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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 March performance was driven by weak performance in their Quantamental models, as value factors were hit quite hard in Japan and Korea in particular. The Fund's Statistic Arbitrage models were relatively steady during the month. The Fund has recently completed their out of sample testing on two additions to their Stat Arb suite: a new Seasonality model for Japan, and a new Pairs Trading strategy for both Japan and Australia. Out of sample results were strong in both cases and the Fund is now working to implement these two models. Click the link below to see the Latest Fund Manager's Report. |
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