|
Investment Objective The objective of this fund is to earn consistent positive returns over the long-term inflation rate with a very low correlation to, and lower volatility than broad market equity indices. Fund Details • Fund Inception: November 17, 2004
†Growth is calculated based on compounded monthly returns. Analytic Investors - Market Neutral The Integra Global Market Neutral Fund is an investment strategy that seeks to generate returns through exploitation of relative inefficiencies in global developed equity markets. Analytic considers 20+ stock characteristics simultaneously (“multi-dimensionally”) and employs statistical techniques to objectively determine which characteristics are preferred by the market and then forecasts an expected return for each stock. With the return rankings and risk constraints as inputs, Analytic use a proprietary non-linear optimization process to determine a portfolio of long and short equity positions that maximizes expected return while keeping expected volatility at less than 10% annualized. The Fund will be managed to have minimal correlation with the overall direction of developed equity markets, both during rising and falling market conditions. The failure of some of the world’s largest financial institutions weighed heavily on the stock market, as investors held out hope for a rescue plan. Beginning July 16th, the SEC restricted short selling on certain securities as large institutions announced bankruptcies, causing displacement in the marketplace. European markets felt the effects of the U.S. markets as investors doubted the U.S. bailout plan and grew concerned of their own liquidity issues. Short term borrowing costs reached some of its highest rates in Europe. As the U.S. further extended the short selling restrictions throughout the quarter, several European countries also instated their own short selling restrictions. The Japanese market also reflected doubt on the effectiveness of the U.S. measures, as the markets also plunged after the U.S. rejected the bailout plan. Our process is based on the premise that investor behaviour changes, but changes slowly, and is persistent from month to month. As the nature of the market changed in the middle of July, we saw a complete reversal of trends, and a complete lack of persistency through the rest of the quarter. As persistency lacked, it was difficult to add value. This was not a stock specific story, but one that was driven by common factors in the market. One of the major factors that detracted from performance was momentum. Momentum was performing positively in the beginning of July until it completely reversed on July 16th. The negative contribution was seen uniformly across all regions, universes and sectors. Overall, we saw the largest negative payoff in growth and earnings quality factors. All performance is presented in Canadian dollar terms, gross of investment management fees. Past performance is not indicative of future results. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
