September 2008 Factsheet

    RNS Number : 2628G
  Bramdean Alternatives Limited
  21 October 2008
   

    RNS Announcement 
    21 October 2008

    Factsheet September 2008

    Bramdean Alternatives Limited

    This Factsheet contains commentary and news for the calendar month ending 30th September 2008, unless otherwise stated. 

    September Estimated Net Asset Values

    Sterling shares:       100.72p 
    U.S. Dollar shares:  US$0.9432


    Overview
    Bramdean Alternatives Limited, (the "Company") is a Guernsey-based Investment Company listed on the London Stock Exchange. The Company
invests in a diversified portfolio of private equity funds, hedge funds and other specialty funds.


 KEY FACTS

 Market Capitalisation           £114.0 million

 Manager                         Bramdean Asset Management LLP

 Annual Management Fee           1.5%

 Performance fee                 10% subject to an 8% return and a high watermark

 Company Brokers                 Cenkos Securities Plc

 Sterling class share price on   79.50p
 30th September 2008  

 Sterling class issue price      100.00p
 (9th July 2007)  

 Number of Sterling shares in    97,701,842
 issue  

 U.S. Dollar class share price   US$ 0.98
 on 30th September 2008  

 U.S. Dollar class issue price   US$ 1.00
 (9th July 2007)  

 Number of U.S. Dollar shares    65,988,142
 in issue  

 Minimum investment              N/A

 Dealing                         Daily

 Valuation                       Monthly

 NAV publication                 Monthly

 September Sterling Estimated    100.72 pence
 NAV per share  

 September U.S. Dollar           US$ 0.9432
 Estimated NAV per share  

 Total common assets             US$ 238,120,694

 Total Estimated Net Asset       US$ 237,642,664
 Value  

 Half-year end                   30th September 2008

 Financial year end              31st March 2009

 Company Secretary and           Royal Bank of Canada Offshore Fund Managers Limited
 Administrator     

 Registrar                       Capita Registrars (Guernsey) Limited

 Stock Exchange code (Sterling   BRAL
 shares)  

 Stock Exchange code (US Dollar  BRAU
 shares)  

 Sedol code (Sterling shares)    B1XCHB9

 Sedol code (US Dollar shares)   B1XCLF1

 ISIN code (Sterling shares)     GG00B1XCHB94

 ISIN code (US Dollar shares)    GG00B1XCLF11



    SEPTEMBER MARKET COMMENTARY

    No-one suspected the prescience of Hurricane Gustav as it whirled across Mississippi and Louisiana at the beginning of September. A few
days after the Cern particle-smashing experiment averted opening a black hole in the universe, the financial world was hurtling towards its
own black hole that would, among other developments, swallow up two of the four remaining independent U.S. investment banks, trigger the
conversion of the remaining two to bank holding companies, see the effective nationalisation of more than half of the U.S. mortgage
financing market, sweep the mighty AIG insurance combine into U.S. Government protection and claim the independence of the UK bank, HBOS. 

    By mid-September the world was in a state of shock after a single week changed the shape of the financial services industry.
Commentators struggled to keep up with the magnitude and speed of the breaking news. 

    The contagion started with the collapse in confidence in the two U.S. mortgage financiers, Freddie Mac and Fannie Mae, which triggered a
rout in equity markets. The U.S. Government stepped in, taking the two giants into 'conservatorship'. The consequent euphoria in markets was
short-lived as financiers and investors turned their attention to Lehman Brothers, prompting a 45% decline in its share price in one day. 

    As news emerged that Lehman's rescue talks had faltered with Korea Development Bank, emergency talks were triggered over a weekend that
resulted in 158-year old Lehman filing for bankruptcy and the takeover of Merrill Lynch by Bank of America in a US$50 billion transaction.
The markets were not satisfied, turning their sights on insurance giant AIG and lining up Morgan Stanley and Goldman Sachs as their next
targets. 

    Global equity markets collapsed; yields on U.S. Treasury bills hit their lowest level since the London Blitz; gold registered its
biggest one-day gain ever and lending between banks in effect stopped. By Wednesday 17th September, the U.S. Federal Reserve had extended a
rescue loan of US$85 billion to AIG on punitive terms of 8.5% over LIBOR, the British HBOS bank fell to Lloyds TSB after a precipitous fall
in its share price and Morgan Stanley opened talks with Wachovia and China Investment Corporation. As investors fled markets, the yield on
3-month Treasury bills fell to 0.02% and gold soared by over 11% to US$866.47. 

    As Friday 19th September dawned, the U.S. Federal Reserve unveiled plans for a Government-sponsored vehicle to take the so-called
'toxic' mortgage debt off banks; it pumped US$180 billion of liquidity into money markets; the U.S. Treasury announced a US$50 billion
temporary insurance scheme for money market funds. Crucially, widespread curbs on short-selling were also announced. The combination of
these measures finally halted the rout and equity markets rebounded strongly. By the end of that Friday, the FTSE-100 Index had gained an
historic 8.84%, the S&P 500 rose by 4%, the FTSE Eurofirst 300 Index by 8.2%. Oil strengthened by 6.15% to US$103.98. 

    But the recovery was short-lived. The U.S. Treasury's planned US$700 billion rescue package, called the Troubled Asset Relief Programme
(TARP), was criticised by Senators and in its first draft was subsequently rejected by the House of Representatives, triggering the worst
one-day fall in share prices since the 1987 Crash. Morgan Stanley selected Mitsubishi UFJ Financial Group as its white knight, while
Wachovia looked set to fall to Citibank. Over in the UK, the Government nationalised Bradford & Bingley's mortgage book and sold that
entity's deposits book and branches to Spain's Santander. 

    The contagion spread to Europe as the month drew to a close. Dexia, the Belgian-French bank, received a EUR6.4 billion cash injection
from Belgian, French and Luxembourg Governments after its shares lost 30% of their value. First signs of the rumoured trouble in Iceland
began to emerge as the Icelandic Government nationalised Glitnir Bank.

    But on the final day of trading in September, hopes that the House of Representatives would accept the second presentation of TARP
caused a rebound in global stock markets. The bounce was not enough though to recover the enormous losses in share price values over the
month. The FTSE-100 Index closed the month down 13%, resulting in a 12.9% loss over the third quarter 2008; the S&P 500 Index fell by 9.2%;
the FTSE Eurofirst 300 Index fell by 10.9% and the MSCI World Index fell by 12.1%. Gold closed the month at US$879 and oil at $100.64. The
U.S. Dollar continued to strengthen, gaining 2.2% to $/£ 1.78 against Sterling and by 4% against the Euro to $/EUR 1.41. 



    PORTFOLIO NEWS

    General

    The underlying unaudited performance in September was -1.47% for the Sterling share class and
    -3.18% for the U.S Dollar share class. This compares to falls of 5.76% and 6.55% for the HFRI Fund of Funds Composite Index and Credit
Suisse/Tremont Hedge Fund Index. 

    The discrepancy in performance between the two Share classes is caused by the continued strengthening of the U.S. Dollar, which
appreciated by a further 2.2% during September. The Company hedges at the Share class level with the Sterling Share class hedging, during
September, 70% of its U.S. Dollar and Euro exposure, while the U.S. Dollar hedged, during September, 70% of its Euro and Sterling exposure.

    There are 37 holdings in the Company's overall portfolio. During the month, the Company's switch into Renaissance Institutional Futures
Fund became effective and the redemption from Platinum Grove Contingent Capital Offshore Fund Ltd. was completed. Otherwise, no further
changes were made to the Company's portfolio during September. 

    The stand-out performers during September were Arcas MAC 79 Ltd. and Kei Limited. Paulson Advantage Plus Ltd. once again performed
strongly. Positive performance was also returned by Rye Select Broad Market XL Portfolio Limited and Evergreen MAC.

    Overall, the Company's hedge fund investments experienced mixed fortunes during the month with Atticus European, Enso Global Equities
Fund Limited, York European Opportunities Unit Trust, York Asian Opportunities Unit Trust, Oak Hill Credit Alpha Fund Offshore Ltd., Hard
Assets 2X Fund and Lansdowne UK Equity Fund struggling. The remainder of the Company's hedge funds showed resilience and comfortably
out-performed the hedge fund indices during the month. Once again, Managed Futures was the strategy that performed strongly.

    We have previously reported the changes we proposed to make to the Company's Transitional portfolio to reduce the exposure to market
volatility. Although we have identified ten new funds from our shortlist, we have taken the decision to hold cash from the redemptions we
receive until the extreme volatility in financial markets subsides. One new further investment only will be made in the short-term and this
has taken effect as of 1st October 2008 with a holding in a lower-levered fund from Kaiser, Kaiser Trading Fund.  

    The Company, therefore, continues to hold cash, which amounted to 9.8% of the portfolio at 30 September 2008. 


    Private Equity and Specialty


    The Company has now made commitments to seventeen underlying private equity funds and underlying specialty funds amounting to
approximately $222 million, taking into account the U.S. Dollar's appreciation over the month. No new commitments have been made during
September. 

    The total amount that has been drawn-down on the commitments made is approximately 
    $71.9 million, with approximately $4.1 million of capital having been drawn-down in September. The Company received one distribution
during September from Greenpark International Investors III L.P. and has now received total distributions of $2.1 million since inception.

    Capital calls were received from five of the underlying funds while one fund reported a negligible downwards revaluation for the second
quarter 2008.The private equity and specialty portfolios are performing as expected, with much of the portfolio going through the J-curve
currently and so experiencing the initial losses that are typically incurred as private equity firms begin improving their portfolio
companies. The secondaries private equity funds are providing support for the portfolio, continuing with distributions as expected to
balance against the capital calls for other funds. Some of the 2006 investments are coming to a stage where they are starting to consider
exit options and pricing. The distressed debt managers to which the Company committed late last year and earlier this year have started
investing into certain quality distressed situations during the current quarter, as the investment manager had anticipated. These
commitments are expected to draw heavily over the next two years to take advantage of the prime opportunity for distressed assets and are expected to generate good returns as a result.


    Transitional Portfolio

    The portfolio held seven funds at 30 September having submitted redemption notices to six managers during August, including Renaissance
Institutional Equities Fund (RIEF). During the month, redemption proceeds from Platinum Grove Contingent Capital Offshore Fund were
received, while 90% of the proceeds from RIEF were re-invested in Renaissance Institutional Futures Fund. The remaining 10% of the
redemption proceeds from RIEF have been held in cash. The majority of the redemption proceeds from the other four funds will be received
during October.

    As of 1 October, there will be a total of four holdings in the Transitional portfolio: Defender Ltd, Aarkad Plc, Renaissance
Institutional Futures Fund and Kaiser Trading Fund. No further investments will be made in the short-term. 

    The Transitional portfolio returned -5.7%, including cash, during September and has returned an unaudited -8.1%, including cash, in the
calendar year-to-date compared with -11.82% year-to-date return for the HFRI Fund of Funds Composite Index and -9.87% for the Credit
Suisse/Tremont Hedge Fund Index. Since inception, the Transitional portfolio has returned -6.8%. 
        
    The portfolio's holdings in Aarkad plc and Defender Ltd. continued to show positive returns. The overall performance was impacted
primarily by Enso Global Equities Fund, but the returns from Renaissance Institutional Futures Fund, York European Opportunities Unit Trust,
York Asian Opportunities Unit Trust and Oak Hill Credit Alpha Offshore Fund Ltd. were also weak. 

    Our Transitional portfolio is designed to manage the cash that the Company commits to private equity and specialty funds but has yet to
be drawn-down. The Company may seek to implement portfolio protection through the use of derivatives from time to time for some portion of
the Transitional portfolio, though the Company has not used derivatives for this purpose to date.

    The Transitional portfolio was set up with three aspirations; to reflect private equity-type characteristics and returns, to preserve
capital over the medium-term and to be as liquid as possible so that the Company can meet its capital calls. Initially, to achieve these
aims the portfolio was largely invested in a series of specialist global equity managers, long/short equity and event-driven managers as
these classes demonstrate the most similar characteristics to private equity. The portfolio also aimed to reduce exposure to market risk
through market neutral and relative value funds. 

    In response to the continuing market turbulence, Bramdean has been reducing the emphasis on achieving private equity-type returns and
increasing the focus on capital preservation. 



    Strategic Hedge Funds Portfolio

    The portfolio posted a loss amidst an environment riddled with unprecedented regulatory intervention and extreme levels of volatility.
The portfolio held 13 funds at 30 September. It returned -2.3% during September and has returned an unaudited +2.9% in the calendar
year-to-date. Since inception, the portfolio has returned an unaudited +12.6%. 


    Portfolio Highlights

    Equity Hedged
    Regulatory inconsistency, restrictions on short selling, massive intra-month volatility and single stock events created a difficult
month in global equity markets. Our UK-based manager posted disappointing returns, realising significant losses from the violent drop
witnessed in the mining sector. Our dedicated short seller profited handsomely despite the short selling ban, as other market participants
looked to punish weak companies outside the financials sector. 



    Event Driven
    The style posted a loss this month, driven by large dislocations in capital structures. Despite significantly reducing exposure going
into the month, one manager continued to suffer from the same themes that have dominated performance this year, particularly exposure in
basic materials, energy and financials. Overall M&A volumes were strong, but mainly driven by rescue takeovers in the financial space. This
was an ideal environment for one manager to take advantage of the struggling sector and generate impressive returns from short financial
exposure.

    Global Macro
    It was a difficult month for the style as the global macro environment was unforgiving, with all sectors universally affected by current
events. Despite aggressive hedging on underlying commodities, our manager within this strategy suffered as base metals companies began their
violent sell-off mid month. Global traders struggled as pricing relationships across many asset classes broke down. Our manager's
quantitative equity strategies were negatively affected by liquidation from other market players. 

    Managed Futures
    Managed futures was once again the silver lining this month, as managers built exposure to newly developing trends on the back of
extreme volatility spikes. This benefited both long term trend followers and short-term traders, especially those that were able to manage
the volatility levels as the markets became increasingly chaotic throughout the month.

    Relative Value
    The style posted a loss over the month. Once again derivative arbitrage showed negative correlation with its peers, as our manager
profited from long volatility plays. Losses were realised from our multi-strategy manager, which suffered from the collapse of convertible
arbitrage strategies, as the arena was flooded with forced selling and deleveraging. 


    The portfolio posted a small loss as August saw a continuation of the themes that broke in July, with markets once again experiencing
sector rotation and selling pressure. The portfolio held 13 funds at 29 August. It returned -0.8% during August and has returned an
unaudited +5.3% in the calendar year-to-date. Since inception, the portfolio has returned an unaudited +15.2%. One new fund has been added
to the portfolio in the month: Evergreen MAC Limited is a managed futures strategy that follows systematic long-term trends. 

    Portfolio Highlights

    Equity Hedged
    The style posted a loss as sector rotation within equity markets continued. Our European manager's underperformance was related to
stock-specific events, losing from a rise in two of the UK retail/house building short positions, while benefiting from longs in the
European post office and logistic companies. While our dedicated short seller posted large losses from single stock short in the volatile
equity environment, these were limited by positive contribution from cash holdings. 

    Event Driven
    The style posted a loss, mostly attributable to one manager penalised for its large exposure to metals and mining stocks, with top names
such as Xstrata and Freeport McMoran falling over 10%. Our distressed manager performed ahead of expectations given the credit environment,
profiting from idiosyncratic situations focused around non-distressed positions. 

    Global Macro
    Both managers recorded negative returns within the style, as July's trends continued with a strong U.S. Dollar, rallying bonds and lower
energy prices. Our global trader was hurt from positions within its futures and forex baskets, with negative contribution stemming from that
manager's energy trading in crude versus natural gas. Within commodities, our manager suffered from weakness in specific commodity stocks.


    Managed Futures
    The style regained its positive standing after last month's negative performance. While many short-term traders were hurt by the
reversals in the U.S. Dollar and commodities that had begun in July, one manager was able to capture the move early and reap strong profits.
Our other manager struggled slightly in the high volatility environment, although was able to offset losses realised from bonds and metals
with positive positions in currencies and energies. 


    Relative Value
    It was a strong month for the style, despite the continued de-leveraging and general increase in risk premia. Performance was held up by
a derivate arbitrage manager, which was able to profit once again from its long call profile in the U.S. equity market. The multi-strategy
manager remained cautiously positioned during the month, offsetting losses from Asian strategies with gains from European volatility and
event-driven strategies. 



    Geographical Allocation 
 North America     45.8%
 Global                  22.6%
 Europe                26.1%
 Asia & Other          5.5%


    Portfolio Holdings Asset Allocation 
 Strategic Hedge Funds   36.0%
 Transitional                       27.2%
 Private Equity                  22.7%
 Cash                                    9.8%
 Specialty                             4.3%



    PORTFOLIO HOLDINGS (INVESTED CAPITAL) ON 30th SEPTEMBER 2008

 Manager                                    Type           Portfolio Weighting
 Cash                                       Cash                  9.8%
 York European Opportunities Unit       Transitional              6.0%
 Trust
 Greenpark International Investors     Private Equity             4.8%
 III L.P.
 Defender Ltd.                          Transitional              4.7%
 Enso Global Equities Fund Ltd.         Transitional              4.5%
 D.E. Shaw Oculus International     Strategic Hedge Funds         4.4%
 Members Interest
 Paulson Advantage Plus Ltd.        Strategic Hedge Funds         4.2%
 Rye Select Broad Market XL         Strategic Hedge Funds         4.1%
 Portfolio Ltd.
 Alydar Fund Limited                Strategic Hedge Funds         4.0%
 Thomas H. Lee Parallel Fund VI        Private Equity             3.7%
 L.P.
 Terra Firma Capital Partners III      Private Equity             3.7%
 L.P.
 Hard Assets 2X Fund Ltd.           Strategic Hedge Funds         3.6%
 Lansdowne UK Equity                Strategic Hedge Funds         3.4%
 Aarkad Plc                             Transitional              3.4%
 Deephaven Global Multi-Strategy    Strategic Hedge Funds         3.1%
 Fund Ltd.
 York Asian Opportunities Unit          Transitional              2.9%
 Trust
 Renaissance Institutional Futures      Transitional              2.8%
 Fund LLC
 Oak Hill Credit Alpha Fund             Transitional              2.8%
 Offshore Ltd.
 King Street Capital Ltd.           Strategic Hedge Funds         2.3%
 Goldman Sachs Capital Partners VI     Private Equity             2.3%
 L.P.
 Oaktree OCM Opportunities Fund           Specialty               1.9%
 VIIb L.P.
 MatlinPatterson Global                   Specialty               1.8%
 Opportunities Partners III L.P.
 Strategic Recovery Fund II L.P.          Specialty               1.7%
 Kei Ltd.                           Strategic Hedge Funds         1.7%
 Coller International Partners V       Private Equity             1.7%
 L.P.
 Kaiser Trading Diversified 2X      Strategic Hedge Funds         1.6%
 Segregated Portfolio
 Arcas MAC 79 Ltd.                  Strategic Hedge Funds         1.4%
 DFJ Athena                            Private Equity             1.3%
 Evergreen MAC Limited              Strategic Hedge Funds         1.2%
 Silver Lake Partners III L.P.         Private Equity             1.1%
 Lehman Brothers Venture Partners      Private Equity             1.1%
 V L.P. 
 Atticus European Fund Ltd.         Strategic Hedge Funds         0.7%
 AIG Brazil Special Situations II      Private Equity             0.7%
 L.P.
 Pine Brook Capital Partners L.P.         Specialty               0.7%
 Thoma Bravo Fund IX L.P               Private Equity             0.4%
 Rho Ventures VI L.P.                  Private Equity             0.2%
 HIG Bayside Debt & LBO II Fund          Specialty                0.1%
 L.P.
 Limetree Emerging Beachfront Land        Specialty                0.01%
 Investment Fund II L.P.



    This Factsheet has been produced by Bramdean Asset Management LLP, authorised and regulated by the Financial Services Authority. It is
aimed solely at shareholders of Bramdean Alternatives Limited and it should not be relied upon by any other person.

    Please note that Bramdean Asset Management LLP has obtained information from a wide variety of sources for the content of this
Factsheet. Whilst it has made reasonable endeavours to verify such information, this Factsheet should not be used as the exclusive basis of
any investment decisions. It relates to a relatively short time period whilst many of the investments of Bramdean Alternatives Ltd are of a
long-term nature.

    Bramdean Alternatives Limited invests in high risk alternative investment vehicles. It is
    aimed at professional or sophisticated investors who intend to hold their investment
    for the longer term. If you are not a professional or sophisticated investor you should take independent financial advice in relation to
any proposed investment in 
Bramdean Alternatives Limited.

    Please further note that the Company is currently in its Close Period and is undergoing a half-yearly review of its six-months financial
performance to 30 September 2008. All information provided in this document is provided on a best endeavours basis and may be subject to
revision at a later date as a result of the audit. 

    Please note that up to date information on the Company, including its monthly NAV and share prices, fact sheets, Prospectus and
portfolio information can be found at www.bramdeanalternatives.com. 

    This Factsheet will be available on www.bramdeanalternatives.com in PDF format in due course.

    Capita Registrar's helpline is 0871 664 0300 (Calls cost 10 pence per minute plus network extras). For callers outside the UK, please
dial: [phone]. 


    Registered Office: Canada Court, Upland Road, St. Peter Port, Guernsey, GY1 3QE, Channel Islands.


    CONTACT DETAILS

    Amanda McCrystal, or [e-mail]
    Bramdean Asset Management LLP. 35 Park Lane, London W1K 1RB, United Kingdom 

    T+44 (0)20 7052 9272 F+44 (0)20 7052 9273 W www.bramdean.com



This information is provided by RNS
The company news service from the London Stock Exchange
 
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