Systematic Liquid Alpha Fund

Investment Objective

The Fund is a diversified multi-asset portfolio of alternative risk premia (“ARP”) investing across different asset classes, directly or indirectly, being equity securities, Fixed Income Securities, Cash Equivalents, currencies, and commodities (only indirectly). The fund seeks to provide an attractive level of total return, with the potential for low correlation to traditional asset classes (bonds and equities) and a target annualized volatility of 8% over the long term.

Latest Meeting Note

Meeting 24 Jun 2024

The strategy provides exposure to a diversified multi-asset set of alternative return sources, including value, momentum, carry, and trend, led by the MS AIP Hedge Fund solutions team, headed by Eban Cucinotta. The investment process inv...

The strategy provides exposure to a diversified multi-asset set of alternative return sources, including value, momentum, carry, and trend, led by the MS AIP Hedge Fund solutions team, headed by Eban Cucinotta. The investment process involves 15 strategies across equities, rates, currencies, and commodities, employing a systematic rules-based implementation. It aims to avoid short volatility strategies and those that are highly correlated with equities and bonds. Additionally, there is a preference for implementation methods that limit tail-risk in strategies through diversification and position sizing requirements. In risk budgeting, strategies are classified into groups by attribute using principal component and cluster analysis while each strategy is assessed if it has a market-neutral, pro- or counter-cyclical (risk on/off) profile. Strategy risk budgets are constrained given the equity and bond exposure limits while overall risk management utilises two matrixes: a short-term sample (near-term volatility and correlations) and a long-term fixed matrix (20 years with weekly data). Targets are run weekly, with rebalancing occurring approximately once a month and upon receiving flows. The strategy is designed to have a modest negative correlation to equities, achieved though strategy selection and risk weighing. The fund targets an annualized volatility of 8% over the long term.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.1 0.3 0.6 0.7 0.2 0.8 0.9 0.4 0.1 0.2 0.0 0.6 0.6
2022 0.3 0.5 0.4 0.7 0.6 0.5 0.4 0.5 0.7 0.5 0.6 1.0 0.6

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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.