Investment Objective
The investment objective of the Fund is to seek stable returns with a low correlation to traditional markets and a target annualized volatility between 5% and 10%, under normal market conditions. The Fund implements an investment policy seeking to capture premia linked to several risk / style factors across different asset classes including (i) “academic” premia such as value, medium-term momentum, short-term reversal, low-risk and asset-class beta (ii) “liquidity/carry” premia and (iii) “implied” premia such as value and carry.
Latest Meeting Note
Meeting Note 20 Apr 2017
A multi strategy fund providing exposure to a diverse set of c.30 risk premia strategies across three main clusters — academic, implied and liquidity/carry premia. Premia are implemented across asset classes in a market neutral framework...
A multi strategy fund providing exposure to a diverse set of c.30 risk premia strategies across three main clusters — academic, implied and liquidity/carry premia. Premia are implemented across asset classes in a market neutral framework. The premia are allocated to using an equal risk contribution approach combined with a tactical overlay. The result is a market neutral, multi-asset, multi-strategy portfolio that has delivered robust returns since inception. In our opinion, the highly diverse range of premia exploited is a major differentiator versus many peers which typically rely solely on traditional risk premia
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.5 | 0.9 | 0.1 | 0.7 | 0.8 | 0.1 | 0.8 | 0.1 | 0.8 | 1.0 | 0.6 | 0.0 | 0.7 | |
| 2022 | 0.4 | 0.3 | 0.5 | 0.7 | 0.8 | 1.0 | 0.8 | 0.6 | 0.1 | 0.0 | 0.1 | 0.9 | 0.3 |
