AlphaSquare Systematic

Equity Trading Fund EUR

Fund Investment Objectives

AlphaSquare SET is a systematic equity market neutral statistical arbitrage fund. The strategy is based on mean-reversion within baskets of two to five stocks from the same economic sector; each basket is back-tested using proprietary methods and homogenous historical prices. The strategies are combined using optimal allocation methods to produce a market neutral diversified portfolio of around 100 baskets and 300 liquid stocks. An in-house developed trading engine implements the strategies using the ex-post back-test as a benchmark; the trading algorithms are designed by the fund managers to minimize slippage and market impact. As of December 2009, AUM reflects the aggregate of the various share classes and is reported in relevant share class denomination.