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| Fund Overview | PanAgora believes the best way to find opportunities in the global markets is to combine fundamental analysis with robust quantitative techniques in order to filter the investment universe and select the investments. The Fund invests primarily in listed equity securities from a global universe of developed markets and a select group of emerging market countries. The Fund's objective is to seek absolute returns by identifying and exploiting multiple inefficiencies that may exist in global equity markets. These inefficiencies are primarily exploited through the use of a long/short equity strategy which aims to construct a portfolio that is generally neutral to market movements. As such the performance of the investment strategy is largely independent of the market's performance. The Fund seeks to achieve its objective by using a diversified set of strategies that have low correlation to one another. In addition, because many of these strategies are designed to generate profit under different market conditions, their combination is expected to result in more stable returns over time than any individual strategy in and of itself. |
| Manager Comments | The U.S. sleeve of the long-term portfolio returned -1.27% from the performance. The majority of the underperformance was driven by value and quality factors, while sentiment factors. Sector-wise, the biggest detraction occurred in the Information Technology and Consumer Discretionary sectors, -0.66% and -0.35% respectively. The International exposure detracted -1.40% in May, with the biggest contribution from Japan -1.93% as value factors underperformed. The largest detracting names consisted of overweight positions in JGC Corp. and Nipro Corp., as well as an underweight position Nitori Holdings Co. Ltd. The intermediate strategies detracted -0.04% from the return in May due to the underperformance of U.S. merger arbitrage related trades. The short-term strategies also detracted -0.25%, attributable primarily to earnings related trades. |
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