Old Mutual Global

Statistical Arbitrage Fund GBP I Class

Fund Investment Objectives

Objective * To deliver attractive risk-adjusted absolute returns over the medium term, using a proprietary, quantitative model based only on price evolution data. Investment Strategy * Market neutral portfolio of long and short positions in liquid, global, large-cap equities. * We aim to take advantage of negative serial correlation (mean reversion) characteristics in equity prices, and use a bottom-up, pure statistical arbitrage process driven by our quantitative model at every stage. * We assess the price evolution of individual stocks versus their stock groups and identify short-term differences in the underlying price diffusion processes. We trade the discrepancies, using a blend of proprietary execution software and broker algorithms to take long and short positions. * The portfolio is actively (but not continuously) traded. 'Alpha runs' typically take place two to three times a day, to reflect the changing characteristics of the underlying optimal portfolio. Daily turnover is 15-20% of gross book, and may rise to 30-40% in volatile markets. AUM reflects the aggregate of the various share classes and is denominated in USD.