Strategy (incepted in Nov-14) Philosophy Absolute Return Unconstrained Systematic (ARUSy) Approach Fundamental Quantitative | 90% Bottom-Up /10% Top Down Style Momentum Value / All Cap with a bias towards Small-Mid Cap
Investment universe Developed, Emerging & Frontier Markets Equities | Cash up to 50% (strategic allocation) Sub-portfolios % Typical position size 'Core' holdings
Core holdings went through a thorough quantitative screen aggregating 12 factors.
75% c. 1% 'Incubator' holdings
Incubator holdings went through a more traditional Value approach including 3 factors
25% c. 0.5% Portfolio Characteristics ARUSy MSCI All Country World Index Nb. of holdings 124 2,449 Nb. of countries 24 23 DM / 23 EM Avg. Market Cap ($bn) 4.7 15 Price/Earnings 10.6x 17.4x Price/ Book 1.78x 2.08x ROE 14.3% 12%
Market Cap breakdown
BLUESpade Global Unconstrained Equities (paper portfolio, in USD)
Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. Oct. Nov. Dec. YTD 2014 - - - - - - - - - - 0.35% 4.09% 4.45% 2015 0.31% 4.85% 1.61% 2.93% 9.99%
NB: November figure is from November 10th.