Strategic Asset Allocation
Strategic Asset Allocation
launched in November 2011, generally comprises 150-200 long and 150-200 short positions. It uses two Core models: i) the Low Beta Strategy, which exploits the equity market’s low beta anomaly, and ii) the Liquidity Premium Strategy, which exploits the liquidity premium among listed public stocks that are not widely traded. The Investment Manager utilizes a dynamic weighting methodology between its two Core Models that it believes should provide an uncorrelated, incremental source of return. The fund has risk (volatility) characteristics similar to a U.S. bond portfolio as well as the HFRI FoF Market Defensive Index while providing exposure to some of the upsides of equity markets with significantly less downside. Our monthly correlation since inception is 0 versus the HFRI FoF Market Defensive index and negative versus the S&P 500, Russell 3000, and HFRI Equity Market Neutral indices at -0.46, -0.45, and -0.11, respectively.
Hybrid Model: Proprietary quantitative screens with complementary layers of macro research and fundamental analyses to provide superior risk-adjusted results through various market and economic cycles.
Risk Control: Disciplined. With defined flexibility to minimize downside risk while providing consistent alpha.
Objective: Seeking equity-like returns with downside protection using a liquid strategy that is negatively correlated to equity markets.
Core models take advantage of market inefficiencies that cause specific stocks to be underpriced or overpriced.
❖ Beta Strategy: Exploits equity market’s low beta anomalies.
❖ Liquidity Strategy: Exploits the liquidity premium among listed public equities that are not widely traded.
Fundamental research confirmation and macro analyses overlay are used to complement and enhance the core models by minimizing portfolio volatility and drawdown.
✓ Small and medium enterprises (“SMEs”) operating in countries in the Caribbean and Central America (see the pan-Caribbean region
description in the Appendix) where, oftentimes, businesses can benefit from a growing middle class;
✓ Opportunities in countries where policy reset (i.e. – improved quality of local governance and macroeconomic management) may reinvigorate
growth and economic potential; and
✓ Opportunities in markets where the Delphin Investments and/or affiliates already have trusted relationships and contacts.
❖ The Fund’s primary investment objective is to generate attractive risk-adjusted returns.
✓ CRF targets a blended return of 12% to 15% (Fund NAVs calculated quarterly)
✓ The Fund intends to achieve its objective by investing in a diversified set of SMEs that are either:
a) based in the pan-Caribbean region or, more specifically, the Target Region (defined below);
b) originate their products significantly from the Target Region; or
c) are based globally, but generate at least 30% of their revenues from the Target Region.
❖ While certain economies in the Target Region dwarf others, the Fund anticipates maintaining prudent levels of diversification by capping the exposure to any one country at 20% of its portfolio.
customized index of publicly traded pan-Caribbean securities (see Delphin Investments Proprietary Caribbean Region Index). The Fund’s exposure to this index will range between 0% to 25% of its portfolio.
The DI Commodities Equally Weighted Strategy (DICEWS) investment objective is to provide long-term total return on-par with an equal-sectorweighted version of the Bloomberg Commodity Index, by investing in commodities and fixed-income instruments. The Portfolio is managed on a total
return basis, and not with an objective of achieving or avoiding any particular tax consequences.
✓ Investing in commodities and fixed-income instruments.
✓ Our proprietary strategic asset allocation favors always having exposure to real assets (including commodities).
✓ Our approach is to invest in an equally weighted basket to lower volatility.
Precious Metals 20%
• Soybean Oil
• Live Cattle
• Lean Hogs
Industrial Metals 20%
• Natural Gas
• WTI Oil
• Brent Crude Oil
• Heating Oil
• Low Sulphur Gas Oil
• RBOB Gasoline
AIMCOV200 seeks superior risk-adjusted returns through the active management of a diversified portfolio of both equity and debt-related securities.
The Management Team will construct the Fund’s portfolio in such a way as to provide for a consistent income stream from higher yielding bonds, allow for unhindered capital appreciation potential from equities during Bull markets, and yet be flexible enough to readily adapt to changing market conditions and hence minimize downside risk in Bear markets.
The Fund will primarily focus on Midcap growth equities both long and short, as well as higher yielding bonds, some merger/arbitrage investments and Commodity ETF’s.
The Management Team looks to include equities in the Fund’s portfolio that have exhibited above average growth, are fairly priced from a valuation perspective, contain a perceived margin of safety in the close proximity of the stock price to a likely floor price, and where there is a catalyst or event that will aid future gains in earnings.
The inclusion of higher yielding discounted bonds will add additional income and appreciation to the portfolio in companies with above average
growth and strong business prospects. The management team however will focus on both relative value and pay critical attention to the margin of
safety inherent in the company’s ability to maintain uninterrupted payouts.