Schroder GAIA Two Sigma Diversified

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).