Schroder GAIA Two Sigma Diversified

Investment Objective

The Investment Manager aims to provide capital growth using sophisticated computer systems to implement a model driven investment approach. The Fund operates a combination of both US equity market neutral and global macro trading strategies. The equity market neutral strategy seeks to profit by taking synthetic long and short positions in undervalued and overvalued stocks in the equity market. The global macro strategy is a mix of both fundamental and technical models that seek to take advantage of changes in global asset prices.

Latest Meeting Note

Meeting 05 Nov 2021

The Schroder GAIA Two Sigma Diversified fund aims to deliver uncorrelated alpha, with controlled volatility, across a wide range of market conditions through the systematic combination of two investment strategies, US equity market neutr... Read more

The Schroder GAIA Two Sigma Diversified fund aims to deliver uncorrelated alpha, with controlled volatility, across a wide range of market conditions through the systematic combination of two investment strategies, US equity market neutral (85% dollar allocation or 60% in risk-adjusted terms) and systematic macro (15%), who apply fundamental, technical, event and alpha capture models (213 in total) to global markets. Fundamental models aim to replicate discretionary investment processes, technical uses market data (returns, volatilities, volumes) to predict price patterns (mean reversion, seasonality, etc), Event models aim to profit from catalysts such as earnings releases, while Alpha capture models systematically incorporates market views from 2500+ sales professionals globally. The market neutral sleeve targets 8% vol p.a. and invests across liquid US single-name equities (typically 3000 at any one time) using a broad variety of traditional and non-traditional data sets that feed TwoSigma’s proprietary models, all contributing to idea generation. Each model generates an independent forecast which is consolidated to determine a weighted return forecast for each security. These forecasts are then used as inputs for the optimisation process to determine the optimal allocation subject to a number of constraints (costs and risks). The Systematic macro sleeves targets 26% vol p.a. and is predominately directional in nature, trading the most liquid futures and cds markets (largely fixed income and equity instruments).

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2021 0.9 0.9 0.6 0.0 0.3 0.0 0.2 0.4 0.7 0.3 0.8 0.6 0.2
2020 0.6 0.3 0.8 0.4 0.5 0.8 0.9 0.2 0.9 0.6 0.3 0.7 0.5

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Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.