18 Jan 2016 - Signature Quantitative Fund

By: Australian Fund Monitors

Report Date	14 January 2016
Manager	Quant Investment Management Services Pty Ltd
Fund Name	Signature Quantitative Fund
Strategy	Equity Long/Short
Latest Return Date	December 2015
Latest Return	2.50%
Latest 6 Months	7.92%
Latest 12 Months	-0.03%
Latest 24 Months	21.89%
Annualised Since Inception	10.40%
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	Signature Quantitative Fund rose 2.50% for the month of December, to bring annualised performance since inception to 10.40% p.a. In comparison, the ASX200 Accumulation Index has an annualised returned of 2.73% p.a. The Fund has achieved this return with lower volatility of 8.06 than the Index (12.89%). All strategies contributed to performance this month. Alpha Capture and the Dividend Arbitrage strategies performed strongly, driven by short resources exposure and the Dividend Arbitrage Effect continuing to perform. The Index Rebalance Strategy contributed to performance this month across the ASX 200 and various global indices. The Fund had a net exposure of 49%, of which 21% exposure was in the Financial sector. Click the link below to view the latest Monthly Report.
More Information	Fund Profile Manager's Report

Fund Monitors Pty Ltd

18 Jan 2016 - Signature Quantitative Fund