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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 Fund's February's performance was driven by strong contributions from the statistical arbitrage models as well as significant loss aversion from the order pad checks, which were balanced by relatively weak performance on the quantamental side across multiple factors. At month-end the Fund had a gross exposure of 289% and a net exposure of -2% across 518 positions. Most of the contribution for the month came from the Taiwan and Japan positions at 0.48% and 0.39% respectively. However Australia and Korea positions were negative contributors at -0.57% and -0.25% respectively. In addition, the Fund is making ongoing operational efforts to setup the Cayman vehicle and Hong Kong licensing. |
| More Information | » View detailed profile of this fund |
