| Report Date | |
| Manager | |
| Fund Name | |
| Strategy | |
| Latest Return Date | |
| Latest Return | |
| Latest 6 Months | |
| Latest 12 Months | |
| Latest 24 Months | |
| Annualised Since Inception | |
| Inception Date | |
| FUM (millions) | |
| Fund Overview | 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 Sharpe and Sortino ratios were 2.07 and 5.17 respectively. Downside deviation was 1.78. At month-end the Fund's larger geographic exposures were Australia at 11% and Japan at 2% on a net basis, with the Fund's total net exposure 18% and gross exposure 167%. Total number of positions was 413. Major contributors to June's returns were Hong Kong directional at 51 basis points and Australia mean reversion at 45 basis points. |
| More Information | » View detailed profile of this fund |
