| Report Date | 20 July 2015 |
| Manager | Quant Investment Management Services Pty Ltd |
| Fund Name | Signature Quantitative Fund |
| Strategy | Equity Long/Short |
| Latest Return Date | June 2015 |
| Latest Return | -3.00% |
| Latest 6 Months | -7.37% |
| Latest 12 Months | -1.92% |
| Latest 24 Months | |
| Annualised Since Inception | 8.45% |
| Inception Date | 01 January 2014 |
| FUM (millions) | AU$24 |
| Fund Overview | SQF is a systematic event-driven fund that exploits short-term structural market inefficiencies that are uncorrelated & persistent over time. The fund believes that the market reaction to events is not random; rather there are statistically measureable and predictable behaviour patterns that can be exploited with a systematic and disciplined approach. The fund's investment philosophy is to quantitatively identify research and exploit these event driven or behavioural structural market inefficiencies to generate significant alpha. SQF systematically utilises stock short positions and futures to reduce risk and generate significant alpha
SQF has been established to profit from anomalies surrounding event driven, behavioural & factor based structural market inefficiencies which generate significant profits and are uncorrelated & persistent over time. Specific strategies such as dividend arbitrage, index addition and deletion, tax year end, capital raisings, among other strategies are used by the Fund. The Fund's initial focus is on investing in Australian and New Zealand markets. |
| Manager Comments | Since inception in January 2014, Signature Quantitative Fund has an annualised return of 8.45% p.a, compared to the ASX200 Accumulation Index 5.84% p.a. The Fund's annualised volatility was 8.95%, compared to the Index of 11.76%. The Fund's strong performance has been achieved with lower volatility, bringing the Fund's Sharpe Ratio and Sortino Ratio to 0.69 (Index 0.34) and 1.27 (Index 0.43) respectively.
The Australian market suffered a large drawdown in June (-5.30%), and the net exposure of SQF also under-performed. The Tax Year End Effect did not work in May and June which was consistent with the poor performance of the momentum factor in Australia over the last 4 months. Capital Raisings outperformed and Alpha Capture under-performed slightly.
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