| Report Date | 18 November 2010 |
| Manager | Macquarie Investment Management |
| Fund Name | Macquarie Asian Alpha Fund (Cayman) - Class A USD |
| Strategy | Equity Long/Short |
| Latest Return Date | October 2010 |
| Latest Return | 1.95% |
| Latest 6 Months | 4.24% |
| Latest 12 Months | 8.41% |
| Latest 24 Months | 24.90% |
| Annualised Since Inception | 11.00% |
| Inception Date | 01 October 2005 |
| FUM (millions) | US$282 |
| Fund Overview | The fund employs a quantitative long/short strategy implemented in pan-Asian equity markets. The strategy is underpinned by a stock screening and quantitative company analysis process. Several quantitative stock screens are used to filter the universe to a smaller basket. They seek to exploit market anomalies due to behavioural biases of market participants and combine factors measuring value, quality, momentum and analyst sentiment. After the filtering process, stocks are assessed using a system that analyses the data underlying the quantitative factor scores. Amongst other indicators, this system allows the portfolio manager to view detailed broker forecasts and revisions, time series valuation measures and accruals data. A transparent process, the portfolio construction aims constrains the key risk factors, primarily net country, sector and size exposures. A country selection model is used to determine desired net country exposures. |
| Manager Comments | Macquarie's Asian Alpha Fund's Taiwan and Japan portfolios generated flat returns while the other country portfolios, including the smaller emerging markets, performed strongly. The performance of the Australian portfolio was pleasing given several stocks specific events detracted from the fund's return most notably a takeover offer for Perpetual, one of the fund's largest short positions.
At month end the fund had increased gross exposure to close to the mandate limit of 300%. |
| More Information | » View detailed profile of this fund |
