Dexion Trading Ltd (DTL) - October Net Asset Value RNS Number : 3189R Dexion Trading Limited 16 November 2012 Dexion Trading Limited (the 'Company') October Net Asset Value The net asset value of the Company's Shares as of 31 October 2012 is as follows:- GBP Shares NAV MTD Performance YTD Performance 132.51 pence -1.22% -1.02% 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 12th March 2008. Monthly Portfolio Review Investment Adviser Portfolio Outlook With the outcome of the US presidential election now decided, some of the uncertainty has been lifted, although the Investment Adviser believes that the shadow of the fiscal cliff now hangs over the markets. Risk levels amongst the discretionary managers were fairly low in the run up to the elections but now that some of the ambiguity has been resolved, clearer market trends will start to re-emerge and managers will gradually and cautiously increase risk once more. While markets may initially trade downwards at the outset of President Obama's re-election, they are likely to eventually rally as participants take into account the fact that a continued low interest rate environment remains supportive of risk assets. The economic environment in Europe continues to be very fragile, with the periphery weighed down by austerity measures and core European countries showing weakness. Market Overview Renewed concerns over global growth weighed on markets during the month, with the IMF cutting global growth forecasts. Economic data in the US was generally positive, including better-than-expected employment, manufacturing and housing reports. However, these reports were overshadowed by disappointing US third quarter earnings and uncertainty ahead of the US elections. The European crisis continued to weigh on markets with little progress made in the way of reforms. Concerns focused on the ability of Greece to secure its next installment of rescue funds, while Spain continued to insist that the country would not ask for a bailout. In addition, Europe's economic data proved disappointing with worse-than-expected PMI and Ifo data. On a more positive note, economic reports in China generally met or exceeded market expectations, but uncertainty remained over the November leadership transition and the longer-term direction of the Chinese economy. Equity markets experienced mixed results. The developed markets ended lower (as measured by the MSCI World Index), with US equities falling around 2%, while European and Japanese stocks rallied slightly. Disappointing earnings reports were the primary driver of underperformance in US equities, while in Europe stocks benefited from diminished stresses in the eurozone and Japanese equities rose ahead of the Bank of Japan's decision to expand monetary easing. Emerging markets declined overall during the month. Managers generally continue to favour long equity positioning in the US and Europe based on the extremely low level of rates brought about by accommodative monetary policy. Managers are also establishing some long exposure in the Nikkei, which stands to benefit from further monetary easing and a weaker Japanese yen. Developed market government bond yields rose modestly in October, although prices lacked any clear direction. In the US, yields rose early on, following speculation that positive economic data would lead the Federal Reserve to curtail its latest round of monetary easing. Later in the month, developed market yields in general increased as economic data out of China showed signs of stabilising and as positive European developments emerged, with Germany increasingly softening its opposition to Spanish aid requirements and Moody's retaining Spain's investment grade rating. Peripheral yields ended the month lower on the back of these developments. In the developed world, exposure is focused on long positions at the short end of the European yield curve, given ongoing economic concerns. Managers continue to find profitable trading opportunities in European peripheral bond markets, with tactical long exposures to bonds in these regions. In the US the bias is to be short the long end of the curve in anticipation of inflationary pressures increasing. In the emerging world, managers continue to be selectively long emerging market sovereign bonds as these countries also need accommodative monetary policies. Foreign exchange price movements were driven primarily by central bank action. The Japanese yen was one of the more notable movers during the month, falling 2.3% against the US dollar in response to the Bank of Japan's decision to expand its asset-purchase programme for the second time in two months. The Canadian dollar also fell sharply against the US dollar, declining by 1.6% as the Bank of Canada delivered conflicting messages over its next monetary policy steps. The euro rallied marginally against the US dollar as peripheral country debt continued to stabilise. Emerging market currencies saw inflows into Asia, with the Korean won, Chinese yuan and Singapore dollar rallying; while the South African rand and Indian rupee fell sharply as South Africa continued to be affected by political instability, and India further reduced its cash reserve ratio. Managers are generally short the Japanese yen versus the US dollar, with some increasing their exposure to this trade as the Bank of Japan seems increasingly likely to implement further monetary easing. Short-term managers maintain a bearish bias towards the US dollar against various other currencies, but in the long term the bias for the currency is to rise, especially against the euro, based on the US economic strength. Long positions are dominated by emerging market currencies that should benefit from reflationary measures to boost certain assets, as well as the search for yield. These include Asian currencies and certain Latin American currencies such as the Mexican peso. Commodity prices declined in October. The Dow Jones-UBS Commodity Index fell 3.9% and the S&P North American Natural Resources Sector Index fell by 2.0%. Crude oil prices sold off for a second consecutive month as US output climbed to the highest level in more than 15 years, US jobless claims increased more than expected and commodity prices declined in conjunction with equity markets as a number of companies missed quarterly earnings expectations. Likewise, gasoline prices fell as US refineries completed seasonal repairs. Conversely, natural gas prices were up for the second consecutive month, advancing to a ten-month high as colder weather set in across the US. Industrial metals were negatively impacted after the World Bank cut its forecast for East Asia's economy and the IMF cut its forecasts for world economic growth. Weaker economic data out of China also pushed industrial metals prices lower. Gold prices fell as a stronger US dollar curbed demand. Grain prices declined sharply as growing conditions in the US and South America improved. Exposure in the sector is dominated primarily by long exposure to gold and to a lesser extent oil. Strategy Overview Discretionary: -0.45%. Performance was relatively balanced between positive and negative contributors. On the negative side, losses were derived primarily from a continuation of the same themes that had proved profitable in September, namely how the extra liquidity, from monetary easing programmes, would be supportive of risk assets. As such, long positions in commodities, US equities and emerging market credit were among the most costly trades. On the positive side, bullish positioning proved lucrative in Europe, where long positions in European peripheral bonds (e.g. Spain) and, to a lesser extent, European equities contributed positively to returns. Short exposure to the Japanese yen was also beneficial. Systematic: -2.90%. Losses were widespread, with declines across most sectors. During the month, managers generally had outsized positions as a result of the low implied volatility levels, leading to sharper losses as many sectors suffered reversals. Among the trend following managers, long positions in US equities and commodities, particularly gold and oil, short positions in the euro and long positions in US and German bonds, proved equally costly. Non-trend following managers suffered losses in currencies, with long Japanese yen and Canadian dollar positions proving especially detrimental to performance. Natural resources: -1.09%. Long positions in oil proved detrimental, despite a notable lack of fundamental reasons for the decline in oil prices. Long positions in gold and gold equities offset some of the previous month's gains on the back of a better-than-expected US employment report, diminishing its safe haven appeal. Relative value arbitrage: +0.14%. While statistical arbitrage strategies suffered during the month, fundamental equity market neutral strategies offset losses due to strong gains from short positions. Allocation Number of managers as Performance by Strategy as of 31 of strategy October 31 October % % October YTD Discretionary¹ 54 22 -0.45 +2.84 Natural resources 8 10 -1.09 +1.32 Relative value 6 3 +0.14 +1.35 arbitrage Systematic¹ 23 10 -2.90 -3.21 Cash 9 - - - Total 100 44¹ 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/3189R_-2012-11-16.pdf This information is provided by RNS The company news service from the London Stock Exchange END MSCUNARRUVAAAAA -0- Nov/16/2012 10:18 GMT
Dexion Trading Ltd DTL October Net Asset Value
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