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Global Asset Allocation Fund Information Page.
The "Q" Fund
This page was last updated
on
August 21 2008
Introduction
The advent of the 21st century heralded sustained stock market declines which
caught many global investors off guard. In general, traditional ‘long only’ fund
management techniques suffer during periods of prolonged contraction.
Although many global markets fell between the end of 1999 and mid 2003, it is
interesting to note a number of markets / asset classes made money over the same
period, including the US Mid Cap Index and Gold. The danger, of course, of
limiting investment to niche sectors or specific asset classes is that this may
not prove to be an attractive LONG TERM strategy. Gold, for example, is still
well off its highs of the late 1970’s.
The truth is that SOME stocks ALWAYS perform each month, but not necessarily the
SAME stocks month in month out. A monthly re-weighted portfolio of the top 2%
global US$ billion capitalized stocks would have consistently achieved average
returns of more than 3-4% per month. The real question, therefore, is whether or
not such stocks can be identified monthly in advance…
Introducing the GAA ‘Q’ Fund, a Fund which ties mathematical ‘Quant’ theory to a
rigorously tested systematic stock selection and hedging process.
Fund Overview
The Fund seeks consistent absolute returns primarily by investing and trading in
equities and equity related products of companies incorporated globally, while
at the same time reducing exposure to downward movements in the market by
actively managing risk. It aims to secure consistent and above average returns
from a dynamic, forward looking mathematical ‘Quant’ model which relies on the
structured processing and interpretation of universal stock data and
forecasting.
Key Benefits
Ability to analyze all data available from the entire universe of more than
38,000 stocks across 52 global stock markets.
Only large cap stocks are considered, typically capitalized at more than US$100
million, and often at more than US$ 1 billion
Dynamic stock selection process based on an extensively researched and developed
“Quant Model”.
Monthly re-weighting; stock selection is evaluated and reallocated every month.
Maximum weighting; no single stock will constitute more than 5% of the
portfolio.
Diversification; typically, 90 - 100 stocks are purchased every month.
Dynamic hedging facility; a unique hedging facility is used to protect the
portfolio from sudden downturns in the market as and when appropriate.
Investment Strategy
Central to the investment process are proprietary dynamic quantitative
multi-factor models. These models incorporate various factors ranging from
consensus earnings momentum, earning revisions, price momentum, price/earnings
ratios, price to book ratios, price to cash ratios, dividend yields and many
other factors. The long stock positions are dynamically hedged with swaps on the
global benchmark.
Corporate Strength
Issued by : GAA Investment Funds Limited, Bermuda
Fund Manager : Global Asset Allocation Limited, Bermuda
Investment Advisor :Quant Asset Management Pte, Singapore
Custodian :Bermuda Trust / HSBC, Hong Kong
Administrator :Management International Limited / HSBC
Auditor :PricewaterhouseCoopers, Bermuda & HK
Legal Council :Conyers, Dill & Pearman, Bermuda & HK
Authority :Bermuda Monetary Authority
Key Information
Minimum Investment :US$ 25,000
Entry Fee : Zero cost of entry
Management Fee :1.75% per year
Early Redemption : 6% in the first year reducing by 1.2% per year to zero after
year 5
Performance Fee : 10% of net new highs based on high watermark
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Frequently Asked
Questions (FAQ's)
1. How would you describe
the GAA ‘Q’ Fund?
The GAA ‘Q’ Fund is a Fund that each month seeks to forecast the following
month’s top performing stocks across more than 52
stock markets worldwide. To do this, it utilises a
proprietary ‘quant’ mathematical model which relies on
the structured processing and interpretation of
universal stock data and forecasting on more than
38,000 different individual stocks.
2. When was it launched?
The Fund was launched on the 3rd of May 2004.
3. How does it differ to other global stock market
models?
More than 16 different variables and weightings are allocated to each stock by
the ‘quant’ model to determine the most likely stocks
to perform each month. In so doing, the stock
selection model eliminates human emotional bias as to
which stock should be picked.
4. Which markets are considered?
Equities listed on ALL tradable markets are screened by our system on a monthly
basis to determine whether they should be included
in the underlying stock portfolio.
5. What currency is the Fund denominated in?
The Fund is denominated in US Dollars and Sterling. To prevent currency fluctuations from
affecting the Fund’s performance, each non US Dollar
denominated stock is fully hedged to prevent currency fluctuations
impacting on the performance of such stocks when valued in US
Dollars. This allows investors to benefit
directly from the visible gain of a stock’s price without the uncertainty of
currency movements.
6. Do you short the stock market?
The Fund does not short individual stocks. Instead, a market hedging
mechanism has been incorporated which shorts the
individual stock index components of the MSCI World
Index each month, and in so doing protecting the Fund
from unexpected stock market fluctuations.
7. What are the components of the ‘Q’ Fund?
The ‘Q’ Fund consists of two components.
i. A monthly re-weighted portfolio of ‘long only’ equities.-
The Fund aims to forecast next month’s top performing shares worldwide.
ii. A dynamic hedging facility.
The Fund makes use of a proprietary market signal indicator that informs the
Fund Manager of predicted down turns in the market.The
Fund maintains a 30% short position of the
underlying components of the MSCI World Index at all times, increasing to 100%
when a strong down signal is generated by the system.
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GAA Q Fund VS MSCI
World Index Price Movements
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July 2008
GAA USD GLOBAL
'Q' FUND
The GAA USD Global 'Q' Fund grew by an estimated
+2.73% in June, closing at USD213.55
per share on 1 July despite most global markets moving into negative
territory. The MSCI World Index itself lost -8.10% in the same month.
Despite continued sub-prime woes in the States and elsewhere, the Fund
finished 2007 up +33.22% against a back drop gain of just +7.09% posted
by the MSCI World Index. The Fund is now running at a healthy
annualised compound growth rate of +19.97%
since launch
Stock purchase: market & sector analysis
The Fund continually analyses data on stocks from across 52 countries
each month. The largest exposure this month was to the United States,
followed by South Korea, the UK, Canada and Turkey. Italy and South
Africa continued to offer up a high percentage of stocks that were
selected whilst China, Hong Kong and the Brazil also made it into the
top 10 this month. All in all, stocks from a total of 24 different
countries made it into the Fund this month, against stocks from 23 last
month.
The underlying 'quant' model driving the Fund identifies global stocks
each month which are deemed likely to perform in the following 30 days
only. The underlying Fund portfolio is rebalanced once a month every
month to reflect its stock selection methodology and typically holds
stocks from around 20 – 30 of the 52 countries that it considers.
The Manager remains confident in the continued integrity of the model
driving the Fund's monthly stock selection and believes that the Fund
will continue to grow in the medium term.
No critical changes or amendments have been applied to the model since
the Fund was launched in May 2004
All in all, stocks from a
total of 24 different countries made it into the Fund this month,
against stocks from 23 last month
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Please
contact us if you
would like to participate in this fund or require additional information.
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