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| 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 | At month-end the Fund had a net exposure of 15% and a gross exposure of 175% and held 401 positions. From an attribution perspective, the Hong Kong Directional (+0.77%) and Australian Directional (0.62%) strategies were strongly positive. The Japanese Mean Reversion (-0.66%) strategy was the largest detractor. From a regional perspective both Australian (+0.76%) and Hong Kong (+0.69%) books performed well. The market neutral behaviour of ABAF is confirmed by the low mapped Beta (+0.08) and low correlation to the Asian equity markets (+0.15). |
| More Information | » View detailed profile of this fund |
