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RNS Number : 6643T
Dexion Trading Limited
17 December 2012
Dexion Trading Limited (the "Company")
November Net Asset Value
The net asset value of the Company's Shares as of 30 November
2012 is as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
132.66 pence +0.11% -0.90%
-------------- ---------------- ----------------
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 Investment Adviser believes that relatively constructive
global economic data and positive news in many regions is cause for
cautious optimism. In the US, the outcome of the presidential
election has removed some uncertainty, whilst in emerging markets
the data is showing signs of improvement. Even in Europe, where the
economic situation remains precarious, the release of crucial
bailout funds for Greece has alleviated concerns in the region.
Fears, however, continue to centre around the US fiscal cliff, and
though a degree of compromise is likely to be reached by the end of
the year political concerns continue to cause some level of market
uncertainty. While many discretionary macro managers are reasonably
positive in their outlook, they are aware that prevailing fears
over the fiscal cliff could cause short-term market sell-offs, and
so their portfolios comprise bullish positioning with reasonable
amounts of hedging to provide protection in the event of a strong
negative turn in market sentiment.
Market Overview
The month started with a focus on the US elections and although
the result removed one source of uncertainty, any positive
sentiment quickly reversed as concerns resurfaced about the
impending fiscal cliff. Europe also continued to be a source of
concern; it was unclear for much of the month whether Greece would
receive its next bailout installment, while Spain continued to
delay a request for bailout funds. Radical suggestions from the
Liberal Democratic Party ("LDP") in Japan resulted in sharp market
movements in Asia, while positive economic data in China
temporarily alleviated fears of a hard landing.
With the notable exception of China, equity markets generally
rose during November. Equities suffered sell-offs in the first half
of the month as markets were concerned about the uncertainty over
the US fiscal cliff and the European debt crisis; however, in the
latter half, demand for risk assets resumed on the back of
constructive budget negotiations in the US and growing confidence
in Europe that Greece's creditors would finalise a deal to release
the next round of bailout funds. The eventual agreement provided
further evidence that the risk of a eurozone break-up is minimal.
Japanese equities posted outsized gains during the month, with the
Nikkei 225 Index returning 5.8% as LDP leader Shinzo Abe, who is
likely to be Japan's next prime minister, suggested that the Bank
of Japan should raise its inflation target from 1% to 2%. Although
Chinese stocks in Hong Kong closed the month higher following
favourable manufacturing and export data, mainland domestic
investors did not respond due to political and liquidity issues,
resulting in a 4.1% decline in the Shanghai Composite Index.
Managers generally continue to favour long equity positioning
globally, based on the vast amounts of liquidity permeating the
markets.
Developed market government bonds finished higher for the month,
driven primarily by continued accommodative monetary policies by
central banks, fading market sentiment and safe haven buying.
Notably, German two-year notes were sold at a negative yield for
only the second time on record as the debate over Greece's fiscal
sustainability boosted demand. Yields increased somewhat mid-month
on the back of relief following an agreement between EU finance
ministers and the IMF over Greek funding; however, yields later
resumed their downward trend as the fiscal cliff debate in the US
took a less constructive turn. European periphery spreads narrowed
as a result of the developments in Greece, while yields in France
also declined despite a downgrade by Moody's. In the developed
world, manager exposure is focused on long positions at the short
end of the European yield curve, given poor growth prospects.
Managers continue to trade European peripheral bonds tactically, a
continuing source of profitable opportunities. In the emerging
world, however, they remain selectively long emerging market
sovereign bonds, as these countries also need accommodative
monetary policies. Some emerging market-focused managers, however,
have also taken profits on many of these positions and, in some
instances, are even paying rates on the view that these bond
markets have now become over-extended.
The most noteworthy move in the foreign exchange market during
November was the sharp decline in the Japanese yen, which fell more
than 3% against the US dollar as the central bank faced growing
pressure from the government to pursue more aggressive monetary
easing measures. The euro ended flat versus the US dollar, despite
a mid-month decline of 2.5%, while higher yielding currencies,
including the Australian dollar and the Canadian dollar,
appreciated modestly. Managers continue to be short the Japanese
yen against the US dollar as they believe the trade has some room
to run in light of the Abe administration's aggressive fight
against deflation, which will most likely be achieved through a
weakening of the currency. In terms of other major currencies,
managers are generally trading the euro tactically and shorting
sterling. Long positions are dominated by emerging market
currencies versus the US dollar, taken largely by emerging
market-focused managers, as these should profit from beneficial
yield differentials.
In commodities, crude oil prices rose on news of
better--than--expected US economic data, rising German business
confidence and concerns that a cease--fire between Israel and Hamas
may not hold. Gasoline prices initially dropped as US inventories
rose and demand slid to an eight-month low in the aftermath of
Hurricane Sandy; however, they later increased to finish flat for
the month over concerns that US East Coast supplies would shrink as
refineries and terminals remained closed and fears that unrest in
the Middle East may spread. Natural gas prices fell sharply during
the last week of the month after a US government report showed an
unexpected gain in stockpiles as mild weather across the US reduced
demand. Gold prices finished marginally lower as a stronger US
dollar outweighed speculation that the US would expand monetary
stimulus. Base metals prices rallied on the back of improving
growth prospects in China, positive US economic data and on
optimism that US lawmakers would reach an agreement on the budget.
Agricultural commodities were generally lower, with soybeans
falling sharply following reports of decreasing demand from China.
Exposure in the sector is dominated primarily by long positions in
gold and, to a lesser extent, oil.
Strategy Overview
Discretionary: +0.96%. The vast majority of managers generated
positive returns for the month. Short positions in the Japanese
yen, a high conviction trade, proved to be one of the strongest
performance contributors. Elsewhere, long exposure to global
equities was also profitable. In fixed income, long positions along
the euro curve were accretive, as were long positions in European
peripheral bonds. Emerging market-focused managers registered
additional gains from long exposure to emerging market sovereign
bonds. These more than offset losses from long positions in
gold.
Systematic: -0.51%. Returns were somewhat dispersed within the
trend and non-trend sub-strategies. Among the trend following
managers, positive performance generally resulted from currency and
fixed income positions, namely short the Japanese yen and long
bonds. However, managers with a higher allocation to commodities
generated negative returns primarily as a result of long positions
in gold and base metals. On the non-trend following side, long
positions in the Japanese yen were the primary driver of negative
returns.
Natural resources: -1.08%. Long positions in gold equities were
the biggest detractor from performance, with the XAU index
declining by 9.5%. Long grain positions were also costly; however,
gains from long positions in oil offset some of these losses.
Relative value arbitrage: +0.42%. Although liquidity arbitrage
factors were negative, losses were offset by gains from statistical
arbitrage and fundamental stock picking.
Strategy Allocation Number of Performance by
as of 30 November managers as strategy %
% of
30 November
-------------------------- ------------------- ------------- -----------------
November YTD
-------------------------- ------------------- ------------- --------- ------
Discretionary(1) 55 22 +0.96 +3.82
-------------------------- ------------------- ------------- --------- ------
Natural resources 8 10 -1.08 +0.22
-------------------------- ------------------- ------------- --------- ------
Relative value arbitrage 6 3 +0.42 +1.78
-------------------------- ------------------- ------------- --------- ------
Systematic(1) 22 10 -0.51 -3.70
-------------------------- ------------------- ------------- --------- ------
Cash 9 - - -
-------------------------- ------------------- ------------- --------- ------
Total 100 44(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/6643T_-2012-12-17.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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