Risk Parameters
| Parameter | Limit |
|---|---|
| AUM | Tested on $1 billion of AUM |
| Sector Concentration | 25% at rebalance |
| Maximum Position Targeted | 4% on a rebalance and up to 10% (in line with UCITS 5 / 10 / 40 rule) |
| Number of Positions in Portfolio | ~100 dependent on analysis of perceived opportunities |
| Minimum Market Capitalisation | >$300 million |
| Liquidity Constraints | <5 days to liquidate, based on 30% average daily volume |
| Portfolio Rebalancing Frequency | 2 Weeks – 8 weeks |
| Single Position Stop-Loss | -25% from inception price |
| Average Position Holding Period | ~3 months |
| Portfolio Risk Monitoring | Daily internal performance attribution reports with monitoring of holdings, liquidity, and risk exposures |
| Position Constraints and Leverage Limits | Control for maximum position size and sector net exposure No leverage |
| Portfolio Diversification | Portfolio holds securities diversified across complementary market segments spread across investment themes |
| Portfolio Oversight | Weekly Investment Review Automated live analysis of entire portfolio |
Our Values
- Focus on investor returns through long term compounding
- Transparent low fees (“you get what you don’t pay for”)
- Technological and cost advantage across signal generation, stock selection, asset allocation, trading and reporting
- Openness to and sharing of the latest algorithmic developments across the scientific community
- Performance data (including errors) openly available for investors
- Investors treated as partners
- Ongoing updating of algorithms through machine learning
- Appreciation that markets are basically efficient; large long term market outperformances are very unlikely, except through compounding
- Value investment principles applied to high quality, low volatility stocks
- No use of debt, derivatives, shorting or leverage
