TIDMDTL
RNS Number : 4182J
Dexion Trading Limited
16 July 2013
Dexion Trading Limited (the "Company")
June Net Asset Value
The net asset value of the Company's Shares as of 28 June 2013
is as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
139.15 pence -1.75% +3.00%
-------------- ---------------- ----------------
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 12 March 2008.
Monthly Portfolio Review
Investment Adviser Portfolio Outlook
June was a particularly volatile month and managers generally
felt that the markets had overreacted to Bernanke's tapering
comments. This has led to more cautious trading by managers in
light of June's turmoil, but their fundamental views remain
generally unchanged. They still hold a positive view on the US
economic recovery, with further good news in the housing,
employment and manufacturing sectors. Furthermore, it is noted that
the Fed will be the first central bank to exit its accommodative
policy, which should support the US dollar versus most other
currencies. In Japan, many still believe that the 'Japan trade' has
further to run, but it has become a more volatile trade given the
significant rally in the Nikkei year-to-date. While some remain
bearish on Europe, systemic risks are still fairly contained. Most
are generally more bearish around China due to the concerns of a
credit bubble in the region. The developed market focused managers
tend to be more constructive on the developed markets than their
emerging markets counterparts. In light of adverse price action in
the emerging markets, regional focused managers have generally
reduced their risk in the portfolios, particularly in equities and
currencies. However, they note that once volatility has subsided
this will potentially provide attractive entry points.
Market Overview
Markets were dominated by volatility in June with the actions of
the major central banks being closely scrutinised. In particular,
the Federal Reserve's communication on phasing out market purchases
set the tone for much of the month as its interpretation by the
markets resulted in violent price action and reversals of former
trends. Investors were rattled in light of the rise in yields and
potential tapering of the Fed's QE even as US economic data
continued to prove resilient. At the same time, concerns
surrounding the Chinese economy increased as credit conditions
tightened and the flash Chinese PMI fell to a nine-month low.
Emerging markets were hit particularly hard as Chinese weakness was
coupled with geopolitical events in the Middle East. Towards
month-end, markets were somewhat placated amid comments from the
Federal Reserve that monetary policy would remain accommodative if
the US economy fails to improve in line with forecasts, while the
People's Bank of China took steps to alleviate liquidity concerns
for local banking institutions.
Global equity markets finished lower in June. In the US, equity
markets had initially moved higher on positive jobs data, but then
shifted lower on speculation that the Fed would rein in easy-money
policies and then fell sharply after Bernanke's comments failed to
appease markets. Into the month-end, US equity indices recouped
some of these losses on healthier US economic data and after Fed
officials sought to quell concerns of a 'misperception' that the
Fed had signalled tighter policy. In Asian markets, the prospect of
a potential credit crisis in China, along with revised growth
estimates, resulted in a decline in Asian equities, with Chinese
stocks particularly hard hit. Volatility also permeated Japanese
equity markets during the month, with the Nikkei posting a single
day loss of more than 6% on June 13th following the Bank of Japan's
decision to leave their policy measures unchanged. Japanese
equities pared some losses into month-end as the Japanese yen fell
sharply versus the US dollar, providing a boost to Japanese export
stocks. European equities were hit hard during the month as the
region continued to struggle to find a solution to deal with rising
unemployment and as austerity measures continued to hamper growth,
with the EU economy contracting for a sixth successive quarter. In
the final week of the month, global equity markets recovered some
of the month's earlier losses as comments from the Fed eased
investor concerns regarding the end of the bank's QE program.
Managers have long exposure to US, Japanese and European equities
based on the explicit pursuit of reflationary policies by central
banks and/or positive economic data. Positioning, however, has
become far more tactical in light of recent market volatility.
Accordingly, some managers also hold long exposure to volatility in
this asset class. Developed market focused managers are generally
short emerging market equities, while emerging market focused
counterparts have essentially neutralised their equity
exposures.
The continued uncertainty regarding possible Fed tapering of its
asset purchasing program later this year and an improving outlook
for the US resulted in a further rise in US interest rates, while
non-US yields were also dragged higher by an increase in
correlations. The ECB and BoJ served to intensify concerns
regarding the end of loose global monetary policy as both central
banks failed to introduce further accommodative actions during the
month. Emerging market bond yields moved sharply higher,
experiencing considerable capital outflows. In the US, managers are
short US treasuries in light of continued solid economic data. They
also have exposure to eurodollar curve steepeners. In Japan, some
managers have small short exposure to JGBs. In Europe, managers are
maintaining long positions along the euro curve given the sustained
economic malaise. In the emerging markets, the picture is more
mixed, with developed market focused managers having a short
emerging market credit bias, while emerging market focused
counterparts are maintaining long exposures in markets they feel
have oversold indiscriminately (for example, the front-end in
Brazil), particularly against a backdrop of relatively lower growth
and inflation. Such managers are also short markets that they feel
are particularly susceptible to continued liquidation due to
technical positioning (for example, particularly high foreign
ownership).
The US dollar was mixed during the month. Against developed
market counterparts, particularly the euro and sterling, the US
dollar was little changed, despite sharp intra-month price
movements. It initially weakened against the euro, sterling and
Japanese yen over concerns regarding US policy, a move which
subsequently reversed as weakness in the Chinese economy resulted
in safe haven US dollar buying. While the US dollar ultimately fell
against the Japanese yen, the US dollar appreciated against
emerging market and commodity currencies, with the Australian
dollar and New Zealand dollar suffering from concerns of weaker
commodity demand from China. The developed market focused managers
have a long US dollar bias as they view the Fed's language
regarding tapering to be supportive of the greenback. Short
exposure tends to be held in commodity currencies given the
continued pressure on the asset class. They also maintain shorts in
Japanese yen, believing that the reflation trade has further room
to run, as well as the Swiss franc, due to reduced safe haven
flows.
Commodities experienced a varied June. Crude oil prices climbed
on stronger US economic data and increasing Middle East tensions,
particularly in Syria and Egypt. However, natural gas prices moved
sharply lower, resulting in the first quarterly drop since Q1 2012,
as forecasts of milder weather across the eastern US signalled
lower consumption. Gold prices moved markedly lower on the prospect
of Fed tapering and declining inflation expectations. Base metals
prices moved lower amidst uncertainty over the strength of Chinese
demand. Agricultural commodity prices were mixed, with corn and
soybean prices rising on tighter physical supplies, while wheat
prices fell considerably on signs of record global output and
reduced demand for US supplies. Whilst light, exposure is generally
expressed through short gold positions.
Strategy Overview
Discretionary: -0.81%. June was a challenging month for
managers, particularly the emerging market focused managers, given
the severity of the downward re-pricing of assets. More
specifically, emerging market focused managers incurred losses from
being long emerging market currencies and bonds in light of the
sell-off in these asset classes. On the developed market side, the
picture was more mixed, with some managers registering losses from
long equity and long US dollar/short Japanese yen exposure, while
others benefitted from euro-dollar curve steepeners and shorts in
US treasuries. In addition, being long volatility in equity markets
was accretive, while short gold added to returns in some cases. For
developed market focused managers, long US dollar positioning
resulted in flat performance as gains from long US dollar versus
emerging market and commodity currencies were offset by losses from
long US dollar versus developed market counterparts.
Systematic: -4.03%. During the month, the trend following
managers suffered amid the continued reversal in many of the
longer-term trends, particularly in fixed income. The decline in
equities resulted in losses, while the mixed performance of the US
dollar also proved challenging. Among the non-trend following
managers, performance was mixed, with losses coming from long
Canadian dollar and from long positioning in European short-term
rates. One non-trend currency manager posted notable gains
fromshort positions in commodity currencies, including the
Australian dollar and the New Zealand dollar.
Natural resources: -4.22%. June was a difficult month for this
sector as fundamental stock picking was of little benefit as the
market sell-off gathered steam.
Relative value arbitrage: -0.82%. This sector struggled from
long positions in emerging markets, as well as longs in
gold-related equities. Energy trading also detracted from
returns.
Strategy Allocation Number of Performance by
as of 28 June managers as strategy %
% of
28 June
-------------------------- --------------- ------------- -----------------
June YTD
-------------------------- --------------- ------------- ------- --------
Discretionary(1) 58 19 -0.81 +8.30
-------------------------- --------------- ------------- ------- --------
Natural resources 5 8 -4.22 -10.23
-------------------------- --------------- ------------- ------- --------
Relative value arbitrage 7 3 -0.82 +6.07
-------------------------- --------------- ------------- ------- --------
Systematic(1) 19 7 -4.03 -2.37
-------------------------- --------------- ------------- ------- --------
Cash 11 - - -
-------------------------- --------------- ------------- ------- --------
Total 100 36(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/4182J_-2013-7-16.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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