The strategy is one of bottom up stock selection on both the long and short sides. There is no pairs trading involved, with the manager instead seeking to identify earnings surprises ahead of the majority of the market. “We seek to take advantage of anomalies in consensus earnings forecasts,” says co-manager John-Paul Temperley who manages the fund with Keith Donaldson. Both portfolio managers and their colleagues engage closely with Japanese firms and have built up a considerable base of experience and insight into forecasting Japanese companies’ earnings numbers, allowing them to build an independent picture, and detect where it is at variance with the sell-side numbers.
The fund invests in a broad universe of firms. It ensures liquidity by making sure companies have a minimum of $1 million daily share turnover with a six-month look-back. This helps it to focus on a potential investment universe of 800 companies.
The fund has a team of seven, most of whom have experience of living in Japan or working with Japanese companies. Two are Japanese nationals. Like other Martin Currie funds in the UCITS universe, the managers can draw on other resources in-house, including a global research platform and proprietary analytical tools that can help to identify turning points in the profit cycle.
The team divides its coverage up by sector, and each analyst and/or manager will be following between 10 and 20 potential ideas at any one time. The vast majority of ideas are developed in-house, with occasionally external analyst input playing a role.
Martin Currie also has a sizeable long-only Japanese equities business, and solid, long-term senior contacts in Japanese companies. A team member is in Japan at most times of the year.
About the managers
Keith Donaldson joined Martin Currie in 1997, moved to Merrill Lynch to be managing director of Japanese equities for the European market, and returned to Martin Currie in 2003 to lead the Japan team. John-Paul Temperley has been with Martin Currie since 1998 and previously worked for SBC Warburg’s Japanese equities desk.
Key details
Fund name: Martin Currie GF - Japan Absolute Alpha
Management company: Martin Currie Investment Management
Promoter: Martin Currie
Status: Open
Inception date: 29th September 2010
Strategy
Kind of fund: Hedge Fund
Strategy group: Long/short
Region: Japan
Asset classes: Equities
Particulars
Currency: USD, EUR, GBP
Share class name: Ordinary US$ Hedged
ISIN: LU0541660287
Bloomberg ticker: MCJPAAU LX
Domicile: Luxembourg
Listing: Luxembourg Stock Exchange
Fund structure: SICAV
NAV calculation: Daily
Liquidity: Daily
Notice (banking days): 1
Minimum investment: 250,000
Minimum retail: 10,000
Min. investment currency: USD
Income: Accumulative
Other income: Distributive
Fees
Entry fee: 5%
Exit fee: 0%
Management fee: 1.5%
Performance fee: 20%
High water mark: Yes
Crystalisation: Quarterly
Hurdle rate: No
Analysis
YTD: 1.60%
Annualised volatility: 5.09%
Sharpe ratio (2%): 0.14
Correlation to S&P 500: 14.07%
Correlation to iBoxx: 0.42%
Service providers
Administrator: State Street Fund Services
Custodian: State Street Custodial Services
Auditor: Deloitte
