The long book holds over 120 global stocks, and a single position is never more than 20% of a stock’s average daily trading volume. As such portfolio liquidity is well aligned with the UCITS fund’s daily liquidity. Singapore-based QAM has thus far decided against offering a daily UCITS feeder for its Asian equity strategy.
QAM estimate the extra costs of the daily dealing UCITS to be around 0.50% per year. Aside from that, the UCITS should track the offshore fund very closely. Both own the same stocks and short the same MSCI equity index, albeit using different instruments: total return swaps with Deutsche Bank for the UCITS as opposed to cash stocks and index futures for the original fund. But in all cases, the fund only uses plain vanilla, linear, delta one instruments that track underlying stocks on a one for one basis.
The offshore fund has annualised performance of 18.8% a year over its seven year history to May 2011, with yearly returns ranging from up 44.5% to a flat 2008 when there was no directional exposure. Whether or not QAM go 50% long depends on a blend of price momentum and earnings revisions indicators: and in 2008, the models told them to stay neutral.
QAM’s quant models scour through some 30,000 stocks in 60 countries to search for the cheapest stocks with the best earnings revisions that must also of course satisfy the liquidity filters. Both value and earnings quality are defined according to multiple, in-house developed, screens. The fund does have significant sector and country bets, as a consequence of the stock selection. Potential investors can obtain a high degree of portfolio transparency and granularity, including hourly performance data, through an automated email requests system. Rebalancing takes place monthly and execution is carried out at VWAP ( Volume Weighted Average Price). The approach is entirely systematic.
Currency risk is not taken at the stock level: exposures are hedged back to the base currency of the funds, either euro or dollar. The UCITS started out under the banner of Luxembourg Financial Group, but now comes under the UBS umbrella since the Swiss bank took over LFG.
Key details
Fund name: Quant Global Equities Fund
Management company: Quant AM
Promoter: Luxembourg Financial Group
Status: Open
Inception date: 15th March 2011
Strategy
Kind of fund: Hedge Fund
Strategy group: Relative Value
Sub-strategy: Systematic
Region: Global All
Asset classes: Equities
Particulars
Currency: EUR, USD
Share class name: Class B Shares
ISIN: LU0605322576
Bloomberg ticker: QUAMGEB LX
Domicile: Luxembourg
Listing: Luxembourg Stock Exchange
Fund structure: SICAV
NAV calculation: Daily
Liquidity: Daily
Notice (banking days): 2
Minimum investment: 500,000
Minimum retail: 1,000
Min. investment currency: EUR
Income: Accumulative
Fees
Entry fee: 2.5%
Exit fee: 0%
Management fee: 1.5%
Performance fee: 20%
High water mark: Yes
Crystalisation: Quarterly
Hurdle rate: No
Analysis
Year to Date: - 2.15%
Annualised return: - 6.99%
Annualised volatility (monthly data): 14.25%
Sharpe ratio (2%) (monthly data): - 0.63
Correlation to S&P 500 (monthly data): 63.87%
Correlation to DJ CBOT Treasury: - 47.37%
