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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

Fund
Inception Date
31/1/2023
Strategy
Interception Date
30/11/2019
Return Since
Strategy Inception Date
16.67% p.a.*
Fund
Size
A$3,315,711.00
as at 31 May 2024

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$1.0512 Exit: A$1.0470 as at 31 May 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 month3 month6 month1 year2 year3 year Since Inception
ALC Market Neutral Australian Equities7.80%9.97%-3.52%1.08%19.58%16.82%16.67%
ASX 2000.92%1.17%10.67%12.93%7.80%6.81%6.62%
Over/Under Performance6.88%8.81%-14.19%-11.85%11.77%10.01%10.05%

*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.

UniverseASX Listed Equities
Number of positions25-50
Target Leverage3x
RebalancingTypically 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

DateEntry (A$)NAV per unit (A$)Exit (A$)
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.

No distribution history available

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).

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