Hong Kong
The strategy provides exposure to three regional strategies: Macquarie Asian Alpha strategy, Macquarie European Alpha strategy and Macquarie Americas Alpha strategy. The neutral allocation is one third to each regional strategy with a rebalance mechanism to ensure exposures remain within a targeted range. In each region the Manager seeks to implement a non-systematic quantitative equity long short strategy and targets market neutrality while attempting to constrain key risks, including country, sector and size. The stock selection methodology includes linear and non-linear models, where the non-linear model uses factor combinations that target mispricing opportunities based on human behavioral biases. An additional non-systematic overlay aims to address risks not captured in the quantitative process. Portfolio construction is aims to constrain key risk factors without the restrictions of a traditional risk model. The Manager seeks to deliver pure alpha, with relatively low risk. The underlying investment process is quantitative in nature focusing on stock selection within a tightly controlled risk framework. Implementation of the process is aided by a proprietary portfolio management platform called INQUEST, a Systematic Portfolio Construction (SPC) system and RADAR, which monitors the market environment as it relates to the process. The key elements of the investment strategy are: quantitative stock selection, portfolio construction, dynamic trade scheduling, and a non-systematic overlay.
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