|
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.
†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. Stocks plummeted through March 9th, as reflected by the MSCI World Index, plunging -24.8% quarter-to-date, in U.S. dollar terms. From this it then roared back +17.2% through March 31st, for an overall decrease of 13.2% for the first quarter 2009. The S&P 500 recorded its worst January performance ever, posting -8.4%, in U.S. dollar terms. The institution of the new Obama administration failed to restore investor confidence, as widespread job losses and overall economic uncertainty overwhelmed investors in the U.S. Germany and Italy’s business confidence fell to record lows in February. In Japan, a series of negative economic indicator announcements and earning downgrades by Japanese companies, including Sony’s larger-than-expected annual operating loss, dragged the market down. It wasn’t until mid-March when the U.S. Treasury Secretary unveiled the government’s plan to unload toxic debt that the U.S. market began to rally, followed closely by global markets. Our investment process is based on the premise that investor behaviour changes, but changes slowly, and is persistent from month to month. Due to the high level of dispersion, our process tightened risk controls and diversified portfolio positions, which buffers the portfolio during times when our strategy is out of favour. Factors such as debt to equity and sales to price, contributed positively to our performance, as we were underweight these factors. Overweights to factors such as earnings quality of cash flows and return on assets also contributed positively to performance. Factors such as forward looking earnings to price and profit margin contributed negatively to performance, as did our underweighting of factors such as earnings to price and forward growth. All performance is presented in Canadian dollar terms, gross of investment management fees. Past performance is not indicative of future results. |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
