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| Fund Overview | The portfolio managers are Andrew Barry and Ken Lewis who have significant experience running quantitative funds both in Asia and globally. The portfolio management team is supported by an experienced investment, operational and risk management team together with an advisory board. Operationally, Alpha Beta has developed proprietary investment, trading, risk and middle and back office systems. The Alpha Beta Asian Fund is a market neutral quantitative long short fund with exposure to liquid Asian equities. The investment objective of the Fund is to produce positive annual returns without excessive risk. This is achieved through the use of a quantitative approach to invest both long and short in large cap companies listed on Asian stock exchanges. The Fund may also use index futures to manage risk. Stock prices and company fundamental data are decomposed into directional and mean reverting components. Each of Alpha Beta's models are based on either of these known behaviours with capital management built into each model. The benefit of a quantitative approach is that it is both repeatable and unemotional, and allows a different source of returns to be extracted from a very noisy market environment. |
| Manager Comments | The Fund's risk attributes are shown by the low draw-down of 3.05 as compared to 6.45, average Fund return in negative market of 0.04% and up and down capture ratios of 0.43 and -0.01 respectively. All data is for the last 12 months. The Alpha Beta Asian Fund finished the month -1.2% under-performing its two benchmarks HRI Market Neutral (-0.3%) and HFRI Quantitative Directional (-0.1%). The Japanese book was up whilst the Australian book was impacted by M and A activity in the last two days of trading. The portfolio's modest net (+20%) and gross (149%) exposures reflect the current non-directional bias of the portfolio. The Monthly Report notes that 'During April 2014, equities markets initially sold off due to concerns about Russia intervening further in Ukraine; slower economic growth out of China and a de-rating of US growth (internet, bio- technology) shares. The latter had become overvalued in 2013/4 given their modest forward earnings outlook. However markets recovered somewhat by month end with Japan rallying from -6.1% mid month to close the month down -2.6% and the MSCI Asia Pacific Index finishing down -0.5%, Hong Kong -0.1% and the ASX 200 +1.8%.' |
| More Information | » View detailed profile of this fund |
