| Report Date | 15 March 2016 |
| Manager | Quant Investment Management Services Pty Ltd |
| Fund Name | Signature Quantitative Fund |
| Strategy | Equity Long/Short |
| Latest Return Date | February 2016 |
| Latest Return | -2.50% |
| Latest 6 Months | 4.38% |
| Latest 12 Months | 0.88% |
| Latest 24 Months | 12.47% |
| Annualised Since Inception | 7.99% |
| 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 returned -2.50% for the month of February, compared to the S&P/ASX 200 Accumulation Index's return of -1.76%, an under performance of 0.74%. Since inception the Fund has an annualised return of 7.99% (Index 0.27% p.a). The Fund has achieved this return with lower volatility of 8.03 than the Index's 12.91%.
Capital Raisings contributing positively to SQF's returns. Alpha Capture underperformed due to the short exposure to resources. Dividend Arbitrage and Index Rebalance Strategies underperformed slightly. The Fund had a net exposure of 45%, of which 14% was in the Consumer Discretionary sector.
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