Enhanced Equity Index Fund

Intro

This fund is suitable for both individuals and institutions. It targets above-market returns at a level of risk which is consistent with that of the equity market and uses a quantitative process that is both consistent and has clear links to economic intuition.

 

Objectives

To target returns above those of the Shareholder Weighted Index (SWIX) over the medium to long term (longer than 3 years), and to do this at risk levels consistent with or better than those of the market.

 

Process

The process of the Enhanced Equity Index Fund stands on two pillars:

  • Multi-factor Selection model that identifies factors that are expected to be the main drivers of individual instrument performance in the short term, and using an optimal combination of these factors to rank and select stocks.

  • Portfolio construction tool that employs state-of-the-art quantitative optimisation techniques to construct an optimal portfolio that takes account of a desired risk budget or requirement.

This process performs significantly well in trending markets and when market volatility levels are subdued.

Generally most models fail to capture market inflection points; our models would also be subject to this. However the ability to reduce the risk budget in the portfolio construction phase can cushion the effects of this.

 

Competitive advantage

The Fund has a solid long-term track record with stable performance as a result of a consistent and repeatable process.

We have been able to identify and apply the above quantitative tools and models appropriately for our purpose and objectives. These models are not subject to a “black box” approach but extend easily to intuition.