Introducing the Australian Diversified Alpha Long Short Fund
An innovative and flexible systematic long short fund purpose built to outperform across market environments.
How does the long short fund work?
The RQI Australian Diversified Alpha Long Short Fund uses a quantitative strategy to invest across the Australian shares universe in both long and short positions.
The Fund uses an adaptive leverage approach to determine the level of long and short positions, whilst always being 100% exposed. The Fund aims to deliver consistent risk-adjusted returns above the S&P/ASX 300 benchmark.
Insights are selected based on their economic rationale and efficacy in explaining future returns - all determined by rigorous empirical testing and model building.
Short positions are carefully determined by the same rigorous alpha model used for long positions.
Once alphas are constructed, they are combined with risk and trading cost forecasts to target the strategy’s objectives, combining an adaptive leverage approach to long-short investing, ranging from 140% long and 40% short, up to 160% long and 60% short.
The strategy maintains 100% market net exposure, allowing the strategy to take account of changing market conditions.
Adaptive leverage involves adjusting the overall size of portfolio positions to target a specific level of active risk, in this case typically 4–5%. Allowing leverage to vary within a defined range enables the portfolio to maintain its target risk more effectively across changing market conditions. In periods of lower market volatility, higher leverage may be required to reach the desired risk level; in more volatile environments, lower leverage can help contain risk. Like a ship adjusting its sails to navigate shifting winds and tides, the portfolio adjusts its leverage to stay on course through different market conditions.
This flexibility means the portfolio is not forced into suboptimal positioning due to a fixed leverage constraint. Instead, adaptive leverage supports a more consistent expression of our alphas, helping to preserve efficiency and maximise risk adjusted performance over time.
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RQI Investors
We combine powerful quantitative analysis with human insight, aiming to deliver strong investment performance
Our proprietary quantitative equities approach is founded on proven data combined with the disciplined application of meaningful economic fundamentals that aims to enhance investment performance.
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