Plato Global Market Neutral Fund

Investment Objective

The Fund is a global fund that aims to generate positive returns in all market environments. The Investment Manager employ a market neutral strategy with a target beta, to the MSCI World Index, of close to zero. The Investment Manager believes investors are not perfectly rational, leading to market inefficiencies. The Investment Manager asserts that the best way to exploit these inefficiencies is through a systematic investment approach. On the long side of the portfolio, the fund invests in high-quality companies, selling at a discount to intrinsic value, with a catalyst and positive sentiment. On the short side of the portfolio, the fund looks for low quality companies, selling at a premium to intrinsic value, with a negative catalyst/sentiment. The fund annualised volatility target is 5-10%.

Latest Meeting Note

Meeting 06 Feb 2020

The Plato Global Market Neutral UCITS fund launched in September 2019 and is run by Dr. David Allen (ex JPM). Its systematic investment approach targets specific style characteristics to identify potential stock outperformers and underpe... Read more

The Plato Global Market Neutral UCITS fund launched in September 2019 and is run by Dr. David Allen (ex JPM). Its systematic investment approach targets specific style characteristics to identify potential stock outperformers and underperformers. The underlying philosophy behind the fund is that “high quality companies, selling at a discount to intrinsic value, with a catalyst, outperform the market”. Quality is holistically evaluated along four dimensions (earnings, operational, managerial and balance sheet) while intrinsic value estimates blend proprietary discounted cash-flow modelling with‘best’ sell-side recommendations. Catalysts broadly embraces the behaviour of different stakeholder groups such as the change in estimates driven by an unexpected increase in revenues or earnings, analyst sentiment, insiders dealing etc. Positive exposure is taken to these attributes while the reverse is true for short ideas. Each day the fund’s systematic model takes in these data points (approx. 5 million) and generates forecasts of expected return for each security in the stock selection universe (about 10.000 stocks). To further enhance the stock selection process, the strategy evaluates individual ideas (long and short) against 100 red flags (accounting, corporate governance, social and environmental impacts, etc). Shorts are primarily single stocks with the aim of generating alpha. Gross exposure runs at about 400% (200% on both side of the book), while the net fluctuates between -/+10%. At the sector and country level, risk is constrained to -/+5% on a net basis. The fund targets 5-10% annualised volatility.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.4 0.0 0.4 0.3 0.7 1.0 0.0 0.9 0.2 0.8 0.9 0.6 0.9
2018 1.0 0.7 0.5 0.6 0.6 1.0 0.4 0.4 0.7 0.3 0.4 0.6 0.2

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