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| Manager | |
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| Strategy | |
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| Latest Return | |
| Latest 6 Months | |
| Latest 12 Months | |
| Latest 24 Months | |
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| FUM (millions) | |
| Fund Overview | The Fund seeks to preserve capital and maximise absolute returns through active and constant risk management, targeting monthly a net market exposure of 0% to hedge broader market risks by generally holding up to 50 S&P/ASX-100 positions (up to 25 long positions & 25 short positions). Historically, the strategy has been uncorrelated to traditional asset classes with a negative beta to equity markets. Qato Capital's process is entirely systematic - stock selection and risk management are all employed in a rules based approach. Positions in Qato's long-portfolio and short-portfolio are rotated monthly dependent upon their Q-Score ranking. The strategy employs no financial leverage/gearing to purchase securities, no derivatives and no financial products to imitate leverage. |
| Manager Comments | Positive contributors for the month included REA Group (+7.88%), Brent Crude (+6.65), Treasury Wines (+14.32%), Fairfax (+16.40%) and Aristocrat (+12.14%). Detractors included Bluescope (+17.05%) and Healthscope (+17.37%), with short positions in both dragging on the gains of the long book considerably. Fortescue Metals performed strongly for Qato's short book (-9.73%) despite October's broad based rally. Qato noted the discounted spot price of poorer quality iron ore was key to the move, with reduced Chinese steel mill utilisation meaning higher quality ore was preferred. Qato's Market Neutral strategy invests in the S&P/ASX100 utilising the Q-Score process, a fundamentally based systematic model which captures improvements and deteriorations in fundamentals, price and risk metrics. The portfolio construction seeks dollar neutrality through targeting 25 long and 25 short positions, with gross exposure averaging 170% and net exposure averaging +5%. |
| More Information |
