TIDMDTL
RNS Number : 1666K
Dexion Trading Limited
16 August 2012
Dexion Trading Limited ("the Company")
July Net Asset Value
The net asset value of the Company's Shares as of 31 July 2012
is as follows:-
(GBP) Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
133.50 pence +1.47% -0.28%
-------------- ---------------- ----------------
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
Given the continuing deterioration in Europe and the concerns
surrounding the slowdown in global growth, managers remain cautious
and at times bearish in their outlook. Many believe that in Europe,
the outlook is worsening and, while policy announcements
temporarily boost investor optimism and prompt short-term market
rallies, they fail to tackle the underlying growth problems in the
region. In the US, even though data has softened in the past few
weeks, that country still has better momentum than many of its
global counterparts. The housing sector in particular continues to
be the bright spot. However, the drag of Europe on US growth is
causing downward revisions to US GDP.
Market Overview
Risk assets fell early in the month as the European fiscal
crisis and global economic slowdown concerns weighed on markets. In
the US and China, data pointed to a weaker growth outlook. Europe
continued to experience disappointing news with the focus this
month on Spain, whose official GDP projection for next year was
revised downwards, while a number of Spanish semi-autonomous
regions asked the central bank for aid. Amid the turmoil, Spanish
bond yields soared to euro era record highs which prompted Spain to
implement a ban on short-selling for all Spanish securities. This
was followed by a move on behalf of Italy's regulator to ban
short-selling of Italian financial stocks. Towards the end of the
month, European Central Bank ('ECB') President Mario Draghi
indicated that he would do "whatever it takes" to save the euro.
Investors took Draghi's statement ("believe me, it will be enough")
as a sign that the ECB will resume buying peripheral bonds; as a
result, Spanish borrowing costs eased from their intra-month highs
towards the end of July but still rose on the month. Ultimately
both risk and safe haven assets rose during the month; while the
general climate of uncertainty and skepticism favoured safe haven
assets, late month optimism following Draghi's statement supported
risk assets.
After initially falling on signs of global economic weakness and
continued upheaval in Europe, global equity prices, with the
exception of major Asian markets, rallied towards month end and
ended July on a positive note as. Equity positioning is relatively
light and is dominated by two camps. The first group comprises
those managers who are short European and US indices, believing
that a synchronised global slowdown will put pressure on equities,
while the second group comprises those managers who are long
certain sectors of the US economy that continue to perform well
(such as housing), despite weakness in other areas.
Amid the general climate of doubt and investor skepticism,
global bond yields fell. US 10 year treasuries fell to a near
record low of 1.39% before ending the month at 1.47%. After
similarly falling to near all-time lows, German bond yields rose
half way through the month as Moody's revised its outlook for the
country from stable to negative. Despite the outlook downgrade,
yields on the 10 year bund ultimately fell during the month.
Managers continue to hold long positions at the short end of the
euro curve and to a slightly lesser extent the 5 to 10 year sector
of the US curve. Emerging market-focused managers have long
exposure to sovereigns which should continue to benefit from
accommodative monetary policy, namely Mexico, Venezuela, Brazil and
South Africa.
The euro fell amid bearish market sentiment, hitting a two year
low against the US dollar at one point as investors sought safety.
It experienced a climb towards the end of the month amid a
successful bond auction in Italy and hopes that Draghi would
deliver on his words. Nonetheless, the euro ended the month lower
versus its global counterparts, including the US dollar and
sterling, which rose strongly versus the euro despite the Bank of
England's announcement that it would expand its quantitative easing
('QE') program. The Japanese yen was the beneficiary of flows, as
the Bank Of Japan did not announce any additional monetary easing
at its policy meeting. The currency rose markedly against the euro
and, to a lesser extent, the US dollar. The rise in oil prices and
the late month increase in risk appetite was beneficial to
commodity currencies, which generally rose on the month. Emerging
market currencies rallied during the month as they were the
beneficiaries of investors' thirst for yield. Being long the US
dollar remains the predominant theme in the currency space given
the relative outperformance of the US. Some managers have decreased
their exposure, however, as they are aware that another round of QE
may weigh on the US dollar. Managers maintain short positions in
the euro while remaining cognisant of short-term rallies that may
be prompted by policy announcements. On the long side, they also
favour commodity currencies which should benefit from any
additional QE, as well as emerging market currencies which benefit
from investors' need for yield.
The commodity sector had a strong month with the Dow Jones-UBS
Commodity Index gaining 6.5% and the S&P North American Natural
Resources Sector Index gaining 3.1%. Amid the worst drought in 56
years, the hot and dry weather persisted throughout the US Midwest,
damaging crop yields and driving prices considerably higher. Oil
prices also rose amid an unexpected drop in US supplies, rising
tensions in the Middle East and on the back of speculation that
central banks would ease monetary policy to encourage growth,
particularly after China reported weaker second quarter
year-on-year GDP growth. Exposure in the sector is muted, with
small long positions in oil based on the possibility of escalating
Middle East tensions, as well as long positions in agriculture
based on dry weather conditions in the US.
Strategy Overview
Discretionary: +0.58%. Gains came from the currency sector,
namely short positions in the euro versus a number of currencies
particularly the US dollar, sterling and Japanese yen, as well as
the Australian dollar. Long exposure to emerging market currencies,
including the Mexican peso, Malaysian ringgit, Turkish lira and
South African rand versus the euro and US dollar was also accretive
to performance. Profits also came from long positions in fixed
income, namely long exposure at the front end of the euro curve,
longs in US treasuries as well as certain emerging market sovereign
bonds.
Systematic: +4.82%. Both trend and non-trend followers delivered
strong performance in July, with most of the profits coming from
currencies and fixed income. In fixed income, long exposure to US
and German government bonds proved particularly beneficial. In
foreign exchange, trend followers benefited primarily from short
positions in the euro, while non-trend followers generated gains
from longs in commodity currencies (e.g. the Australian dollar), as
well as the Japanese yen. Smaller gains came from long positions in
the agricultural sector. These profits more than offset losses from
short exposure to energy.
Natural Resources: +2.10%.Managers benefited from the upward
momentum in agricultural commodities amid severe weather conditions
in the US. Managers also benefited from long crude oil exposure, as
sanctions against Iran continued to curb global supplies and
tighter inventories.
Relative Value Arbitrage: -0.38%.Losses from equity market
neutral managers more than offset gains from managers using
liquidity based factors and equity statistical arbitrage
strategies.
Number of
Allocation Managers as
as of 31 July of Performance by
Strategy % 31 July Strategy %
-------------------------- --------------- ------------- -----------------
July YTD
-------------------------- --------------- ------------- -------- -------
Discretionary(1) 55 22 +0.58 +1.31
-------------------------- --------------- ------------- -------- -------
Natural Resources 8 10 +2.10 -2.89
-------------------------- --------------- ------------- -------- -------
Relative Value Arbitrage 6 3 -0.38 -0.21
-------------------------- --------------- ------------- -------- -------
Systematic(1) 26 11 +4.82 +2.42
-------------------------- --------------- ------------- -------- -------
Cash 5 - - -
-------------------------- --------------- ------------- -------- -------
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/1666K_-2012-8-16.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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