ALC Market Neutral Australian Equities Fund
For Wholesale Investors Only
A fund for investors who are looking for an alternative, market neutral, quantitative fund uncorrelated with the overall market
Inception Date
Interception Date
Strategy Inception Date
Size
Investment objectives
The ALC Market Neutral Australian Equity Fund is an algorithm-based portfolio that has been developed to generate a return from participating in the stock market, without being correlated with broader market movements. The algorithm is optimized for a high return-to-downside volatility-ratio.
Key features
- Quantitatively Driven – Portfolio construction done via algorithm, removing human bias
- Algorithm Based on Fundamentals– The algorithm is constructed via factors we know drive security return, it is not a neural network/black box
- Absolute Return Objective – always seeking positive returns regardless of the market
- Risk Adjusted Returns – The fund has been optimised and often achieves a high Sortino Ratio.
Summary Details
| Unit Price: | Entry: A$1.1093 Exit: A$1.1049 as at 30 Jun 2024 |
| Wholesale Investors Only as defined under the Corporations Act 2001 (Cth) | |
| Investment Manager: | AL Capital Holding Pty Ltd |
| Trustee: | AL Capital Holding Pty Ltd |
| Minimum Initial Investment: | A$250,000 |
| Responsible Entity: | 2.00% p.a. of the NAV (including GST less RITCs) |
| Performance Fee: | 20.00% over the performance benchmark |
| Buy/sell spread: | +/- 0.20% on applications into the Fund, and withdrawals out of the Fund. |
| Liquidity | Monthly (in normal market conditions) |
| Portfolio managers(s): | Wim Steemers |
For full details please request the IM
Start an application:
Performance*
Monthly Returns*
| 1 month | 3 month | 6 month | 1 year | 2 year | 3 year | Since Inception | |
|---|---|---|---|---|---|---|---|
| ALC Market Neutral Australian Equities | 4.50% | 13.05% | 7.83% | 6.67% | 20.53% | 17.24% | 17.47% |
| ASX 200 | 1.01% | -1.05% | 4.22% | 12.10% | 13.44% | 6.37% | 6.73% |
| Over/Under Performance | 3.49% | 14.10% | 3.61% | -5.43% | 7.09% | 10.87% | 10.74% |
*Performance is reported net of all fees. Returns greater than one year are annualized. Historical performance shows the ongoing performance both of a different fund previously managed by the AL Capital that operated with the same strategy and investment management team as the ALC Market Neutral Australian Equities Fund. This information has been provided for illustrative purposes only. Past performance is not a reliable indicator of future returns.
Investment Strategy
The Fund uses a combination of factors to rank stocks according to their attractiveness. Currently, these factors relate to stock momentum, earnings momentum, value, quality, and cyclicality, but they could be updated in future algorithm upgrades. The resulting ranking is used to construct a portfolio by choosing long positions from the top of the list and short positions from the bottom. In this portfolio construction process, certain constraints are applied: there are limits on the number of stocks per sector, size of single-stock long position, size of single-stock short position, among others. The algorithm strives to attain as close to a sector-neutral position across all sectors as the ranking list permits. The algorithm is run and the portfolio is rebalanced once a month. No trading takes place during the month unless a previously defined stop-loss provision is triggered.
The parameters that define the strategy in more detail are set out in the table below. These parameters are set by the Investment Committee and may be amended from time to time.
| Universe | ASX Listed Equities |
| Number of positions | 25-50 |
| Target Leverage | 3x |
| Rebalancing | Typically monthly |
For further details, please refer to the latest Information Memorandum and Supplementary Information Memorandum.
Updates & Reports
Monthly Investor Update
Information Memorandum
Please contact us for the latest fund update, information memorandum and other documentation.
Prices & Distributions
Unit Price History
| Date | Entry (A$) | NAV per unit (A$) | Exit (A$) |
|---|---|---|---|
| 30 Jun 2024 | $1.1093 | $1.1071 | $1.1049 |
| 31 May 2024 | $1.0512 | $1.0491 | $1.0470 |
| 30 Apr 2024 | $0.9724 | $0.9705 | $0.9686 |
| 31 Mar 2024 | $0.9690 | $0.9671 | $0.9652 |
| 29 Feb 2024 | $0.9535 | $0.9516 | $0.9497 |
| 31 Jan 2024 | $1.0000 | $1.0000 | $1.0000 |
Distribution History
The Fund is yet to pay its first distribution.
AL Capital Holding Pty Ltd (“AL Capital”) (ABN9 613 750 682), AFSL 523648, is the Trustee for the ALC Market Neutral Australian Equities Fund (“the Fund”).
The Investment Manager for the Fund is also AL Capital. This publication has been prepared by AL Capital to provide you with general information only. In preparing this information, we did not take into account the investment objectives, financial situation or particular needs of any particular person. It is not intended to take the place of professional advice and you should not take action on specific issues in reliance on this information. Neither AL Capital, nor any of its related parties, their employees or directors, provide and warranty of accuracy or reliability in relation to such information or accepts any liability to any person who relies on it. Past performance should not be taken as an indicator of future performance. You should obtain a copy of the Information Memorandum before making a decision about whether to invest in this product.
ALC Market Neutral Australian Equities Fund is only available to Wholesale Clients as defined under the Corporations Act 2001 (Cth).