TIDMDTL
RNS Number : 1040O
Dexion Trading Limited
16 September 2013
Dexion Trading Limited (the "Company")
August Net Asset Value
The net asset value of the Company's Shares as of 30 August 2013
is as follows:-
GBP Shares
NAV MTD Performance YTD Performance
-------------- ---------------- ----------------
136.42 pence -1.55% +0.98%
-------------- ---------------- ----------------
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
Despite a relatively challenging summer, we continue to be
optimistic with regard to the outlook for macro strategies.
Managers hold significant conviction in their trades and believe
that the opportunity set is rich across asset classes, in
particular fixed income, foreign exchange and equities. In
addition, the global macro backdrop is increasingly conducive for
macro: the major central banks are not only embracing divergent
monetary policies (e.g. Fed tightening, Bank of Japan loosening)
but there are also varying economic outlooks between different
regions, in particular developed versus emerging markets. In the
US, even though some recent data indicates less acceleration in the
economy, the fact remains that most economic indications remain
robust and markets anticipate the unwinding of quantitative easing.
In Europe, there has been cause for optimism from recent economic
data. Managers, however, remain slightly cautious as the political
risks are still much higher in Europe than in the US, as is the
need for continued deleveraging. In Japan, the authorities are
still pursuing unprecedented levels of quantitative easing in
recognition of the falling unemployment rate and improving growth.
While many managers continue to hold bearish views on China, there
has been improvement in recent data. In addition, recent policy
developments have been positive (e.g. moves to allow banks to pay
more on deposits and the government's strong anti-corruption
drive). The emerging markets continue to face a challenging
environment as a result of the Chinese slowdown and the ripple
effects associated with the slowing of stimulus in the US. Emerging
market countries with sizable current account deficits and large
foreign debt holdings remain the most vulnerable, not helped by
volatility resulting from the deteriorating situation in the Middle
East.
Market Overview
Risk assets declined in August as investors continued to focus
on the prospect of US tapering and, later in the month, as
geopolitical tensions in the Middle East escalated. In the US,
economic data generally remained encouraging, while Europe also
showed signs of improvement with GDP numbers suggesting the region
is slowly exiting recession. In Asia, Japan policy momentum
continued to strengthen, with Abe considering cutting the corporate
tax rate to support growth, while China appeared to be stabilising.
However, any good news was overshadowed by escalating fears that
the Fed may begin tapering its stimulus program as early as
September and, later in the month, by heightened expectations for
military action by the US in Syria.
Global equity markets slumped in August with the MSCI World
Index (local currency) falling 2.3%. Developed markets were weighed
down as US Federal Reserve officials indicated once again at the
start of the month that the Fed may begin tapering in September in
response to better than expected US data releases, including
encouraging ISM figures. Emerging markets also showed continued
weakening, particularly towards month-end as tensions in Syria
intensified. However, on a more positive note, China did post
strong gains with the Shanghai SE Composite gaining 5.3% in August
on the back of strong PMI and export figures. Managers have long
exposure to US, Japanese and, to a lesser extent, European
equities. In the US, managers are focusing on the positive economic
momentum; in Europe, the gradually improving economic climate, and
in Japan, the pursuit of reflationary policies by the Bank of
Japan.
Most major developed market bond yields rose in August, with the
notable exception being Japan. In the US, 10-year yields reached
two-year highs on the back of continued US economic progress.
European yields were likewise higher amid stronger than expected
PMIs, as well as German ZEW and IFO reports. Japanese government
bond yields moved lower during the month as the Bank of Japan
shifted towards an unconditional easing bias, emphasising the fight
against deflation as their number one priority. The impending
unwinding of stimulus in the US also weighed further on emerging
market bonds, as several years of strong yield-seeking inflows
continue to reverse. In the US, managers are short US treasuries
and hold curve steepening positions in light of the continued trend
of underlying economic strength and the seemingly inevitable start
of tapering. In Europe, managers maintain long positions along the
euro curve since risks remain, namely political uncertainty and a
number of persistent economic risks. In emerging markets, the
picture is more mixed. Some managers maintain long exposures in
markets they feel are oversold and where solid fundamentals still
warrant such exposures, while others are short countries that have
relied significantly on significant foreign capital inflows in
recent years and are now running considerable current account
deficits.
Currency markets generally lacked clear direction in August. The
US dollar finished lower against sterling, but advanced against the
Japanese yen and most emerging market currencies. Sterling also
rose against the euro, posting the biggest monthly gain since
January as the Bank of England governor Mark Carney announced that
the bank will maintain its "exceptionally accommodative stance on
monetary policy until economic slack has been substantially
reduced". The US dollar appreciated marginally versus the euro and
Japanese yen, supported by the rise in US treasury yields and safe
haven buying amid the prospect of US military action against Syria.
Emerging market currencies also declined on the back of heightened
risk aversion and growing fears of an economic slowdown in emerging
markets. Managers typically maintain a long US dollar bias given
the likelihood of US tightening. In addition, some note that on a
valuation perspective the US dollar is quite inexpensive. Short
exposure continues to be held in commodity currencies given the
pressures on these markets. Except for the Mexican peso, shorts are
also held in various emerging market currencies in light of the
many headwinds these countries now face. Managers also maintain
shorts in: the Japanese yen, on the basis of divergent monetary
policy (compared to the US); in the euro, based on eurozone
economic weakness; and the Swiss franc, due to reduced safe haven
flows.
In the commodities segment, crude oil prices finished higher on
increasing tensions and the possibility of supply disruptions in
the Middle East. Natural gas prices climbed on reports of lower
than expected US stockpiles into month-end as a result of stronger
industrial demand. Gold prices continued to rally - breaking
through the $1,400/oz level during the month - on concerns over the
timeline for tapering in the US. Silver prices were markedly higher
in August. Base metals prices, particularly copper, rose as strong
Chinese manufacturing and real estate construction data bolstered
expectations for increased demand. In agricultural commodities,
soybean prices initially dipped in anticipation of record US yields
before rallying strongly on drier weather conditions across the US
midwest, generating speculation that crop yields may fall below
previously forecasted USDA levels. Whilst light, exposure is
generally expressed through short gold and long energy
positions.
Strategy Overview
Discretionary: -1.45%. August proved a relatively challenging
month for this group of managers and losses were generally
widespread. Long positions in developed market equity indices
detracted from returns amid the sell-off in risk assets. In fixed
income, long exposure in Europe - along the euro curve but also in
gilts - proved costly and offset gains from bearish positioning in
the US. Managers' long US dollar bias against sterling resulted in
small net losses which overwhelmed any gains from USD/JPY, USD/CAD
and USD/EUR. Emerging market focused managers suffered from being
long emerging market bonds, namely Brazil and to a lesser extent
Mexico and South Africa. These more than offset their gains from
shorts in other emerging market bonds, such as Korea and the Czech
Republic. Long exposure to the Mexican peso also detracted from the
month's performance.
Systematic: -2.20%. Trend following managers were caught out by
the sharp reversal in equity and precious metal prices during the
month. Currency positions also proved costly, primarily short
positions in sterling. Among the non-trend following managers,
losses from long positions in German bonds were offset by
significant gains from short Canadian dollar and long sterling
positions.
Natural resources: -0.50%. Managers with long positions in gold
and gold-related equities benefited from the strong run-up in gold
prices during August. Gains were further bolstered by the jump in
energy prices on the back of concerns over a potential US strike on
Syria. Some of these gains were offset by losses in the
agricultural sector amid short positions in corn and soybeans.
Relative value arbitrage: -0.64%. Losses in statistical
arbitrage strategies were somewhat offset by gains in fundamental
stock picking.
Strategy Allocation Number of Performance by
as of 30 August managers as strategy %
% of
30 August
-------------------------- ----------------- ------------- -----------------
Discretionary(1) 61 19 -1.45 +6.48
-------------------------- ----------------- ------------- -------- -------
Natural resources 6 9 -0.50 -7.89
-------------------------- ----------------- ------------- -------- -------
Relative value arbitrage 8 3 -0.64 +8.72
-------------------------- ----------------- ------------- -------- -------
Systematic(1) 19 7 -2.20 -6.74
-------------------------- ----------------- ------------- -------- -------
Cash 6 - - -
-------------------------- ----------------- ------------- -------- -------
Total 100 37(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/1040O_-2013-9-16.pdf
This information is provided by RNS
The company news service from the London Stock Exchange
END
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