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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 | The has recorded 62% positive months since inception and a maximum draw-down of 2.93%. Fund beta is 0.11 mapped to the MSCI Asia Pacific Index with a correlation of 0.20 to the same Index. The Fund generated a return of -0.51% during October, driven largely by the surprise BoJ stimulus move on the last day of the month, prior to which we had been up roughly 50bps. Although we are generally hedged to movements in the Japanese market due to our market neutral bottom up portfolio construction and deployment of index futures hedges, the strong movement hit our quantamental short side significantly on that day. |
| More Information | » View detailed profile of this fund |
