| Report Date | 20 February 2011 |
| Manager | Macquarie Investment Management |
| Fund Name | Macquarie Asian Alpha Fund (Cayman) - Class A USD |
| Strategy | Equity Long/Short |
| Latest Return Date | January 2011 |
| Latest Return | 3.03% |
| Latest 6 Months | 10.55% |
| Latest 12 Months | 13.17% |
| Latest 24 Months | 28.02% |
| Annualised Since Inception | 11.67% |
| Inception Date | 01 October 2005 |
| FUM (millions) | US$365 |
| 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 returned 3.03% in January against the backdrop of a flat MSCI Asia Pacific Index as the emerging markets of India, Indonesia, the Philippines and Thailand all fell sharply. The Fund had recently adjusted its models to focus on stock selection ahead of a Country focus, and this was reflected in January's performance. |
| More Information | » View detailed profile of this fund |
