- Period analysed (Jan 2012 – June 2019) reflects period of wider ESG data availability
- Global universe of stocks, filtered for size & liquidity
- All backtest portfolios are constructed on a long/short, FX hedged basis
- All backtests are gross of fees, however, estimates for trading costs and borrow fees have been made
- Quarterly portfolio rebalancing
- Backtested performance is NOT an indicator of future actual results. Our results do NOT represent returns that any investor actually attained
TECHNICAL NOTES AND DISCLAIMER
Optimisation target to reduce L/S portfolio volatility whilst reducing large positive/negative country, sector and market cap exposures.
Long book selection: High or improving ESG characteristics. Short book selection: Low or Deteriorating ESG characteristics.
Information containing any historical information, data or analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. Past performance does not guarantee future results.
All backtesting data presented in this presentation has been internally generated and is unaudited.
The results of backtesting should not be taken to directly represent the returns of an investment vehicle. Most significantly, our analysis excludes the impact of management and performance fees which would be applied. Furthermore, certain costs such as custody, prime brokerage, legal fees, administrative fees are not included.
Our backtesting analysis has simulated a transaction cost of 0.03% of notional value per trade and assumed a borrow cost of 0.5% p.a. for short positions. In reality, transaction and borrow fees could differ significantly from these assumptions.
Within the backtesting presented in this presentation, all rebalancing trades are simulated to have been executed at the closing price at the end of each calendar quarter. In practice, transaction prices could differ from these assumptions.
Within the backtesting presented in this presentation, all positions, both long and short are assumed to be fully FX hedged back to portfolio base currency. In reality, even with a fully hedged portfolio, FX hedging and spot transaction costs, and FX exposures generated through position P&L and many other factors could differ significantly from these assumptions.
The selection universe for the long and short book selection consists of ca. 4500 companies globally, screened for minimum market cap requirements as well as a free float requirements.
In accordance with a change in the GICS classification framework and inline with its treatment by our attribution system provider, exposures and attribution data in the Telecommunications sector are shown until 15th June 2018, whereafter exposures and attribution are shown for the Communications sector.
Prices, exchange rates, and attribution models used in the backtesting analysis are sourced from MSCI & Bloomberg.
The information in this section is confidential and is intended solely for the persons to whom it has been given access to the secure section of this website. It is not to be disclosed, duplicated, transmitted or otherwise given in whole or in part, to third parties without the prior written consent of all parties.
All persons receiving this information are advised that information provided herein is preliminary only and is not intended to be an invitation or inducement to make any investment. It is not intended to be, and should not be, considered a substitute for a Prospectus or Offering Memorandum and should not be relied upon as a basis for investment. To the extent of any inconsistency or discrepancy between any Prospectus / Offering Memorandum and this presentation, the Prospectus / Offering Memorandum shall prevail.
No reliance may be placed for any purpose on the information and opinions contained in this document or their accuracy or completeness. No representation, warranty or undertaking, express or implied, is given as to the accuracy or completeness of the information or opinions contained in this document by any of ECO Advisors, its members, employees or affiliates and no liability is accepted by such persons for the accuracy or completeness of any such information or opinions.
This information does not constitute an offer of solicitation in a jurisdiction where to do so is unlawful or the person making the offer or solicitation is not qualified to do so or a person receiving the offer or solicitation may not lawfully do so. Prospective investors should inform themselves and should take appropriate advice on the legal requirements and as to possible tax consequences, foreign exchange restrictions or exchange control requirements that they might encounter under the laws of the countries of their citizenship, residence or domicile and that might be relevant to the subscription, purchase, holding, exchange, redemption or disposal of any investments.
Except as otherwise specified herein, the information contained herein is believed to be accurate as of the date indicated on each page. No assurance is made as to its continued accuracy after such date, and there is no obligation to notify any recipients of this presentation should there be any changes to the information contained herein. All information is subject to revision without notice.
The Strategy outlined is speculative, involves a substantial degree of risk and may be leveraged. Investment losses may occur and investors may lose all or a substantial amount of his or her investment. In no event shall anything contained herein be construed as an express or an implied promise, guarantee or implication that you will profit or that losses can or will be limited in any manner whatsoever. Investment returns can be volatile and its fees and expenses may offset gains.