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Original Source: FD (FAIR DISCLOSURE) WIRE
OPERATOR: Thank you for standing by and welcome to the Dexion Capital web conference. At this time all participants are in a listen-only mode to eliminate any background noise. I must advise you that this conference is being recorded today. I would now like to hand the conference over to your host today, Andrew Gale. Please go ahead, sir.
ANDREW GALE, DIRECTOR, DEXION CAPITAL: Well, good afternoon to everybody. My name is Andrew Gale and on behalf of Dexion Absolute I'd like to welcome all participants to the call for is our first web-based update for investors.
I'd also like to welcome Scott Schweighauser, who is the Chief Investment Officer of Harris Alternatives and Ron Rolighed, who's a partner of Harris Alternatives. And, as many people know, they are the investment advisor to Dexion Absolute and are responsible for the day-to-day management of the assets. And they're the ones who will be giving us the update today.
Just a couple of housekeeping notes before we get started. You'll notice that at the top of the screen there is a tab next to the slides, which says questions, and you will be able to type in a question to Ron and Scott at any time during the call by clicking on that tab. They will go through their presentation of the update of the performance of the portfolio and then, after that, they will address the questions which have been asked.
The second point is that if there are any colleagues or other parties who are unable to attend the call this afternoon, there will be replay of this presentation available on the website, dexionabsolute.com, and that will probably be available from tomorrow.
With that, I'd like to hand it over to Ron Rolighed of Harris Alternatives to give us an update. Thank you. Ron.
RONALD A. ROLIGHED, MD, BUSINESS DEVELOPMENT & INVESTOR RELATIONS, HARRIS ALTERNATIVES: Thank you, Andrew. I'll briefly just start with a quick recap of the objectives and a little bit of the history behind the Dexion Absolute portfolio.
When Dexion approached us about six years ago with the thought of wrapping our flagship Aurora strategy with a closed-end listed fund structure, we thought it was a very compelling marriage of two great competing interests. And that is the fact that the world's most selective hedge funds are more and more stringent with the liquidity terms that they make available to investors, and more and more investors place a high premium on very regular ability to enter and execute -- exit these strategies. We thought that the closed-ended structure was a very elegant solution to that dilemma.
The fund actually launched in December of 2002 with 35m sterling in assets and, through five subsequent C share issues, the portfolio has now grown to about 1.6b assets. But, again, from our standpoint it is another iteration of our flagship Aurora strategy. The Aurora strategy dates back to 1988, and the objectives behind Aurora are really threefold. When I speak of Aurora, I'm also speaking of Dexion.
The idea is to generate very consistent long-term capital appreciation with very low volatility and little correlation with any other asset class. The way we achieve that is by combining a very diverse blend of various hedge fund strategies, some of which are directional, some of which are, quote unquote, market neutral and some of which are negatively correlated with other asset prices.
We generally include around 50, five zero, underlying managers in that Aurora or Dexion portfolio, and in so doing we think we're really giving clients a very good cross section across the spectrum of hedge fund strategies. And, again, our focus is really very narrow, on the top 1% of hedge funds in the world.
As a firm today, Harris Alternatives manages about $10.6b in assets, of that, about $9.5b would be in the Aurora or Dexion approach. And we really view that entire pool as just that, one large pool of assets, and we're trying to execute the same portfolio decisions equally across all different entities that are involved. Those would be domestic [Aurora] vehicles, the open-ended offshore vehicles and the Dexion Absolute closed-ended structure.
On your screen now you see a history of the NAV performance, since inception [gone] through April 30 of 2007. We're pleased to report also that May was a very strong month with Dexion Absolute up around 1.79% net in sterling terms for the month of May. The monthly bar data shows the individual monthly returns and the dotted line at the top shows the cumulative NAV return.
The objective behind Aurora is [actually four]. They generally translate into objectives of 10% to 15% annualized returns with very low volatility. Historically, over the nineteen and half year history of Aurora, the volatility has been around 5% annualized and the beta with equities and bonds has been around zero. And that's really what we're trying to replicate in the Dexion portfolio.
There's some more information on the screen here, which shows the performance for the different currency classes. We're now offering Dexion in sterling, euro, U.S. dollar and [Aussie dollar tier] classes; the [Aussie dollars] which launched just last year. And, again, across the board you see a very solid performance with modest volatility.
I realize this may be a little too small on the screen to see a lot of the detail but what we've shown here is the sterling -- actually, for each currency class the individual monthly performance since their, share class inception, the sterling share class being by far the largest with the inception dates back to January '03.
On this page, page six, we're showing a little of bit of one of the more intuitive ways that we evaluate our success in avoiding correlation, which is an important part of our performance objective.
We see here that, since the Dexion inception, which is a period of 50 months, there have been 13 monthly occasions when the [MSCI world] index has lost money. In those individual months the average performance during those [moving] months, when the MSCI world is down 1.8% and Dexion has been flat in those periods. So it's in the sense the Dexion portfolio really, we believe, represents the sleep-well strategy with a very defensive posture; a very bold draw-down history.
With that, I will …