in
gold.
Strategy Overview
Discretionary: -0.33%. Given the month's reversals across a
variety of asset classes, "risk-on" trades that were lucrative in
March proved detrimental in April. Losses were encountered in
developed market fixed income, namely short positions in US
Treasuries, while small losses came from short Japanese government
bond exposures. In the currency space, losses came from short
exposure to the Japanese yen versus the US dollar as increased
"risk-off" sentiment lent support to the Japanese currency. In the
equities space, long positions in the S&P and the Nikkei
detracted from returns. Small long holdings in oil proved slightly
costly. Emerging market-focused managers fared better, with gains
from long exposure to Mexican and Brazilian bonds.
Systematic: -0.35%. On the trend-following side, losses from
long equity positions were offset by gains from long bond
exposures. The commodities sector generated mixed results with long
positions in agriculture, particularly soybeans, contributing to
performance, while long exposure to oil detracted from returns. On
the non-trend following side, currency-focused managers benefited
from long exposure to the Japanese yen and the Australian dollar,
while fixed income oriented managers profited from longs in German
and US bonds.
Natural Resources: -2.33%. Long positions in gold equities were
the biggest contributor to negative returns and longs in commodity
related equities contributed further to losses.
Relative Value Arbitrage: +0.02%.Performance was mixed with
managers focused on liquidity factors, outperforming those managers
with more traditional valuation factors.
Number of
Allocation Managers as
as of 30 April of Performance by
Strategy % 30 April Strategy %
-------------------------- ---------------- ------------- -----------------
April YTD
-------------------------- ---------------- ------------- -------- -------
Discretionary(1) 51 21 -0.33 +2.75
-------------------------- ---------------- ------------- -------- -------
Natural Resources 8 10 -2.33 +2.60
-------------------------- ---------------- ------------- -------- -------
Relative Value Arbitrage 5 3 +0.02 +1.24
-------------------------- ---------------- ------------- -------- -------
Systematic(1) 29 12 -0.35 -1.92
-------------------------- ---------------- ------------- -------- -------
Cash 7 - - -
-------------------------- ---------------- ------------- -------- -------
Total 100 45(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/2642D_-2012-5-14.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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