|Latest Return Date|
|Latest 6 Months|
|Latest 12 Months|
|Latest 24 Months (pa)|
|Annualised Since Inception|
The quantitative model is proprietary and designed in-house. The critical elements are Valuation, Momentum, and Quality (VMQ) and every stock in the global universe is scored and ranked. Verification of the quant model scores is then cross checked by fundamental analysis in which a company's Accounting policies, Governance, and Strategic positioning is evaluated.
The manager believes strategy is suited to investors seeking returns from investing in global companies, diversification away from Australia and a risk aware approach to global investing. It should be noted that this is a strategy in an IMA format and is not offered as a fund. An IMA solution can be a more cost and tax effective solution, for clients who wish to own fewer stocks in a long only strategy.
The strategy's Sharpe ratio has ranged from a high of 2.82 for performance over the most recent 12 months to a low of 0.81 over the latest 36 months, and is 1.18 for performance since inception. Its Sortino ratio (which excludes volatility in positive months) is 2.23 for performance since inception.
Since inception in August 2011 in the months where the market was positive, the strategy has provided positive returns 89% of the time, contributing to an up-capture ratio for returns since inception of 101.25%. Over all other periods, the strategy's up-capture ratio has ranged from a high of 116.64% over the most recent 12 months to a low of 85.62% over the latest 60 months. An up-capture ratio greater than 100% indicates that, on average, the strategy has outperformed in the market's positive months over the specified period.
The strategy's down-capture ratio for returns since inception is 93.69%. A down-capture ratio less than 100% indicates that, on average, the strategy has outperformed in the market's negative months.