| Report Date | 20 January 2011 |
| Manager | Macquarie Investment Management |
| Fund Name | Macquarie Asian Alpha Fund (Cayman) - Class A USD |
| Strategy | Equity Long/Short |
| Latest Return Date | December 2010 |
| Latest Return | 1.97% |
| Latest 6 Months | 8.87% |
| Latest 12 Months | 10.29% |
| Latest 24 Months | 25.93% |
| Annualised Since Inception | 11.23% |
| Inception Date | 01 October 2005 |
| FUM (millions) | US$318 |
| 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 closed 2010 with a positive December performance of +1.97%, under performing the MSCI Asia Pacific Index (+3.78%) but outperforming over the full year.
Best performing country contributions for the month came from Japan and Hong Kong, while Australia detracted from returns. Otherwise, with the exception of China, the smaller emerging market portfolios generally disappointed, with the result that the fund willl hold back from increasing gross exposure in those markets until evidence emerges of sustained alpha generation.
The manager noted that there had been a significant increase in AUM over the year, rising from $228m to $579m, following the significant redemptions and outflows since 2008. |
| More Information | » View detailed profile of this fund |
