Best Pan Asian Quantitative Market Neutral Hedge Fund

Macquarie Asian Alpha Fund

The Macquarie Asian Alpha Fund seeks to offer pure alpha by exploiting inefficiencies present in the listed equity markets of Asia. The team aims to achieve this in a relatively low risk manner and to produce a tight, positively biased reward profile.

The fund was launched in 2005 and implements a non-systematic quantitative equity market neutral strategy. Since its inception, the fund has achieved an annualised return of 9.9% with daily volatility of 4.6, giving a reward to risk ratio of 2.2. Assets under management are approximately $2b and the fund is currently closed at full capacity. Figures are as at 31 December 2014.

The investment process is quantitative in nature with investment decisions being ultimately discretionary. A proprietary platform that makes use of graphics assists in the practical implementation of the process. The strategy is underpinned by quantitative screening, company analysis, active trading and prudent risk management.

Quantitative screening techniques are used to identify baskets of potential investment opportunities. Each screen aims to systematically identify opportunities where stocks are believed to deviate from fair value due to human behavioural biases and include thresholds combining factors measuring value, quality, momentum and analyst sentiment.

After the screening process, stocks are assessed by the portfolio management team. The additional analysis takes into consideration current market conditions, subtleties in the interpretation of quantitative information and other relevant information that may not have been captured in quantitative data. Part of this review process may rely upon non-systematic inputs provided by the PM team, which capitalises on its skill set and experience researching and trading Asian equities.

The portfolio construction process combines the investment opportunities identified in the screening and company analysis stages of the investment process in a risk-controlled framework which considers market, country, sector, currency and company-specific risks. The aim is to create a risk-controlled portfolio.

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