TIDMDTL
RNS Number : 0567I
Dexion Trading Limited
19 July 2012
Dexion Trading Limited ("the Company")
June Net Asset Value
The net asset value of the Company's Shares as of 29 June 2012
is as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
131.56 pence -1.42% -1.73%
-------------- ---------------- ----------------
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
The global economic slowdown appears to have intensified over
recent weeks, largely due to the increasingly precarious nature of
the European situation, disappointing economic data in the US and
the economic slowdown in China. The EU summit represents a step in
the right direction, although it has failed to address the
fundamental problems in the region, namely that peripheral
countries continue to face solvency issues as well as the ongoing
lack of growth in the eurozone. Managers view the euro project as
being structurally flawed and maintain a bearish stance towards the
region. In the US, recent data has surprised to the downside,
namely in the manufacturing sector, but the country itself remains
in relatively good shape compared to the others in the G3. In
China, the slowdown is self-engineered and can be reversed by the
authorities, but it is still having negative repercussions on other
countries, particularly those impacted by the slowdown in commodity
exports. While many managers generally exhibited pro-risk
positioning in the first five months of the year, they have
recently shifted their portfolios to a more defensive stance in
light of the disappointing global economic data.
Market Overview
Global economic data continued to broadly disappoint, but it was
the ongoing events in Europe that once more dominated the month's
price action. Developments during the month included a pro-eurozone
victory in the Greek elections, a recapitalisation plan for Spanish
banks and the two day EU summit at the end of the month, which
delivered fresh plans to bailout Spanish and Italian banks, while
granting the ECB direct supervision of the regions' banks. The EU
summit resulted in a surging risk-on rally on the final trading day
as market participants interpreted progress from EU leaders as a
positive signal. In an attempt to combat the slowdown, the People's
Bank of China cut rates for the first time since 2008, and in the
US the Federal Reserve opted to extend 'Operation Twist'.
Global equity prices fell sharply on the first day of the month
following disappointing Asian manufacturing PMI numbers and a
weaker-than-expected US employment report. Stocks quickly recovered
on the back of reports that Spain may accept an EU financial rescue
and China would cut rates. This positive sentiment continued
through to the Greek elections, but despite a positive outcome,
markets still declined after Moody's downgraded 15 global banks and
general disappointment caused by the lack of QE3 in the US. Equity
prices declined for much of the second half before surging higher
on the final trading day after the EU Summit exceeded market
expectations. Equity positioning is relatively light and is
dominated by two camps: the first are those managers who are short
European and US indices believing that a synchronised global
slowdown will put pressure on equities, and the second includes
those managers who are long certain sectors of the US economy that
continue to perform well, such as housing, despite weakness in
other areas.
Government bond yields ended the month marginally higher as risk
aversion abated somewhat, with growing optimism towards policymaker
response in Europe, and the central bank action in China and the
US. In the US, 10-year treasury yields hit a record low of 1.45% on
1 June 2012 as investors initially sought safe-haven assets
following the dismal US jobs report, but later in the month the
improving fiscal and monetary expectations helped relieve some of
the concerns and triggered sell-offs in fixed income. The yields on
peripheral European debt ended the month lower, although Spanish
bonds hit euro-era highs mid-month amid growing concerns about the
bad loans at Spanish financial institutions. Managers generally
hold long positions in US government bonds and along the front-end
of the European curve. Emerging markets orientated managers hold
long positions in Mexican rates, where policymakers are expected to
keep rates lower for longer, particularly in light of recent US
economic deceleration. They also hold long positions in Brazilian
government bonds as inflation pressures decline.
The US dollar ended the month lower against most major developed
and emerging market currencies. Despite the ongoing concerns in
Europe, there were bouts of optimism over the short-term fixes
which strengthened the euro, with a particularly sharp rise on the
back of the EU summit. Demand for riskier currencies increased,
along with the euro, with particularly strong performances from the
recently criticised Mexican peso, which appreciated more than 7.5%
against the US dollar. The New Zealand and Australian dollars were
also prime performers, benefiting from easing in China. Being long
the US dollar remains the predominant theme in the currency space
given the relative outperformance of the US. Managers continue to
be short the euro, which has been a long-held position, reflecting
the nature of the European situation. They are also short the
Australian dollar as an expression of slowing Chinese growth,
believing that the currency has yet to fully value the slowdown.
Emerging market-focused managers hold long exposures in select
emerging market currencies such as the Mexican peso, which they
consider undervalued, as well as certain non-Japan Asian currencies
with strong fundamentals.
The natural resources sector moved broadly lower through much of
June as global growth continued to show signs of slowing. The
sector, however, posted a sharp rally at month-end following the EU
summit. The energy sector was broadly lower during the month amid
signs of slowing global growth, with the Institute of Economic
Affairs reporting global oil markets to be better supplied than
earlier this year, Saudi Arabia asserting that OPEC may need a
higher output limit and the US issuing more exemptions from
sanctions on buying Iran's crude oil. Conversely, US natural gas
prices increased for the third consecutive month after a US
government report showed a smaller--than--expected gain in
supplies, in addition to weather concerns. Industrial metals were
generally higher on speculation that the EU agreement will help
contain the region's debt crisis. Gold prices moved up as investors
still sought safe-haven investments. Agricultural commodities were
the standout performers in June as price action was primarily
driven by the weather. Corn, wheat and soybean prices pushed
considerably higher as hot and dry weather throughout the US
Midwest threatened to curb yields. Exposure in the sector is muted,
with small long positions in oil based commodities driven by the
concerns surrounding possible escalating tensions in the Middle
East.
Strategy Overview
Discretionary: -0.68%. Most managers were negative for the
month, with losses driven largely by currencies. Short euro versus
US dollar positions were particularly detrimental to the portfolio
as the euro rose 2.4% against the US dollar. Short Australian
dollar versus US dollar positions, which many managers held as an
expression of slowing growth in China, also proved unfavourable. In
fixed income, losses came from being long US government bonds and
long the front end of the European curve. Equity positioning was
generally light, although short positions in European and US
indices detracted marginally from performance. On the positive
side, discretionary managers with an emerging market bias fared
better, with profits deriving from long positions in the Mexican
peso and non-Japan Asia currencies, as well as long positions in
Mexican and Brazilian rates.
Systematic: -3.04%. Given the shift in risk sentiment during the
month, trend followers suffered from reversals in many of the same
asset classes that had contributed so strongly to May's
performance. The most pronounced losses came from long US dollar
and long US fixed income positions. Smaller losses came from short
equity index positions, where exposure shifted from long to short
at the end of May, as well as short exposures to energy and metals.
On the non-trend following side, managers primarily suffered from
being long US treasuries and to a lesser extent German bunds.
Additional losses were driven by long positions in the Japanese yen
versus the euro and short positions in the Australian dollar.
Natural Resources: +0.36%.Although commodity prices rebounded
sharply at the end of the month, many managers had reduced their
risk levels after the losses earlier in the month and failed to
capture the end of month rally.
Relative Value Arbitrage: +0.60%.Most managers in this category
were successful, with particular gains coming from one manager
using liquidity based factors.
Number of
Allocation Managers as
as of 29 June of Performance by
Strategy % 29 June Strategy %
-------------------------- --------------- ------------- -----------------
June YTD
-------------------------- --------------- ------------- -------- -------
Discretionary(1) 54 22 -0.68 +0.72
-------------------------- --------------- ------------- -------- -------
Natural Resources 8 10 +0.36 -4.88
-------------------------- --------------- ------------- -------- -------
Relative Value Arbitrage 6 3 +0.60 +0.16
-------------------------- --------------- ------------- -------- -------
Systematic(1) 28 11 -3.04 -2.29
-------------------------- --------------- ------------- -------- -------
Cash 4 - - -
-------------------------- --------------- ------------- -------- -------
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/0567I_-2012-7-19.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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