The objective of the fund is capital appreciation while closely controlling risk. In addition, the fund intends to deliver absolute returns that have a low correlation with equity and bond markets, through a market neutral portfolio of global equity stocks.
Latest Meeting Note
Fund Update 25 Sep 2019
2019 has been a poor year so far (-8.8% YTD), which has been a contributing factor to the funds significant reduction of AUM, with the fund now sat at £4.5bn AUM compared to £10.2bn at the end of February. In an effort to improve perform... Read more
2019 has been a poor year so far (-8.8% YTD), which has been a contributing factor to the funds significant reduction of AUM, with the fund now sat at £4.5bn AUM compared to £10.2bn at the end of February. In an effort to improve performance, across the last two years the team have redeveloped their dynamic rotation model, which is used to create portfolio weightings based on different investment factors. A key development in the revised model is including the conditional downside risk of factors as an additional input in setting the weights This was previously done at the portfolio construction stage via the optimiser. The fund is also looking to include more risk analysis earlier on in the investment process and not just at a monitoring level, post-trade. Historic simulations indicate that these enhancements to the model would have generated similar returns over long backtest periods (last 15 and 25 years) but with lower risk, thus resulting in higher historic Sharpe and Sortino ratios. It will be interesting to see to what extent the changes in the model will have on future performance and at what level the fund’s AUM will rest.