GMNT Gottex Market

 

TIDMGMNT 
 
RNS Number : 4479W 
Gottex Market Neutral Trust Limited 
18 November 2010 
 

          Gottex Market Neutral Trust Limited (the "Company" or "GMNT") 
(a closed-ended investment company incorporated with limited liability under the 
                 laws of Guernsey with registered number 46429) 
 
                          Interim Management Statement 
         For the three months from 1st July 2010 to 30th September 2010 
 
This Interim Management Statement has been produced solely to provide additional 
information to shareholders of the Company to meet the relevant requirements of 
the U.K. Listing Authority's Disclosure and Transparency Rules.  It should not 
be relied upon by any other party for any other purpose.  The Statement has not 
been audited. 
 
Market Review July 2010 - September 2010 
The global equity markets rose strongly during the third quarter despite the 
sustained mixed picture in the global economy.  After the positive effects of 
the government stimulus programs started to fade out slowly, many of the 
production, consumption and sentiment indicators lost momentum (or even turned 
negative) as the developed economies continued to suffer from elevated 
unemployment levels, weak housing data and austerity measures that are cutting 
into the pace of near term growth.  One of the exceptions is the U.S. though, 
where austerity by the government does not seem to be in the vocabulary.  Fiscal 
challenges continued to trouble the peripheral European Union economies as 
Ireland revealed that the cost of supporting its banking sector could mount up 
to EUR50 billion, which is more than a third of the national income in 2009. 
Growth in the emerging economies on the other hand remained robust, supported by 
strong balance sheets, conservative governments, and an expanding manufacturing 
base, which was reflected by the continued tightening of monetary policy over 
the quarter. 
 
Following the correction in June, a strong reversal of the downward trend began 
to set in at the beginning of the third quarter, with the result that equity 
markets finished July up strongly, and equity volatility plummeted.  The 
corporate earnings season bolstered the market recovery thanks to solid earnings 
numbers.  However, as in previous quarters the profit increases were 
predominantly based on efficiency and productivity gains rather than revenue 
growth.  At mid-quarter the market rally petered out as investors revised their 
expectations for economic growth downwards.  To some extent we believe investors 
were guided toward this view by central bankers' comments and actions as the 
Federal Open Market Committee ("FOMC") decided at its August meeting to reinvest 
the paydowns from its USD 1.25 trillion MBS portfolio into Treasuries, rather 
than letting that portfolio run off.  We believe other contributing factors for 
the swing in investors' risk appetite were the increase in jobless claims as 
well as weak signals from the Philadelphia Fed Index, prompting fears that the 
US economy might be heading for a double-dip recession. 
 
This fear of a double-dip in global economic activity receded in September, 
igniting a very strong month for equities globally.  We believe the main 
catalyst to the recovery was the announcement from the US Federal Reserve that 
it was willing to support growth by embarking on a second round of quantitative 
easing ("QE2").  Despite the positive impact the prospects of a second round of 
quantitative easing had on the markets it indicates as well that a 
self-sustaining economic recovery is yet to be seen as central banks and 
governments continue to play a pivotal part in artificially boosting the 
economy. Despite the drop in August, the MSCI World (Gross) Index posted a 
double-digit gain of 13.89% for the quarter while the MSCI AC Asia Pacific Index 
returned 13.13%.  Regionally, the US was the second best performing equity 
region behind Emerging Markets, with the S&P 500 Total Return Index returning 
11.29% for the third quarter, whilst Japan was by far the worst as political 
uncertainty and the strength of the Yen weighed down on sentiment. 
 
Usually, an increase in investors' risk appetite would be accompanied by a 
selloff in government bonds.  However, in July the 2-year US Treasuries yield 
fell by 6 bps while the yield for 10-year paper fell by 3 bps and in August the 
2-year US Treasuries yield fell by 8 bps while the 10-year yield fell by 27 bps, 
bringing the spread between the two down to just 200 bps.  In September 
shorter-dated maturities rallied (5-year in particular), but longer-term bonds 
sold off.  One of the Federal Reserve's favorite gauges of inflation - the 
5-year rate, 5 years forward - moved sharply upward on the month (from 1.98% to 
2.45%), indicating that at least some market participants had started 
considering the implications of another quantitative easing program.  Corporate 
credit markets did quite well, while investment grade bonds benefited from the 
rally in government debt.  The Barclays Aggregate Bond Index, a measure of 
investment grade bond performance, returned 2.49% for the third quarter, 
bringing the YTD to 7.95%, ahead of global equities as measured by the MSCI 
World (Gross) Index (YTD 3.01%). 
 
Although the creditworthiness and solvency of peripheral European countries 
dragged on the euro, the single currency's recovery against the US-dollar, the 
Japanese yen and the British pound sterling continued throughout the third 
quarter.  In light of the disappointing economic data in the US and the renewed 
fears of a recession the Japanese yen as well as the Swiss franc acted as 
"retreat" currencies for investors, causing the yen to reach new 15-year highs 
against the greenback.  As Japan's ailing economy depends on an export-led 
recovery, the Bank of Japan intervened by selling yen and buying dollars instead 
in order to devaluate their currency. 
 
Gottex Market Neutral Trust Limited - Performance Overview 
 
Table 1: Gottex Market Neutral Trust Limited Historical Performance 
+------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+---------+ 
|      | Jan    | Feb    | Mar    | Apr    | May    | Jun    | Jul    | Aug    | Sep    | Oct    | Nov    | Dec    | Year    | 
+------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+---------+ 
| 2010 | 0.49%  | 0.06%  | 0.91%  | 0.27%  | -0.10% | -0.95% | 0.02%  | 0.62%  | -1.62% |        |        |        | -0.32%  | 
+------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+---------+ 
| 2009 | -0.22% | -0.30% | -0.90% | -0.19% | 2.01%  | 1.92%  | 1.66%  | 1.63%  | 1.99%  | 1.08%  | 0.20%  | 0.90%  | 10.29%  | 
+------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+---------+ 
| 2008 | -0.10% | 0.50%  | -0.66% | -0.66% | 1.47%  | 0.68%  | -1.68% | -0.64% | -4.28% | -9.04% | -5.06% | -3.15% | -20.85% | 
+------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+---------+ 
| 2007 |        |        |        | 0.97%  | 1.12%  | 0.32%  | 0.10%  | -2.33% | -0.23% | 2.18%  | -0.45% | -0.05% | 1.57%   | 
+------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+--------+---------+ 
 
No guarantee is given as to the accuracy, completeness and reasonableness of 
this information.  Past performance is not indicative of future results. The 
strategies on this page have been selected by Gottex Fund Management. 
 
As a reminder the Interim Management Statement released after Q1 2010 reported, 
following a vote at the EGM held on 11 March 2011, that the fund was to be 
managed with the sole purpose of cash generation. As a result of this vote, the 
majority of assets have now been liquidated and as such standard analysis and 
performance attribution is no longer valid. 
 
As of 29th October 2010, GMNT shares were trading at approximately 7.5% discount 
to NAV. At 30th September 2010, the portfolio contained 29 positions with a 
total value of $6.2m. 
 
All Enquiries: 
Company Secretary 
Andrew Maiden 
Northern Trust International Fund Administration Services (Guernsey) Limited 
Email :              ARM7@ntrs.com 
Tel:                   01481 745368 
Fax:                  01481 745186 
 
 
This information is provided by RNS 
            The company news service from the London Stock Exchange 
   END 
 
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