Market Neutral US Quant Fund
Net asset value · US$1bn at inception
US$1.503bn▼ −0.21%1 day
Marks Nov 8, 2026, 7:00 PM EST · USD · Total return after modelled costs- YTD
- +4.11%
- 1 year
- +2.89%
- Since inception, ann.
- +7.25%
- Since 24 Aug 2026 (live)
- +0.35%
Overview
Fund
Growth of US$1bn, rebased to the start of the selected range. Shaded: live marks since 24 Aug 2026; earlier values are simulated.
Performance
As of 09 Nov 2026| Cumulative | Annualised | |||||||
|---|---|---|---|---|---|---|---|---|
| Return | 1M | 3M | 6M | YTD | 1Y | 3Y | 5Y | Since inc. |
| Fund | -2.64% | 0.58% | 1.81% | 4.11% | 2.89% | 6.13% | 7.82% | 7.25% |
| Benchmark | 0.65% | 1.95% | 3.92% | 6.75% | 7.96% | 8.66% | 8.15% | 7.57% |
| S&P 500 | -3.32% | -2.08% | 2.33% | 11.25% | 13.51% | 21.91% | 11.84% | 14.39% |
| Excess vs benchmark | −3.29% | −1.37% | −2.12% | −2.64% | −5.07% | −2.54% | −0.33% | −0.32% |
Calendar-year returns
| Calendar year | 2021 | 2022 | 2023 | 2024 | 2025 | 2026YTD |
|---|---|---|---|---|---|---|
| Fund | 7.78% | 1.43% | 15.05% | 12.24% | 2.30% | 4.11% |
| Benchmark | 4.09% | 6.20% | 9.42% | 9.38% | 8.33% | 6.75% |
| S&P 500 | 29.59% | -18.18% | 26.18% | 24.89% | 17.72% | 11.25% |
Simulated performance. Returns from 04-Jan-2021 to 24 Aug 2026 are an out-of-sample simulation, after modelled trading and borrow costs. From 24 Aug 2026 the book is marked daily against live US equity prices. This is a paper portfolio: no capital is invested. Past performance does not guarantee future results.
Risk
| Since inception | Fund | Benchmark | S&P 500 |
|---|---|---|---|
| Volatility, annualised | 4.39% | 0.12% | 16.69% |
| Sharpe ratio | 0.87 | n/a | 0.69 |
| Sortino ratio | 1.26 | n/a | 0.99 |
| Max drawdown | -2.94% | 0.00% | -24.50% |
| Worst month | -1.48% | n/a | -9.24% |
| Worst day | -1.42% | n/a | -5.86% |
| Ulcer index | 0.95% | n/a | 7.83% |
Relative to the S&P 500
- Beta, monthly
- 0.01
- Beta, daily
- 0.02
- Alpha, a year
- +3.80% · t 2.26
- Tracking error vs benchmark
- 3.91%
- Upside capture
- 16%
- Downside capture
- -18%
Drawdown
Fund
Return vs benchmark by market state
Holdings
326 (140 long, 186 short)Top 10 longs
32.6% of NAV| # | Ticker | Company | Weight |
|---|---|---|---|
| 1 | COST | Costco Wholesale Corp New | 4.35% |
| 2 | MET | Metlife Inc | 4.09% |
| 3 | EXPD | Expeditors International WA Inc | 3.92% |
| 4 | PRU | Prudential Financial Inc | 3.88% |
| 5 | IBKR | Interactive Brokers Group Inc | 3.23% |
| 6 | ABBV | Abbvie Inc | 2.97% |
| 7 | ABNB | Airbnb Inc | 2.70% |
| 8 | LRCX | Lam Resh Corp | 2.65% |
| 9 | PM | Philip Morris International Inc | 2.46% |
| 10 | AVGO | Broadcom Inc | 2.41% |
Top 10 shorts
-11.8% of NAV| # | Ticker | Company | Weight |
|---|---|---|---|
| 1 | SNPS | Synopsys Inc | -1.23% |
| 2 | LLY | Lilly Eli & Co | -1.23% |
| 3 | SPGI | S & P Global Inc | -1.21% |
| 4 | MSI | Motorola Solutions Inc | -1.20% |
| 5 | HLT | Hilton Worldwide Holdings Inc | -1.18% |
| 6 | MAR | Marriott International Inc New | -1.18% |
| 7 | MSFT | Microsoft Corp | -1.17% |
| 8 | WMT | Walmart Inc | -1.17% |
| 9 | TXN | Texas Instruments Inc | -1.15% |
| 10 | HCA | H C A Healthcare Inc | -1.13% |
Exposure
- Gross
- 186.1%
- Net
- −0.8%
- Long
- 92.7%
- Short
- 93.4%
- Names
- 326
Energy+0.04%
Materials+0.14%
Industrials+0.28%
Consumer Discretionary−0.29%
Consumer Staples+0.62%
Health Care+0.34%
Financials+1.30%
Information Technology−2.54%
Communication Services−0.41%
Utilities−0.11%
Real Estate−0.13%
% of NAV by GICS sector. Net is long minus short.
Mandate
Outperform the benchmark, 3-month US T-bills + 4%, with a long/short portfolio of US equities built from machine-learning return forecasts, inside the limits below.
| Constraint | Limit | Fund | Status |
|---|---|---|---|
| Positions | 200–500 names | 326 | ✓ Within |
| Gross | ≤ 200% of NAV | 186% | ✓ Within |
| Net | −50% to +50% | -0.8% | ✓ Within |
| Single Name | ≤ 5% of NAV | 4.4% | ✓ Within |
| Sector Net | ≤ 20% each | max 2.5% | ✓ Within |
| Volatility | ≤ 12–14% a year | 4.4% | ✓ Within |