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Share Name | Share Symbol | Market | Type | Share ISIN | Share Description |
---|---|---|---|---|---|
Dexion Abs USD | LSE:DABU | London | Ordinary Share | GB00B0FXL332 | US $ SHS NPV |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 3.90 | 0.00 | 01:00:00 |
Industry Sector | Turnover | Profit | EPS - Basic | PE Ratio | Market Cap |
---|---|---|---|---|---|
0 | 0 | N/A | 0 |
Dexion Absolute Limited (the “Company”)
October Final Net Asset Values
Ordinary Shares
The final net asset value of the Company’s Ordinary Shares as of 30 October 2015 is as follows:-
Share Class | NAV | MTD Performance |
YTD Performance |
GBP Shares | 191.66p | +0.61% | +4.23% |
2011 Redeemed Shares
The net asset value of the Company’s 2011 Redemption Portfolio was $1.40 million as of 30 October 2015. This was attributed to the Redeemed Share class as follows:-
Share Class | NAV per Redeemed Share |
EUR Shares | US$ 0.0251 |
All of the Redeemed Shares have been cancelled. Accordingly, the “NAV per Redeemed Share” represents the amount then owed by the Company in respect of such Redeemed Shares at the relevant date.
2012 Redeemed Shares
The net asset value of the Company’s 2012 Redemption Portfolio was $3.23 million as of 30 October 2015. Shares redeemed pursuant to the 2012 Redemption Offer have a single USD net asset value based upon exchange rates at the relevant date. This was attributed between Redeemed Share classes as follows:-
Share Class | NAV per Redeemed Share |
EUR Shares | US$ 0.0248 |
USD Shares | US$ 0.0273 |
All of the Redeemed Shares have been cancelled. Accordingly, the “NAV per Redeemed Share” represents the amount then owed by the Company in respect of such Redeemed Shares at the relevant date.
2013 Redeemed Shares
The net asset value of the Company’s 2013 Redemption Portfolio was $3.87 million as of 30 October 2015. Shares redeemed pursuant to the 2013 Redemption Offer have a single USD net asset value based upon exchange rates at the relevant date. This was attributed between Redeemed Share classes as follows:-
Share Class | NAV per Redeemed Share |
GBP Shares | US$ 0.0292 |
EUR Shares | US$ 0.0358 |
USD Shares | US$ 0.0412 |
All of the Redeemed Shares have been cancelled. Accordingly, the “NAV per Redeemed Share” represents the amount then owed by the Company in respect of such Redeemed Shares at the relevant date.
2015 Redeemed Shares
The net asset value of the Company’s 2015 Redemption Portfolio was $55.44 million as of 30 October 2015. Shares redeemed pursuant to the 2015 Redemption Offer have a single USD net asset value based upon exchange rates at the relevant date. This was attributed between Redeemed Share classes as follows:-
Share Class | NAV per Redeemed Share |
GBP Shares | US$ 2.9014 |
EUR Shares | US$ 2.9670 |
USD Shares | US$ 4.0524 |
All of the Redeemed Shares have been cancelled. Accordingly, the “NAV per Redeemed Share” represents the amount then owed by the Company in respect of such Redeemed Shares at the relevant date.
These valuations, which have been prepared in good faith by the Company's administrator, are for information purposes only and are based on the unaudited estimated valuations supplied to the Company's investment adviser, Aurora Investment Management L.L.C. (“Aurora”), by the administrators or managers of the Company's underlying investments and such valuations may not be considered independent or may be subject to potential conflicts of interest. Both weekly manager estimates and monthly valuations may be produced as at valuation dates which do not co-incide with valuation dates for the Company, may be based on valuations provided as of a significantly earlier date, may differ materially from the actual value of the Company's portfolio and are unaudited or may be subject to little verification or other due diligence and may not comply with generally accepted accounting practices or other generally accepted valuation principles. The Company's investment adviser, investment manager and administrator may not have sufficient information to confirm or review the completeness or accuracy of information provided by those managers or administrators of the Company's investments. In addition, those entities may not provide estimates of the value of the underlying funds in which the Company invests on a regular or timely basis or at all with the result that the values of such investments may be estimated by the Aurora. Since 1 April 2013 the Company has been transitioning to becoming a feeder fund of Aurora Offshore Fund Ltd II ("AOFL II"). AOFL II's investment manager is also the investment adviser to the Company and so valuations of the Company's investment in AOFL II may be subject to potential conflicts of interest. As at 1 November 2015 approximately 93.94% of the Continuing Portfolio (by NAV) was invested in AOFL II. The value of designated investments as at 1 November 2015 equates to approximately 1.57% of the Continuing Portfolio NAV. Certain other risk factors which may be relevant to these valuations are set out in the Company's prospectus dated 17 October 2007 and the Company's circulars dated 15 April 2011, 5 April 2012, 22 February 2013, 27 May 2013 and 26 August 2015.
Net asset values for Redeemed Shares include only those costs and expenses attributable to Redeemed Shares which have been accrued as at the relevant NAV date.
Monthly Portfolio Review
Investment adviser portfolio outlook
With news of stronger-than-expected employment figures out of the US in October, global markets once again appear prepared for the chance that the US Federal Reserve will hike interest rates in December. While the implications are vast, a rate hike sets up the first clear example of divergence in global central banking policy, particularly with Europe potentially preparing another round of easing following the European Central Bank’s December meeting. We expect this type of divergence to create opportunities for managers specialising in currency and interest rate trading, two asset classes directly impacted by these competing policies.
Like the current general market consensus, we believe that a US Federal Reserve lift-off in December is likely. We view this outcome as a positive event for many of Aurora’s strategies, including long/short equities, macro and portfolio hedge. Not only should divergence in central banking policy allow for robust direct trading opportunities in fixed income and foreign exchange markets but it may also force global market participants to apply a more discerning approach to risk assets, a dynamic that would be a welcome change for our managers.
In focus³
As we detailed approximately two months ago in a white paper titled “Finding Opportunities in the Healthcare Sector” (currently available on the Aurora website), Aurora is particularly enthusiastic about the current stock-picking opportunity in the healthcare sector.
We continually analyse data as we seek insight on which sectors exhibit the most robust opportunities in which to derive stock selection alpha, including reviewing metrics like intra-stock correlation, dispersion and cross-sectional volatility, among other things. Through this analysis, Aurora expects the current opportunity set in the healthcare sector to provide a longer-term fertile environment for stock-picking, creating the potential for skilled managers to extract substantial stock selection alpha.
Along these lines, we are excited to announce that Aurora has completed its fourth strategic capital investment with Copernicus Capital Management LLC (“Copernicus”), a healthcare-focused long/short equities firm that is managed by John Rende and headquartered in San Francisco. The revenue sharing arrangement associated with our investment in Copernicus is an added benefit to Aurora’s investors, especially as Copernicus performs for its investors and grows its business over time.
Aurora’s familiarity with John extends back 15 years to when he was a senior portfolio manager at Weintraub Capital Management LLC, a firm with which Aurora was invested from 1999 to 2006. While at Weintraub, John was a consistent, meaningful contributor to that firm, focusing exclusively on investments in the healthcare sector. After Weintraub closed following the retirement of the firm’s Chief Investment Officer, John founded Copernicus in 2013 and has since demonstrated an ability to generate alpha and absolute returns as he has transitioned to the role of leading his own firm.
Appreciating the meaningful run-up in valuations within the healthcare sector since 2009, Aurora feels it is important to select managers that have previously demonstrated success managing through cycles (and bubbles) and that apply a disciplined low net approach to healthcare investing. This allows for alpha extraction through security selection without being dependent on broad sector moves. Furthermore, given the rapid pace of the news cycle and disruptive innovation in healthcare today, we particularly value managers that can dynamically trade healthcare’s sub-sectors against each other while freely moving across the market cap spectrum as opportunities present themselves.
We are confident that Copernicus is a manager who exemplifies each of these characteristics and are delighted to include Copernicus as an investment across many of the Aurora portfolios.
Market overview
Long/short credit¹: +0.41%
Long/short equities¹: +2.36%
Opportunistic¹: -0.69%
Macro¹: -1.30%
Portfolio hedge¹: -4.25%
Event driven¹: +1.83%
Strategy | Allocation as of 1 November² (%) |
Number of hedge funds as of 1 November² |
Performance by strategy¹ (%) |
|
October | YTD | |||
Long/short credit | 23 | 3 | +0.41 | +1.42 |
Event driven | 19 | 4 | +1.83 | -1.68 |
Long/short equities | 32 | 11 | +2.36 | +4.21 |
Opportunistic | 7 | 3 | -0.69 | -7.38 |
Macro | 12 | 6 | -1.30 | -3.67 |
Portfolio hedge | 7 | 2 | -4.25 | +3.24 |
Total | 100 | 29 |
¹Effective 31 May 2011, 31 May 2012, 28 February 2013 and 30 September 2015, DAL created separate redemption portfolios for redeeming shareholders from the EUR (for 2011, 2012, 2013 and 2015), USD (for 2012, 2013 and 2015) and GBP (for 2013 and 2015) share classes. All information presented herein is for the Continuing Portfolio only. Strategy returns are presented for AOFL II, are calculated in USD, are net only of the fees and expenses of the underlying managers and are gross of the fees of DAL’s investment manager and investment adviser and the operating expenses of DAL and AOFL II. The investment adviser implements the ‘Modified Dietz’ methodology for calculating the DAL portfolio hedge strategy returns, which takes into account the amount of time an investment is held. Under unusual market circumstances, there are certain limitations to the Modified Dietz methodology and under such circumstances the investment adviser may modify, adjust or apply a different methodology if it determines in its reasonable discretion that doing so will more accurately reflect the rate of return of the DAL Portfolio hedge strategy.
²Allocations are presented for the Continuing Portfolio and reflect the allocations of AOFL II, which are based on 30 October 2015 results and 1 November 2015 capital allocations, net of cash effect and including, for Portfolio hedge only, the delta-adjusted exposure derived from option hedges, the notional value of futures hedges, and dedicated notional gold exposure, if any. The Company classifies all managers by reference to only one of the core trading strategies provided in the chart (which include several strategies whose nature is multi-strategy). In certain instances, and over time, a manager may utilise multiple trading strategies. Consequently, it is possible that the Company’s determination of a manager’s primary trading strategy may change over time and may differ from how others may classify such manager’s primary trading strategy. Strategy allocations may vary over time. Numbers may not sum to 100% due to rounding.
Manager count reflects the managers in AOFL II. For purposes of determining manager count, the manager treats investments in different hedge funds managed by the same manager using the same strategy as a composite and does not include any “Excluded Managers”. An Excluded Manager is any manager (1) for which the Company has submitted a full redemption request or (2) that manages only “Market Opportunities Investments” within the strategy. Market Opportunities Investments represent an aggregation of a select set of unique, concentrated, and opportunistic investments that may be added to the Continuing Portfolio to benefit from compelling and timely risk seeking and risk limiting investment opportunities. The Company’s investment adviser classifies all of the Company’s managers by reference to only one of the core trading strategies provided in the chart (which include several strategies whose nature is multi-strategy). In certain instances, and over time, a manager may utilise multiple trading strategies. Consequently, it is possible that the Company’s investment adviser’s determination of a manager’s primary trading strategy may change over time and may differ from how others may classify such manager’s primary trading strategy.
³The In focus section of this report is for information purposes only. Any opinion expressed in this report, including with respect to the market events and potential investment opportunities that may arise, is purely the opinion of the Company’s Investment Adviser, may be speculative, and is subject to change without notice. This report should not be considered investment advice or relied upon as such. This report should be not be considered an indication of the future investment decisions that the Company’s Investment Adviser will make for the Company. Statements that are made in this report that are not based on historical facts are forward-looking statements. Although such statements are based on the Investment Adviser’s current estimates and expectations, and currently available competitive, financial, and economic data, forward-looking statements are inherently uncertain. There can be no assurance that the estimates and expectations made in connection with any forward-looking statement will prove accurate, and actual results may differ materially. The Investment Adviser makes no representations or warranties regarding the accuracy or completeness of the information included in this report and is not liable in any way as a result of its use.
Supplementary Information
Click on, or paste the following link into your web browser, to view a full review of the Dexion Absolute Limited portfolio.
http://content.prnewswire.com/documents/PRNUK-0212150924-8C98_DAL_MPR_2015_October_CC.pdf
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